AN Options History — November 2011

In November 2011, AN traded between $32.98 and $37.90. ATM implied volatility averaged 39.5%, placing in the 35.6% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 5.5% (HV 20d: 34.0%). Max pain ranged from $36.00 to $40.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.39.

Notable Days

  • 2011-11-22: Highest Volume — 920 contracts
  • 2011-11-11: Largest IV drop — 13.8% change
  • 2011-11-10: Highest IV Rank — 51.7%
  • 2011-11-10: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.87$32.98$37.90$37.73$36.11
Max Pain$37.24$36.00$40.00$36.00$36.00
ATM IV39.5%31.7%46.9%41.9%31.7%
Expected Move11.3%9.1%13.5%12.0%9.1%
HV 20d34.0%27.9%36.8%36.4%34.3%
HV 60d42.0%39.9%45.8%45.8%40.8%
IV Rank35.6%18.8%51.7%40.9%18.8%
IV Percentile74.3%48.4%85.3%79.4%48.4%
Term Structure0.3%-4.5%2.9%-1.1%1.4%
VWIV39.1%32.8%45.0%43.1%32.8%
Skew 25d6.9%0.7%10.3%9.3%0.7%
Skew 10d16.5%8.8%26.9%17.4%14.1%
Call IV 25d36.1%32.9%39.1%39.0%33.7%
Put IV 25d43.1%34.5%49.4%48.2%34.5%
Bid-Ask Spread %36.6623.7671.6640.7740.04
Gamma HHI0.230.150.470.160.15
Net GEX-119.3K-263.0K-29.2K-86.4K-29.2K
Net DEX3.1M-951.5K6.9M-696.8K96.1K
Net VEX-39.6K-44.3K-35.5K-44.3K-38.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.390.213.441.170.31
Total Volume336.71440920213510
Total OI9,675.6678,71210,5648,71210,187

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$37.73$36.0041.9%12.0%36.4%40.9%43.1%9.3%-1.1%-86.4K-696.8K-44.3K1.1740.77N/AN/A981153,1405,572
2011-11-02$37.90$36.0040.4%11.6%35.7%37.6%40.4%8.0%0.1%-81.2K-951.5K-43.7K3.4427.71N/AN/A9313,2135,605
2011-11-03$37.20$36.0040.2%11.5%35.9%37.1%36.2%6.9%0.9%-83.1K-510.6K-43.8K0.2157.87N/AN/A187393,2165,610
2011-11-04$36.40$40.0040.9%12.1%36.8%38.7%40.2%9.0%-0.9%-100.7K909.0K-43.3K1.1727.15N/AN/A2482893,3175,644
2011-11-07$36.01$40.0041.7%11.7%32.8%40.5%40.2%7.5%-0.6%-123.3K1.8M-44.2K1.0444.38N/AN/A1331383,5205,893
2011-11-08$35.25$40.0041.9%11.6%33.5%40.8%40.1%7.1%2.9%-136.2K2.7M-43.4K3.1125.95N/AN/A27843,6476,029
2011-11-09$33.83$40.0045.6%12.4%34.5%48.8%40.5%10.3%2.3%-148.8K4.9M-41.0K2.4430.33N/AN/A1724203,6586,048
2011-11-10$33.44$38.0046.9%13.5%34.5%51.7%45.0%9.6%-4.5%-146.0K5.2M-38.9K2.2627.61N/AN/A1373103,6725,924
2011-11-11$34.07$38.0040.4%11.6%35.3%37.7%38.2%8.3%-1.5%-163.3K4.8M-39.0K0.3235.42N/AN/A113363,6896,063
2011-11-14$33.50$38.0042.3%12.1%34.8%41.8%42.2%8.9%-2.9%-170.2K5.5M-37.2K1.5032.84N/AN/A2033053,7846,069
2011-11-15$34.15$37.0037.8%10.8%34.9%32.0%38.6%7.4%0.6%-169.4K4.8M-38.2K2.1329.65N/AN/A671433,9226,329
2011-11-16$33.03$37.0039.4%11.3%36.3%35.4%38.3%7.3%0.4%-205.4K6.6M-36.3K0.9228.72N/AN/A1321213,9576,388
2011-11-17$32.98$37.0039.4%11.3%34.8%35.4%37.8%7.2%0.8%-263.0K6.9M-35.5K1.2728.78N/AN/A1131444,0416,450
2011-11-18$33.50$36.0037.3%10.7%33.0%31.0%43.1%6.2%2.5%-192.6K5.6M-36.5K3.0223.76N/AN/A882664,1386,426
2011-11-21$33.66$37.0037.3%10.7%27.9%30.8%36.4%5.8%0.9%-104.0K4.2M-35.8K0.4545.02N/AN/A216983,3905,678
2011-11-22$34.83$36.0036.3%10.4%31.2%28.6%38.9%5.2%1.0%-73.4K2.3M-37.4K1.1127.91N/AN/A4364843,5395,665
2011-11-23$34.06$36.0037.3%10.7%31.6%30.9%36.8%4.8%1.6%-74.7K3.3M-39.0K0.2962.16N/AN/A214623,8765,936
2011-11-25$34.06$36.0039.0%11.2%31.3%34.5%39.2%5.4%0.2%-64.1K3.4M-38.5K1.3325.57N/AN/A821093,9885,951
2011-11-28$35.23$36.0035.9%10.3%34.6%27.7%36.7%6.3%1.0%-41.5K1.7M-38.6K0.4836.55N/AN/A202964,0026,001
2011-11-29$35.30$36.0035.1%10.1%34.4%26.1%36.6%4.3%1.2%-48.2K1.6M-38.7K1.2171.66N/AN/A1782163,9846,028
2011-11-30$36.11$36.0031.7%9.1%34.3%18.8%32.8%0.7%1.4%-29.2K96.1K-38.7K0.3140.04N/AN/A3901204,0756,112