AN Options History — September 2011

In September 2011, AN traded between $32.78 and $40.40. ATM implied volatility averaged 49.9%, placing in the 58.2% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 5.2% (HV 20d: 44.8%). Max pain ranged from $35.00 to $38.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2011-09-12: Highest Volume — 3,777 contracts
  • 2011-09-12: Largest IV spike — 18.3% change
  • 2011-09-12: Highest IV Rank — 77.5%
  • 2011-09-30: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.79$32.78$40.40$40.37$32.78
Max Pain$35.29$35.00$38.00$38.00$35.00
ATM IV49.9%41.9%58.9%41.9%58.1%
Expected Move14.3%12.0%16.7%12.0%16.7%
HV 20d44.8%37.9%55.6%54.6%42.6%
HV 60d43.5%41.6%45.9%43.9%45.1%
IV Rank58.2%40.8%77.5%40.8%75.9%
IV Percentile95.4%90.5%99.2%92.9%98.8%
Term Structure-1.3%-7.0%3.5%0.2%3.5%
VWIV49.6%42.6%58.8%42.6%58.4%
Skew 25d10.4%6.9%15.1%9.2%10.0%
Skew 10d23.8%9.3%41.2%33.2%19.6%
Call IV 25d45.1%37.0%54.3%37.0%54.3%
Put IV 25d55.5%46.1%64.3%46.1%64.3%
Bid-Ask Spread %35.4723.6056.4850.3830.44
Gamma HHI0.130.080.200.090.13
Net GEX16.4K-126.7K289.7K-18.3K-124.5K
Net DEX-5.0M-20.8M7.0M-16.3M7.0M
Net VEX-68.4K-80.8K-59.5K-80.0K-62.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.062.600.061.73
Total Volume1,188.3811033,7771,531210
Total OI17,448.04815,01820,71118,47117,455

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$40.37$38.0041.9%12.0%54.6%40.8%42.6%9.2%0.2%-18.3K-16.3M-80.0K0.0650.38N/AN/A1,445868,38110,090
2011-09-02$39.27$38.0044.1%12.6%55.6%45.6%42.7%8.4%0.5%-105.0K-8.2M-75.5K0.1240.71N/AN/A625787,10110,163
2011-09-06$39.10$35.0049.8%13.4%48.7%57.8%45.3%6.9%-0.3%-106.7K-7.4M-72.3K0.2237.78N/AN/A4981107,55310,201
2011-09-07$40.40$35.0044.8%12.6%47.5%47.1%45.1%10.0%-2.4%-22.3K-12.5M-69.7K1.5928.64N/AN/A961537,69910,213
2011-09-08$39.67$35.0043.8%12.6%44.1%44.8%43.4%10.2%-0.5%-38.8K-10.5M-71.6K1.0626.28N/AN/A50537,73110,275
2011-09-09$38.42$35.0049.8%13.4%43.4%57.8%46.5%10.1%-3.7%-98.8K-6.3M-74.0K0.8936.60N/AN/A1831637,71010,267
2011-09-12$38.15$35.0058.9%15.9%42.4%77.5%58.8%14.4%-7.0%-126.7K-4.9M-70.1K0.5456.48N/AN/A2,4451,3327,74610,245
2011-09-13$39.01$35.0051.4%14.7%42.9%61.3%52.5%15.1%-5.0%-53.1K-11.0M-80.8K0.0839.42N/AN/A3,1982709,32711,384
2011-09-14$39.62$35.0042.2%14.6%42.8%41.4%53.1%12.1%-6.1%278.9K-20.8M-71.3K0.2032.46N/AN/A78215310,6629,590
2011-09-15$37.84$35.0048.2%13.8%46.5%54.5%47.2%10.6%-2.0%289.7K-13.1M-70.8K0.3335.03N/AN/A2,65787210,4609,698
2011-09-16$37.28$35.0047.7%13.7%44.5%53.3%49.3%12.0%-2.2%158.4K-8.2M-74.4K0.2329.18N/AN/A1,70639010,43710,169
2011-09-19$37.40$35.0048.1%13.8%42.5%54.2%49.7%11.3%0.2%138.4K-6.6M-66.3K0.4529.18N/AN/A6252817,4437,575
2011-09-20$36.46$35.0048.0%13.8%43.2%54.1%46.1%8.7%-1.0%143.1K-5.2M-67.2K0.3131.95N/AN/A6361957,7377,764
2011-09-21$35.25$35.0048.0%13.8%37.9%53.9%47.4%8.9%0.8%79.5K-1.7M-65.7K0.9835.64N/AN/A1651617,6367,972
2011-09-22$33.05$35.0054.6%15.7%43.1%68.4%51.1%8.9%0.5%6554.1M-60.2K0.7235.94N/AN/A5003617,6137,962
2011-09-23$32.94$35.0054.3%15.6%43.0%67.6%51.6%10.9%1.6%-6.6K4.5M-59.5K0.3723.60N/AN/A3661357,6417,942
2011-09-26$34.67$35.0050.4%14.4%47.0%59.1%50.2%9.1%2.0%48.1K366.1K-61.9K0.2237.70N/AN/A200447,7087,985
2011-09-27$34.05$35.0051.0%14.6%42.6%60.5%48.9%11.4%-0.2%24.7K1.9M-60.5K0.7350.93N/AN/A1861357,7318,017
2011-09-28$33.73$35.0055.8%16.0%42.5%70.9%55.4%9.7%-1.8%6.6K2.5M-60.6K2.6023.76N/AN/A6431,6697,7338,103
2011-09-29$33.03$35.0057.9%16.6%42.7%75.4%56.7%10.8%-3.8%-124.0K6.9M-61.8K0.3432.86N/AN/A8182817,8569,434
2011-09-30$32.78$35.0058.1%16.7%42.6%75.9%58.4%10.0%3.5%-124.5K7.0M-62.2K1.7330.44N/AN/A771338,0129,443