AN Options History — October 2011

In October 2011, AN traded between $31.54 and $40.79. ATM implied volatility averaged 44.5%, placing in the 46.4% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 1.2% (HV 20d: 45.7%). Max pain ranged from $33.00 to $36.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 3.63.

Notable Days

  • 2011-10-12: Highest Volume — 2,191 contracts
  • 2011-10-21: Largest IV drop — 15.8% change
  • 2011-10-03: Highest IV Rank — 86.9%
  • 2011-10-03: Largest Expected Move — 18.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.21$31.54$40.79$31.54$38.94
Max Pain$34.52$33.00$36.00$35.00$36.00
ATM IV44.5%32.6%63.2%63.2%36.6%
Expected Move12.6%9.3%18.1%18.1%10.5%
HV 20d45.7%37.0%51.9%43.3%37.0%
HV 60d48.4%45.7%49.9%45.7%47.5%
IV Rank46.4%20.7%86.9%86.9%29.4%
IV Percentile83.7%60.3%99.2%99.2%77.8%
Term Structure-0.1%-3.9%2.5%-3.9%1.2%
VWIV45.6%34.0%58.1%58.1%41.9%
Skew 25d8.9%6.3%12.5%12.5%6.6%
Skew 10d19.2%12.0%37.6%20.3%16.0%
Call IV 25d39.7%30.6%57.6%57.6%33.4%
Put IV 25d48.6%37.5%70.1%70.1%40.1%
Bid-Ask Spread %30.7718.2744.3728.9940.75
Gamma HHI0.160.110.580.150.15
Net GEX-66.5K-196.3K450.8K-159.3K-69.7K
Net DEX-2.5M-14.7M10.6M10.6M-2.4M
Net VEX-50.5K-59.4K-36.9K-54.2K-43.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.630.1337.000.171.75
Total Volume518.81502,19173366
Total OI15,530.9057,87119,95017,4628,677

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$31.54$35.0063.2%18.1%43.3%86.9%58.1%12.5%-3.9%-159.3K10.6M-54.2K0.1728.99N/AN/A6281058,0179,445
2011-10-04$33.23$35.0058.7%16.8%48.8%77.1%57.1%8.4%-2.9%-161.2K7.1M-57.7K0.4536.36N/AN/A2791267,8259,497
2011-10-05$34.09$35.0054.5%15.6%48.0%68.2%54.2%8.1%-1.1%-146.8K4.5M-59.4K0.8928.39N/AN/A1231097,8069,514
2011-10-06$34.92$35.0051.3%14.7%49.2%61.1%51.1%8.1%-1.2%-131.6K2.3M-58.8K0.1322.22N/AN/A5277,7789,562
2011-10-07$34.60$33.0049.3%14.2%48.3%56.8%47.3%10.1%-0.8%-152.2K3.2M-57.6K0.1818.69N/AN/A187337,7509,560
2011-10-10$36.31$33.0049.5%13.9%51.9%57.3%46.9%12.0%1.1%-57.1K-2.8M-54.6K0.2727.63N/AN/A307827,7839,576
2011-10-11$36.50$33.0049.2%13.4%51.2%56.6%50.2%9.9%2.0%-49.4K-3.3M-54.5K7.6818.27N/AN/A816227,7939,600
2011-10-12$37.50$33.0050.7%12.8%51.9%59.9%47.7%10.6%0.6%16.0K-6.4M-54.9K2.7621.90N/AN/A5831,6087,7619,991
2011-10-13$37.45$34.0043.8%12.6%49.3%44.9%49.5%8.1%-1.9%-118.6K-5.1M-56.8K4.7632.83N/AN/A854057,99111,152
2011-10-14$37.74$34.0042.5%12.2%49.1%42.2%0.0%8.1%0.0%-86.2K-6.2M-57.6K0.4827.65N/AN/A98477,97611,453
2011-10-17$36.80$34.0045.1%12.9%49.9%47.7%48.2%9.5%-0.5%-196.3K-2.1M-54.2K3.2629.94N/AN/A722357,95711,443
2011-10-18$37.46$34.0043.4%12.4%49.4%44.0%51.0%10.3%-3.0%-129.3K-5.1M-51.0K1.2337.59N/AN/A1281587,94211,418
2011-10-19$37.09$34.0044.1%12.6%47.9%45.6%44.8%8.8%-0.3%-172.3K-3.8M-50.4K0.3532.13N/AN/A1,4915247,89311,512
2011-10-20$37.95$34.0042.8%12.3%41.3%42.9%42.3%8.1%2.1%-15.7K-8.2M-45.2K0.3044.37N/AN/A6021788,15011,800
2011-10-21$39.13$34.0036.1%10.3%41.9%28.2%39.5%8.6%0.7%450.8K-14.7M-41.3K1.2034.31N/AN/A3574297,94311,813
2011-10-24$40.79$35.0034.3%9.8%40.7%24.3%36.6%8.2%1.5%-15.0K-5.2M-36.9K7.7222.26N/AN/A574402,9914,880
2011-10-25$39.78$36.0035.9%10.3%41.4%27.8%36.7%8.2%1.0%-48.6K-3.5M-42.9K1.1726.25N/AN/A23273,0255,283
2011-10-26$39.85$36.0036.0%10.3%41.0%28.0%34.0%7.7%1.1%-47.6K-3.4M-42.5K1.6443.23N/AN/A1061743,0355,307
2011-10-27$40.07$36.0034.9%10.0%39.5%25.6%40.2%8.0%0.1%-46.0K-3.9M-43.3K37.0032.62N/AN/A41483,1415,474
2011-10-28$39.62$36.0032.6%9.3%39.7%20.7%34.0%6.3%2.5%-59.9K-3.2M-43.3K2.8939.74N/AN/A28813,1315,504
2011-10-31$38.94$36.0036.6%10.5%37.0%29.4%41.9%6.6%1.2%-69.7K-2.4M-43.5K1.7540.75N/AN/A24423,1375,540