AN Options History — June 2011

In June 2011, AN traded between $31.15 and $36.61. ATM implied volatility averaged 29.7%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 2.0% (HV 20d: 31.7%). Max pain ranged from $31.00 to $34.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 4.06.

Notable Days

  • 2011-06-21: Highest Volume — 2,217 contracts
  • 2011-06-30: Largest IV drop — 17.0% change
  • 2011-06-29: Highest IV Rank — 43.1%
  • 2011-06-29: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.92$31.15$36.61$34.51$36.61
Max Pain$31.64$31.00$34.00$34.00$32.00
ATM IV29.7%23.0%34.5%23.0%28.6%
Expected Move8.5%6.6%9.9%6.6%8.2%
HV 20d31.7%18.8%41.4%18.8%40.4%
HV 60d28.3%24.2%31.6%24.9%31.0%
IV Rank25.3%0.0%43.1%0.0%21.1%
IV Percentile39.2%0.0%77.4%0.0%28.6%
Term Structure2.7%-0.4%5.6%1.9%5.6%
VWIV30.7%23.8%35.2%28.0%31.8%
Skew 25d4.7%2.3%8.3%5.8%5.4%
Skew 10d11.4%0.6%17.8%15.2%14.2%
Call IV 25d27.1%22.7%30.9%22.7%27.5%
Put IV 25d31.9%28.6%36.0%28.6%32.9%
Bid-Ask Spread %43.1218.2878.4848.9629.10
Gamma HHI0.200.140.260.200.19
Net GEX58.8K-262.8K190.9K153.6K11.4K
Net DEX-7.2M-15.2M-260.5K-9.2M-12.8M
Net VEX-67.0K-90.5K-56.5K-61.1K-90.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.060.0721.290.463.68
Total Volume576.81802,21741145
Total OI14,13512,12819,52612,13419,526

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$34.51$34.0023.0%6.6%18.8%0.0%28.0%5.8%1.9%153.6K-9.2M-61.1K0.4648.96N/AN/A28136,1425,992
2011-06-02$34.07$34.0024.6%7.0%19.0%5.6%23.8%4.7%2.6%153.0K-7.7M-62.2K7.3347.07N/AN/A3226,1365,992
2011-06-03$33.66$31.0026.3%7.5%19.4%12.2%30.2%4.5%4.1%121.8K-6.4M-61.5K21.2978.48N/AN/A71496,1376,001
2011-06-06$33.09$31.0028.4%8.2%20.0%20.0%31.1%4.7%4.5%88.0K-5.1M-60.9K0.0037.48N/AN/A056,1426,073
2011-06-07$33.79$31.0026.3%7.4%21.5%12.4%31.0%4.5%5.0%139.0K-6.7M-59.8K4.0836.98N/AN/A12496,1426,078
2011-06-08$33.27$31.0029.4%8.4%22.0%23.8%25.6%4.1%2.8%105.8K-5.7M-60.0K0.0730.79N/AN/A1516,1526,078
2011-06-09$33.88$31.0026.3%7.5%22.4%12.5%0.0%5.0%4.2%175.0K-7.1M-59.0K0.0025.40N/AN/A0106,1676,061
2011-06-10$33.33$31.0029.9%8.6%22.4%25.8%0.0%3.4%1.3%129.9K-5.7M-59.1K0.0042.25N/AN/A006,1676,071
2011-06-13$31.15$31.0032.5%9.3%32.1%35.5%30.8%3.8%4.7%-62.6K-1.4M-56.5K2.4652.50N/AN/A4231,0416,1676,071
2011-06-14$32.10$31.0030.6%8.8%34.2%28.7%30.0%5.2%-0.4%-123.4K-1.6M-57.4K1.3449.97N/AN/A2673576,3586,926
2011-06-15$31.49$31.0033.9%9.7%34.7%40.8%35.1%7.6%0.3%-245.2K-260.5K-59.5K5.6841.46N/AN/A221256,5257,146
2011-06-16$31.67$31.0030.5%8.8%34.5%28.2%31.5%4.2%1.2%-262.8K-567.1K-58.4K0.8944.34N/AN/A1601426,4637,067
2011-06-17$33.11$31.0032.7%9.4%38.4%36.3%34.2%4.5%1.4%66.4K-4.8M-57.9K1.0939.56N/AN/A4084466,6147,169
2011-06-20$33.71$31.0031.0%8.9%38.2%29.9%31.6%4.1%3.7%12.6K-6.6M-64.2K0.9218.28N/AN/A4954536,1276,813
2011-06-21$34.62$32.0029.1%8.4%39.3%23.0%29.3%4.9%3.3%40.3K-8.7M-65.2K0.8839.77N/AN/A1,1821,0356,4237,188
2011-06-22$35.07$32.0029.6%8.5%39.4%24.8%29.2%4.3%3.2%121.4K-10.7M-73.9K4.1662.64N/AN/A3751,5607,3968,204
2011-06-23$34.67$32.0030.1%8.6%39.6%26.5%31.6%4.4%4.1%78.7K-8.6M-81.9K1.1137.49N/AN/A2813137,7068,914
2011-06-24$34.44$32.0032.0%9.2%39.4%33.9%29.5%4.1%2.0%82.3K-8.1M-84.8K0.1538.87N/AN/A120187,9179,045
2011-06-27$35.23$32.0033.1%9.5%40.1%37.9%32.5%2.3%2.0%132.3K-10.7M-81.1K6.0035.84N/AN/A7427,9889,045
2011-06-28$36.42$32.0032.0%9.2%41.4%33.7%32.0%4.3%1.4%186.3K-14.5M-77.9K0.2571.88N/AN/A6631687,9899,070
2011-06-29$36.44$32.0034.5%9.9%40.8%43.1%35.2%8.3%-0.3%190.9K-15.2M-82.1K15.3739.60N/AN/A1301,9988,3739,209
2011-06-30$36.61$32.0028.6%8.2%40.4%21.1%31.8%5.4%5.6%11.4K-12.8M-90.5K3.6829.10N/AN/A311148,41911,107