AN Options History — April 2011

In April 2011, AN traded between $32.36 and $35.76. ATM implied volatility averaged 28.6%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 1.4% (HV 20d: 27.2%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.85.

Notable Days

  • 2011-04-01: Highest Volume — 1,842 contracts
  • 2011-04-26: Largest IV drop — 19.5% change
  • 2011-04-25: Highest IV Rank — 34.1%
  • 2011-04-25: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.90$32.36$35.76$35.62$33.91
Max Pain$34.35$30.00$35.00$30.00$34.00
ATM IV28.6%23.5%34.7%24.5%26.1%
Expected Move8.7%7.0%9.9%7.0%7.5%
HV 20d27.2%21.5%32.9%21.9%31.9%
HV 60d37.4%36.0%38.7%36.0%38.1%
IV Rank17.6%6.1%34.1%8.9%8.0%
IV Percentile21.3%0.8%64.3%3.6%9.9%
Term Structure-0.6%-4.8%2.7%2.7%1.6%
VWIV29.3%24.9%34.6%24.9%26.6%
Skew 25d4.1%1.7%5.7%2.5%4.1%
Skew 10d9.0%2.6%22.1%2.6%12.1%
Call IV 25d28.3%23.6%31.0%24.0%24.4%
Put IV 25d32.4%26.5%36.1%26.5%28.5%
Bid-Ask Spread %35.5926.6446.6238.5839.42
Gamma HHI0.200.140.300.140.16
Net GEX83.7K-212.7K406.4K137.2K-100.3K
Net DEX-6.9M-13.0M-2.2M-11.7M-5.2M
Net VEX-68.6K-72.7K-59.0K-59.0K-66.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.083.120.230.96
Total Volume600.451151,8421,842796
Total OI13,76812,12214,88812,21314,074

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$35.62$30.0024.5%7.0%21.9%8.9%24.9%2.5%2.7%137.2K-11.7M-59.0K0.2338.58N/AN/A1,4953475,9006,313
2011-04-04$34.59$35.0027.6%9.0%24.5%17.7%28.5%4.0%-0.7%217.4K-10.7M-70.7K0.1235.99N/AN/A809967,2596,646
2011-04-05$34.82$35.0026.6%9.0%22.3%14.8%30.7%3.6%-0.4%304.9K-11.5M-72.3K0.2729.68N/AN/A368987,8826,735
2011-04-06$35.22$35.0028.3%8.9%22.5%19.9%30.6%1.7%0.2%319.8K-11.4M-70.9K0.1726.64N/AN/A230397,5916,800
2011-04-07$35.76$35.0023.5%9.5%21.5%6.1%30.9%4.1%-1.1%406.4K-13.0M-69.6K0.7933.79N/AN/A1341067,7626,813
2011-04-08$34.85$35.0026.5%9.3%23.5%14.6%29.3%5.7%-2.3%322.7K-10.8M-72.7K0.1044.14N/AN/A422447,6836,867
2011-04-11$33.95$35.0030.6%9.3%25.0%26.5%30.0%4.3%-0.4%225.5K-8.3M-72.2K0.0829.82N/AN/A650527,8576,899
2011-04-12$33.02$35.0029.9%9.3%27.0%24.3%28.8%4.9%-0.1%84.3K-5.6M-71.0K0.5234.84N/AN/A2351237,4696,928
2011-04-13$33.00$35.0027.2%9.0%26.8%11.3%30.4%4.1%-0.4%63.3K-5.2M-69.0K0.4028.48N/AN/A3101247,2966,916
2011-04-14$32.36$35.0032.3%9.2%27.5%26.6%32.0%3.8%-1.4%41.9K-3.7M-68.3K3.1229.04N/AN/A2186807,2956,957
2011-04-15$32.95$35.0030.4%8.7%28.3%21.0%29.1%2.3%-2.0%29.7K-3.9M-68.5K0.5330.97N/AN/A92497,2627,626
2011-04-18$32.69$35.0031.8%9.1%28.4%25.1%34.6%4.5%-1.1%-26.8K-3.2M-68.6K0.8739.45N/AN/A1371196,0396,083
2011-04-19$32.77$35.0029.7%8.5%28.4%18.8%30.2%5.1%0.0%-29.4K-3.6M-67.7K1.8439.12N/AN/A761406,1356,188
2011-04-20$33.49$35.0031.0%8.9%29.2%23.0%30.2%3.9%-1.8%6.3K-4.9M-67.5K0.5642.53N/AN/A3772116,1766,278
2011-04-21$34.05$33.0029.1%8.3%28.9%17.1%28.1%5.7%-0.7%49.5K-6.4M-65.9K0.1637.65N/AN/A160266,3216,434
2011-04-25$34.51$33.0034.7%9.9%28.9%34.1%32.9%5.5%-4.8%89.5K-7.5M-64.8K2.8246.62N/AN/A4511,2706,3176,455
2011-04-26$33.01$34.0027.9%8.0%32.9%13.5%27.4%3.9%-0.3%-212.7K-2.2M-69.7K1.5737.79N/AN/A4116476,4617,591
2011-04-27$33.36$34.0027.0%7.7%32.8%10.6%26.5%5.6%1.5%-171.5K-3.2M-68.5K1.5732.71N/AN/A1372156,5777,440
2011-04-28$34.12$34.0027.0%7.7%32.0%10.8%24.9%3.9%-0.5%-83.1K-5.5M-67.6K0.4034.48N/AN/A82336,6217,414
2011-04-29$33.91$34.0026.1%7.5%31.9%8.0%26.6%4.1%1.6%-100.3K-5.2M-66.6K0.9639.42N/AN/A4073896,6747,400