AN Options History — May 2011

In May 2011, AN traded between $33.09 and $35.10. ATM implied volatility averaged 26.7%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 1.3% (HV 20d: 25.3%). Max pain ranged from $34.00 to $34.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 3.96.

Notable Days

  • 2011-05-16: Highest Volume — 760 contracts
  • 2011-05-25: Largest IV drop — 7.9% change
  • 2011-05-16: Highest IV Rank — 19.5%
  • 2011-05-16: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.93$33.09$35.10$33.60$35.10
Max Pain$34.00$34.00$34.00$34.00$34.00
ATM IV26.7%24.7%29.9%26.6%26.5%
Expected Move7.7%7.1%8.6%7.6%7.6%
HV 20d25.3%17.7%31.8%31.8%18.1%
HV 60d27.7%24.5%31.4%31.4%24.7%
IV Rank10.2%4.4%19.5%9.4%11.3%
IV Percentile14.2%4.8%30.2%11.9%15.9%
Term Structure0.9%-1.8%3.5%0.5%-0.1%
VWIV26.8%23.2%30.4%27.0%27.8%
Skew 25d3.7%0.6%5.9%5.1%5.9%
Skew 10d11.8%3.9%18.5%5.0%13.8%
Call IV 25d25.3%21.4%27.4%24.6%21.4%
Put IV 25d29.0%25.6%31.6%29.6%27.3%
Bid-Ask Spread %42.2229.3760.3129.3760.31
Gamma HHI0.200.150.400.170.20
Net GEX-71.4K-293.2K162.6K-112.8K162.6K
Net DEX-6.5M-9.7M-4.0M-4.7M-9.7M
Net VEX-63.9K-69.5K-58.3K-69.5K-58.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.960.0022.893.740.97
Total Volume159.7140760256229
Total OI13,96711,86415,49614,64012,043

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$33.60$34.0026.6%7.6%31.8%9.4%27.0%5.1%0.5%-112.8K-4.7M-69.5K3.7429.37N/AN/A542027,0067,634
2011-05-03$34.07$34.0025.6%7.3%30.8%6.4%25.0%3.5%3.5%-67.0K-6.2M-63.7K0.0236.08N/AN/A4116,9797,584
2011-05-04$34.39$34.0025.4%7.3%30.9%5.9%25.4%2.3%3.1%-9.6K-7.0M-66.9K0.0331.26N/AN/A6226,9887,584
2011-05-05$34.53$34.0026.3%7.6%30.6%8.7%25.8%0.6%2.3%43.7K-7.8M-65.6K0.1046.88N/AN/A150157,0067,585
2011-05-06$34.24$34.0026.0%8.0%30.1%7.8%29.5%4.8%0.8%-33.2K-7.1M-65.7K16.3152.57N/AN/A162616,9517,585
2011-05-09$34.07$34.0026.8%8.3%28.8%10.1%0.0%3.0%-0.7%-82.4K-6.2M-63.7K0.1233.90N/AN/A4356,9537,511
2011-05-10$34.28$34.0025.9%8.1%27.3%7.3%0.0%4.2%-0.4%-39.3K-7.0M-62.8K0.0036.81N/AN/A006,9217,512
2011-05-11$33.74$34.0026.5%7.9%26.0%9.1%29.8%3.6%0.7%-124.7K-5.6M-62.7K22.8945.51N/AN/A92066,9197,512
2011-05-12$34.26$34.0027.9%8.0%26.4%13.3%0.0%5.9%-1.8%-95.5K-6.7M-59.2K3.5047.39N/AN/A6216,9217,558
2011-05-13$33.65$34.0029.0%8.3%26.3%16.9%0.0%4.2%1.4%-169.0K-5.3M-62.4K0.0048.75N/AN/A01056,9217,557
2011-05-16$33.36$34.0029.9%8.6%25.8%19.5%25.7%3.9%-1.0%-271.1K-4.0M-61.0K0.0037.24N/AN/A75916,9217,654
2011-05-17$33.35$34.0029.2%8.4%25.6%17.2%30.1%5.3%0.2%-262.1K-4.8M-67.4K0.2236.01N/AN/A290637,6727,655
2011-05-18$33.70$34.0027.8%8.0%25.8%13.2%28.0%3.6%-0.9%-253.1K-6.5M-67.5K7.0646.80N/AN/A171207,8407,656
2011-05-19$33.81$34.0026.3%7.5%24.7%8.4%24.6%4.1%1.4%-293.2K-7.1M-66.7K10.0837.66N/AN/A121217,6917,550
2011-05-20$33.09$34.0025.4%7.3%25.1%7.3%25.6%2.7%1.9%-262.2K-4.8M-67.1K1.2636.76N/AN/A34437,6927,645
2011-05-23$33.24$34.0026.4%7.6%24.6%11.0%26.2%4.7%1.2%41.8K-6.1M-63.3K0.4148.17N/AN/A80336,1225,921
2011-05-24$33.44$34.0027.0%7.7%18.9%13.2%30.4%3.3%1.8%60.8K-6.7M-64.4K0.0034.74N/AN/A046,1765,949
2011-05-25$33.83$34.0024.9%7.1%19.0%5.1%23.2%1.6%1.3%72.8K-7.1M-62.1K0.5752.92N/AN/A74426,0525,953
2011-05-26$34.25$34.0026.0%7.5%17.7%9.4%25.2%1.4%1.1%90.4K-8.1M-61.3K0.0038.58N/AN/A0336,1055,959
2011-05-27$34.55$34.0024.7%7.1%17.8%4.4%26.4%3.3%2.0%103.8K-8.4M-61.7K0.0148.83N/AN/A19825,8725,992
2011-05-31$35.10$34.0026.5%7.6%18.1%11.3%27.8%5.9%-0.1%162.6K-9.7M-58.3K0.9760.31N/AN/A1161136,0515,992