AN Options History — July 2011

In July 2011, AN traded between $36.94 and $39.97. ATM implied volatility averaged 33.1%, placing in the 47.8% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 4.1% (HV 20d: 29.0%). Max pain ranged from $32.00 to $37.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.92.

Notable Days

  • 2011-07-07: Highest Volume — 3,629 contracts
  • 2011-07-11: Largest IV spike — 14.7% change
  • 2011-07-11: Highest IV Rank — 60.7%
  • 2011-07-11: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.66$36.94$39.97$36.94$37.61
Max Pain$36.60$32.00$37.00$32.00$37.00
ATM IV33.1%27.5%35.7%27.5%33.9%
Expected Move9.7%7.9%10.2%7.9%9.7%
HV 20d29.0%21.5%40.0%40.0%25.6%
HV 60d29.7%28.0%30.9%30.9%29.4%
IV Rank47.8%16.8%60.7%16.8%51.8%
IV Percentile69.4%23.8%89.3%23.8%77.4%
Term Structure-0.5%-3.3%6.3%6.3%0.7%
VWIV35.6%32.6%41.2%32.6%34.3%
Skew 25d6.1%4.9%8.8%8.8%5.8%
Skew 10d14.2%9.8%23.9%17.3%18.4%
Call IV 25d31.1%22.9%33.6%22.9%32.1%
Put IV 25d37.2%31.7%39.4%31.7%37.9%
Bid-Ask Spread %38.3622.6552.5440.7447.28
Gamma HHI0.190.130.310.200.14
Net GEX-89.0K-383.0K257.5K10.2K-269.0K
Net DEX-14.5M-21.9M-8.1M-14.0M-8.1M
Net VEX-80.4K-87.1K-68.6K-86.9K-81.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.1616.480.323.39
Total Volume741.8393,6291,455167
Total OI20,011.5515,96522,62519,60019,301

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$36.94$32.0027.5%7.9%40.0%16.8%32.6%8.8%6.3%10.2K-14.0M-86.9K0.3240.74N/AN/A1,1043518,42511,175
2011-07-05$37.12$36.0029.0%9.8%39.2%22.6%35.5%6.2%0.3%12.4K-14.5M-87.1K0.6338.81N/AN/A2671698,64711,399
2011-07-06$37.82$36.0030.6%9.8%39.1%36.2%34.9%5.9%-1.5%11.9K-17.0M-84.8K0.1932.86N/AN/A7741508,74611,455
2011-07-07$39.29$36.0033.2%10.0%39.9%48.6%35.4%5.0%-3.0%47.3K-21.9M-78.2K0.8352.03N/AN/A1,9861,6438,74111,596
2011-07-08$39.22$37.0031.1%10.1%39.9%38.8%34.8%7.6%-3.3%257.5K-21.5M-85.1K0.7631.59N/AN/A5894459,76412,861
2011-07-11$38.60$37.0035.7%10.2%39.8%60.7%38.2%5.9%-1.4%107.0K-17.7M-85.0K0.4244.95N/AN/A116499,43813,091
2011-07-12$39.01$37.0035.2%9.9%28.3%58.4%35.1%4.9%0.1%208.3K-19.5M-82.2K0.5336.81N/AN/A1941039,43113,130
2011-07-13$39.05$37.0031.8%10.1%27.6%41.8%35.0%5.9%-0.8%242.1K-19.4M-81.1K0.4528.48N/AN/A103469,40813,161
2011-07-14$38.72$37.0034.8%10.0%26.4%56.1%35.7%5.4%-0.5%21.0K-17.6M-82.6K0.4833.04N/AN/A27139,36513,205
2011-07-15$39.18$37.0033.3%9.6%26.3%49.4%36.1%5.6%-0.8%-249.3K-17.3M-77.7K0.5440.98N/AN/A103568,92413,209
2011-07-18$39.36$37.0035.5%10.2%23.1%59.7%37.9%6.7%0.0%-182.4K-11.8M-75.6K3.6641.64N/AN/A833046,1469,819
2011-07-19$38.68$37.0034.6%9.9%24.6%55.6%41.2%6.8%-2.3%-199.2K-10.2M-79.2K16.4836.62N/AN/A1612,6546,2159,848
2011-07-20$38.62$37.0033.8%9.7%23.6%51.4%36.3%7.1%-1.2%-383.0K-9.3M-81.0K0.1629.75N/AN/A565906,35012,474
2011-07-21$38.84$37.0032.4%9.3%23.4%45.1%35.7%5.6%-0.5%-294.8K-10.7M-81.0K3.8834.04N/AN/A8316,60412,527
2011-07-22$39.08$37.0033.8%9.7%22.6%51.7%34.3%5.6%-1.6%-277.9K-11.6M-79.0K1.3622.65N/AN/A881206,60412,528
2011-07-25$39.39$37.0035.2%10.1%22.1%58.2%35.2%5.2%0.0%-242.6K-12.5M-76.4K0.8340.93N/AN/A72606,68512,603
2011-07-26$39.97$37.0035.2%10.1%21.5%58.5%37.5%7.1%-1.3%-193.4K-15.0M-68.6K2.9044.52N/AN/A3621,0516,73312,653
2011-07-27$38.96$37.0031.9%9.1%21.9%42.4%32.6%5.7%0.7%-143.0K-12.8M-73.4K0.1736.99N/AN/A429716,98311,851
2011-07-28$37.65$37.0034.0%9.8%25.6%52.7%34.3%5.0%-0.9%-262.5K-8.3M-82.5K0.3352.54N/AN/A174587,27911,857
2011-07-29$37.61$37.0033.9%9.7%25.6%51.8%34.3%5.8%0.7%-269.0K-8.1M-81.1K3.3947.28N/AN/A381297,41011,891