AN Options History — January 2012

In January 2012, AN traded between $33.26 and $36.82. ATM implied volatility averaged 31.4%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 6.6% (HV 20d: 38.0%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 5.17.

Notable Days

  • 2012-01-05: Highest Volume — 2,195 contracts
  • 2012-01-04: Largest IV spike — 24.1% change
  • 2012-01-04: Highest IV Rank — 30.4%
  • 2012-01-06: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.09$33.26$36.82$35.70$35.76
Max Pain$36.05$35.00$37.00$35.00$36.00
ATM IV31.4%25.2%37.1%29.9%27.4%
Expected Move9.2%7.2%11.2%8.6%7.8%
HV 20d38.0%32.9%41.6%32.9%35.3%
HV 60d34.5%32.8%36.7%33.8%33.0%
IV Rank18.2%4.8%30.4%14.8%9.4%
IV Percentile44.5%5.2%71.0%34.9%19.8%
Term Structure1.1%-3.9%13.8%10.6%0.6%
VWIV32.5%25.3%37.7%31.3%28.5%
Skew 25d5.6%3.1%12.8%3.2%4.0%
Skew 10d12.5%-9.4%27.2%-9.4%9.4%
Call IV 25d29.0%23.1%33.8%28.5%25.5%
Put IV 25d34.6%27.7%40.1%31.7%29.4%
Bid-Ask Spread %39.6722.6083.2543.6760.43
Gamma HHI0.210.080.360.150.13
Net GEX-143.5K-359.8K72.8K-62.8K-7.7K
Net DEX2.5M-1.4M6.7M931.4K385.1K
Net VEX-30.8K-33.4K-27.0K-32.1K-33.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.170.0433.710.291.64
Total Volume525.15582,195381132
Total OI10,829.16,48913,35611,1258,192

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$35.70$35.0029.9%8.6%32.9%14.8%31.3%3.2%10.6%-62.8K931.4K-32.1K0.2943.67N/AN/A295865,0266,099
2012-01-04$33.26$35.0037.1%10.6%40.3%30.4%36.8%4.8%13.8%-151.8K6.0M-28.7K4.7631.61N/AN/A2351,1185,1216,150
2012-01-05$34.05$35.0033.4%9.6%41.2%22.4%32.6%12.8%2.4%-200.4K5.3M-30.9K4.1583.25N/AN/A4261,7695,1756,645
2012-01-06$33.44$37.0033.9%11.2%41.5%23.4%35.5%6.6%-3.9%-257.7K6.7M-32.3K12.9723.70N/AN/A314025,3617,236
2012-01-09$33.80$37.0033.9%10.1%41.6%23.6%37.5%6.9%-1.5%-272.3K6.1M-31.1K33.7122.60N/AN/A72365,3597,262
2012-01-10$34.34$37.0031.7%9.8%40.1%18.8%35.1%6.9%-0.9%-289.2K5.1M-31.2K1.5029.13N/AN/A1692545,3617,390
2012-01-11$34.35$37.0031.0%9.7%40.1%17.2%32.4%5.9%-0.3%-324.1K5.1M-31.5K0.0428.46N/AN/A366135,3947,551
2012-01-12$34.39$36.0033.8%9.7%39.1%23.3%32.6%5.9%-0.0%-297.7K4.6M-32.0K1.2540.93N/AN/A64805,6647,530
2012-01-13$34.10$36.0033.1%9.5%39.2%21.7%33.4%6.2%0.3%-359.8K5.2M-30.6K7.9535.51N/AN/A191515,7107,523
2012-01-17$34.28$36.0033.7%9.7%39.1%23.0%34.5%6.5%-0.7%-344.6K4.9M-28.0K0.1824.43N/AN/A7091305,7147,520
2012-01-18$35.33$36.0032.3%9.3%40.7%20.0%31.1%4.9%0.2%-153.9K1.5M-28.6K0.5941.75N/AN/A1941145,6797,587
2012-01-19$35.55$36.0031.7%9.1%38.6%18.7%37.7%7.1%0.7%-102.6K27.2K-28.2K0.8740.42N/AN/A31275,7577,599
2012-01-20$35.21$36.0030.9%8.9%36.1%17.1%32.7%4.6%0.9%-242.8K843.9K-27.0K10.4443.14N/AN/A525435,7307,598
2012-01-23$35.88$36.0032.2%9.2%35.6%19.9%34.2%4.8%-0.3%10.3K681.6K-29.5K0.3943.25N/AN/A252982,8653,624
2012-01-24$36.25$36.0031.0%8.9%35.8%17.4%30.1%4.8%-0.7%25.8K-116.3K-29.7K3.0233.96N/AN/A2577763,0553,722
2012-01-25$36.34$36.0032.2%9.2%35.8%19.8%32.8%3.4%-2.1%44.3K-282.1K-33.4K0.4734.03N/AN/A151713,2934,040
2012-01-26$36.82$36.0025.2%7.2%35.7%4.8%25.3%3.3%1.0%72.8K-1.4M-33.1K0.3344.73N/AN/A3501153,4214,097
2012-01-27$36.50$36.0026.5%7.6%35.9%7.5%27.9%3.1%0.8%51.4K-764.5K-32.9K18.7334.88N/AN/A224123,4674,152
2012-01-30$36.37$36.0027.7%8.0%35.2%10.2%27.1%5.5%0.4%-8.0K-165.8K-32.8K0.0453.47N/AN/A334123,4694,444
2012-01-31$35.76$36.0027.4%7.8%35.3%9.4%28.5%4.0%0.6%-7.7K385.1K-33.2K1.6460.43N/AN/A50823,7414,451