AN Options History — December 2011

In December 2011, AN traded between $34.52 and $37.38. ATM implied volatility averaged 29.3%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 2.5% (HV 20d: 31.7%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.41.

Notable Days

  • 2011-12-29: Highest Volume — 731 contracts
  • 2011-12-09: Largest IV drop — 19.9% change
  • 2011-12-08: Highest IV Rank — 20.9%
  • 2011-12-08: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.33$34.52$37.38$35.99$36.87
Max Pain$35.10$35.00$36.00$36.00$35.00
ATM IV29.3%25.7%32.7%31.2%27.6%
Expected Move8.5%7.4%9.5%8.9%7.9%
HV 20d31.7%28.5%34.3%34.2%30.7%
HV 60d37.6%33.4%40.1%40.1%33.4%
IV Rank13.5%5.7%20.9%17.6%9.8%
IV Percentile33.2%10.7%56.3%46.0%23.4%
Term Structure5.0%1.6%8.0%1.6%4.8%
VWIV30.5%25.8%34.2%30.2%31.0%
Skew 25d5.6%2.9%7.4%2.9%5.0%
Skew 10d13.0%2.5%26.0%3.1%11.0%
Call IV 25d27.2%23.7%30.5%30.5%25.9%
Put IV 25d32.8%28.7%36.4%33.4%30.9%
Bid-Ask Spread %35.7920.1467.8939.8320.67
Gamma HHI0.170.140.280.160.16
Net GEX34.5K-82.9K150.0K-15.9K51.8K
Net DEX-357.6K-2.1M2.8M317.3K-1.4M
Net VEX-34.1K-39.3K-29.4K-38.3K-35.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.017.390.100.33
Total Volume216.47621731356101
Total OI10,506.4299,60911,11810,29111,088

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$35.99$36.0031.2%8.9%34.2%17.6%30.2%2.9%1.6%-15.9K317.3K-38.3K0.1039.83N/AN/A323334,2066,085
2011-12-02$36.18$36.0029.8%8.6%33.7%14.7%29.3%3.4%1.9%12.2K-297.1K-39.1K0.5128.79N/AN/A2041044,4556,090
2011-12-05$36.92$35.0030.3%9.0%33.7%15.6%32.5%5.6%5.1%48.6K-1.8M-39.3K2.0439.52N/AN/A921884,5666,176
2011-12-06$36.24$35.0031.8%9.2%34.1%18.9%32.4%6.1%6.7%32.0K-432.4K-38.2K1.1924.08N/AN/A931114,5696,180
2011-12-07$36.25$35.0031.7%9.3%33.2%18.7%32.5%6.0%5.2%34.1K-239.1K-38.1K0.7525.17N/AN/A75564,5916,268
2011-12-08$35.71$35.0032.7%9.5%29.9%20.9%33.6%5.9%3.5%18.0K631.3K-37.9K0.3933.44N/AN/A76304,6396,271
2011-12-09$36.90$35.0026.2%8.8%31.2%6.8%34.2%7.4%7.5%73.2K-1.6M-37.2K2.5035.19N/AN/A20504,6476,294
2011-12-12$36.78$35.0030.1%8.7%30.8%15.3%31.0%6.8%7.1%89.5K-1.3M-35.2K1.0167.89N/AN/A79804,6506,290
2011-12-13$35.79$35.0031.9%8.9%32.0%19.2%30.1%6.9%8.0%53.7K343.6K-35.1K0.5336.76N/AN/A144774,6826,305
2011-12-14$35.74$35.0031.7%9.1%31.4%18.8%32.0%6.1%4.2%78.5K976.6K-34.6K7.3948.04N/AN/A231704,7566,362
2011-12-15$35.99$35.0030.9%8.9%28.5%17.0%30.8%5.4%5.5%138.0K-59.8K-33.7K0.9147.50N/AN/A11104,7576,313
2011-12-16$35.77$35.0030.2%8.6%28.7%15.4%26.7%6.8%6.4%150.0K844.8K-32.2K2.1720.14N/AN/A1433114,7476,313
2011-12-19$34.52$35.0030.7%8.8%31.6%16.6%31.2%5.7%4.0%-82.9K2.8M-30.1K4.1529.10N/AN/A341414,1695,440
2011-12-20$35.91$35.0028.2%8.1%34.3%11.1%29.1%5.3%5.9%-48.8K924.2K-30.9K0.2431.64N/AN/A80194,1725,542
2011-12-21$36.79$35.0026.4%7.6%33.3%7.2%29.0%5.0%5.7%-8.9K-839.6K-29.4K2.1750.90N/AN/A36784,1655,548
2011-12-22$36.92$35.0025.7%7.4%31.9%5.7%25.8%5.5%4.9%11.2K-1.2M-30.3K0.8734.38N/AN/A1291124,1875,566
2011-12-23$37.12$35.0026.3%7.5%31.9%7.2%28.0%5.0%4.2%31.2K-1.5M-31.4K0.0133.87N/AN/A9614,2825,676
2011-12-27$36.58$35.0026.0%7.4%30.6%6.4%31.5%5.8%3.8%-1.9K-752.2K-29.4K0.8648.97N/AN/A1241074,3325,677
2011-12-28$36.68$35.0027.1%7.8%30.6%8.8%29.5%4.2%4.4%-6.0K-880.5K-29.6K0.9427.73N/AN/A1311234,4225,782
2011-12-29$37.38$35.0028.2%8.1%30.3%11.2%29.5%6.2%3.9%67.1K-2.1M-31.1K0.5428.04N/AN/A4742574,5135,862
2011-12-30$36.87$35.0027.6%7.9%30.7%9.8%31.0%5.0%4.8%51.8K-1.4M-35.1K0.3320.67N/AN/A76254,9826,106