AN Options History — August 2011

In August 2011, AN traded between $32.69 and $40.93. ATM implied volatility averaged 48.0%, placing in the 61.7% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 0.9% (HV 20d: 48.9%). Max pain ranged from $34.00 to $38.00. Net GEX was positive for 7 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 5.06.

Notable Days

2011-08-23: Highest Volume — 3,187 contracts
2011-08-04: Largest IV spike — 61.4% change
2011-08-04: Highest IV Rank — 100.0%
2011-08-08: Largest Expected Move — 16.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.45	$32.69	$40.93	$37.15	$40.38
Max Pain	$36.35	$34.00	$38.00	$37.00	$38.00
ATM IV	48.0%	32.4%	69.3%	35.1%	43.2%
Expected Move	13.3%	9.3%	16.0%	10.1%	12.4%
HV 20d	48.9%	25.9%	61.4%	25.9%	59.7%
HV 60d	39.0%	29.5%	44.3%	29.5%	44.0%
IV Rank	61.7%	37.6%	100.0%	57.8%	43.5%
IV Percentile	95.5%	62.3%	100.0%	87.7%	94.0%
Term Structure	-2.3%	-10.3%	6.4%	-0.2%	0.7%
VWIV	47.5%	34.3%	60.6%	34.5%	43.6%
Skew 25d	10.4%	1.9%	20.1%	6.0%	11.3%
Skew 10d	22.3%	-15.0%	44.8%	6.7%	30.5%
Call IV 25d	42.1%	32.6%	50.8%	32.8%	36.9%
Put IV 25d	52.6%	38.8%	62.0%	38.8%	48.1%
Bid-Ask Spread %	47.42	30.27	75.48	51.90	51.05
Gamma HHI	0.17	0.08	0.43	0.15	0.10
Net GEX	-446.8K	-1.5M	87.2K	-326.1K	64.4K
Net DEX	-2.7M	-18.8M	12.1M	-6.6M	-17.7M
Net VEX	-76.8K	-87.6K	-60.9K	-81.0K	-76.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.06	0.18	47.11	6.88	5.57
Total Volume	840.087	80	3,187	268	1,261
Total OI	18,574.087	12,467	21,171	19,258	17,411

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2011-08-01	$37.15	$37.00	35.1%	10.1%	25.9%	57.8%	34.5%	6.0%	-0.2%	-326.1K	-6.6M	-81.0K	6.88	51.90	N/A	N/A	34	234	7,378	11,880
2011-08-02	$35.77	$37.00	41.6%	11.9%	29.1%	88.8%	39.1%	7.5%	-7.8%	-480.0K	-1.4M	-84.9K	1.83	40.77	N/A	N/A	89	163	7,376	12,018
2011-08-03	$36.15	$37.00	32.4%	9.3%	28.5%	50.4%	34.3%	5.1%	6.4%	-532.8K	-1.6M	-80.2K	1.97	75.48	N/A	N/A	116	229	7,419	12,068
2011-08-04	$34.05	$37.00	52.2%	15.0%	31.2%	100.0%	47.9%	1.9%	-10.3%	-566.5K	6.3M	-86.9K	1.13	53.20	N/A	N/A	312	352	7,455	12,231
2011-08-05	$34.98	$36.00	45.9%	12.2%	33.4%	78.4%	41.0%	7.8%	-2.7%	-575.5K	3.5M	-87.6K	47.11	45.02	N/A	N/A	47	2,214	7,490	12,393
2011-08-08	$32.71	$36.00	69.3%	16.0%	39.8%	100.0%	60.6%	11.5%	-6.7%	-477.9K	10.1M	-84.8K	5.40	56.99	N/A	N/A	192	1,036	7,482	12,542
2011-08-09	$34.26	$36.00	56.3%	13.6%	43.9%	71.9%	50.4%	13.3%	-5.3%	-688.6K	8.3M	-83.6K	6.87	60.23	N/A	N/A	52	357	7,532	12,836
2011-08-10	$32.69	$36.00	65.9%	15.7%	46.0%	92.7%	51.5%	8.7%	-4.6%	-566.6K	12.1M	-81.7K	0.64	47.20	N/A	N/A	325	208	7,574	12,861
2011-08-11	$34.46	$37.00	52.5%	15.1%	51.0%	63.8%	55.7%	13.4%	-3.8%	-663.2K	6.0M	-84.0K	0.92	46.80	N/A	N/A	122	112	7,757	13,061
2011-08-12	$35.60	$36.00	47.8%	13.7%	52.4%	53.5%	48.9%	9.9%	-2.9%	-653.2K	1.6M	-82.7K	9.00	50.81	N/A	N/A	8	72	7,774	13,101
2011-08-15	$35.80	$36.00	45.1%	12.9%	52.5%	47.8%	46.1%	11.1%	-1.4%	-677.1K	-238.8K	-78.0K	0.46	46.27	N/A	N/A	136	62	7,782	13,158
2011-08-16	$35.49	$36.00	47.0%	13.5%	52.3%	51.9%	46.3%	10.6%	-3.1%	-792.3K	1.6M	-76.8K	7.21	30.27	N/A	N/A	80	577	7,869	13,220
2011-08-17	$35.68	$36.00	42.1%	12.1%	52.4%	41.2%	47.6%	9.1%	0.5%	-994.4K	295.5K	-73.1K	6.80	41.68	N/A	N/A	74	503	7,925	13,217
2011-08-18	$34.34	$36.00	53.0%	15.2%	53.6%	64.8%	42.9%	9.9%	-3.6%	-1.2M	7.9M	-72.0K	1.40	51.27	N/A	N/A	162	227	7,932	13,165
2011-08-19	$35.72	$36.00	54.3%	15.6%	55.9%	67.5%	55.1%	8.9%	-6.3%	-1.5M	-841.0K	-68.0K	1.38	54.91	N/A	N/A	352	485	7,927	13,244
2011-08-22	$36.32	$36.00	50.9%	14.6%	56.2%	60.2%	50.7%	11.9%	-0.8%	28.5K	-6.3M	-68.0K	4.68	42.45	N/A	N/A	179	837	5,996	6,471
2011-08-23	$38.68	$37.00	43.1%	12.4%	60.8%	43.5%	59.7%	20.1%	5.0%	-3.6K	-10.3M	-60.9K	0.18	51.03	N/A	N/A	2,692	495	6,050	6,900
2011-08-24	$38.97	$34.00	48.2%	13.8%	60.2%	54.5%	51.6%	12.4%	-1.2%	87.2K	-13.9M	-69.7K	1.41	33.25	N/A	N/A	485	682	7,150	7,253
2011-08-25	$38.32	$35.00	50.6%	14.5%	59.2%	59.6%	51.0%	13.0%	-3.8%	51.7K	-12.2M	-74.7K	4.21	35.86	N/A	N/A	154	648	7,367	7,783
2011-08-26	$39.00	$36.00	47.1%	13.5%	59.5%	52.2%	48.4%	12.2%	-1.8%	20.0K	-12.7M	-73.6K	0.62	36.37	N/A	N/A	673	419	7,354	8,310
2011-08-29	$40.93	$37.00	40.4%	11.6%	61.4%	37.6%	40.6%	14.6%	1.8%	65.2K	-18.8M	-65.2K	0.48	41.70	N/A	N/A	993	480	7,671	8,592
2011-08-30	$40.84	$38.00	40.8%	11.7%	59.4%	38.4%	43.9%	9.7%	-0.7%	52.8K	-18.5M	-73.2K	0.33	46.22	N/A	N/A	295	97	8,198	9,031
2011-08-31	$40.38	$38.00	43.2%	12.4%	59.7%	43.5%	43.6%	11.3%	0.7%	64.4K	-17.7M	-76.9K	5.57	51.05	N/A	N/A	192	1,069	8,347	9,064