AN Options History — February 2012

In February 2012, AN traded between $34.02 and $37.18. ATM implied volatility averaged 26.1%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 4.0% (HV 20d: 22.1%). Max pain ranged from $30.00 to $36.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 4.31.

Notable Days

  • 2012-02-15: Highest Volume — 2,220 contracts
  • 2012-02-09: Largest IV spike — 9.3% change
  • 2012-02-14: Highest IV Rank — 12.1%
  • 2012-02-14: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.46$34.02$37.18$36.27$34.08
Max Pain$31.85$30.00$36.00$36.00$33.00
ATM IV26.1%24.1%28.6%27.1%24.3%
Expected Move7.5%6.9%8.2%7.8%7.0%
HV 20d22.1%20.6%33.8%33.8%20.8%
HV 60d31.1%29.1%33.2%32.9%29.2%
IV Rank6.6%2.3%12.1%8.8%2.7%
IV Percentile12.0%0.8%27.0%18.7%1.6%
Term Structure0.9%-0.1%1.7%1.3%0.8%
VWIV25.8%21.0%31.3%29.0%23.8%
Skew 25d4.2%2.7%5.4%4.3%3.7%
Skew 10d9.0%-0.8%16.4%16.4%4.3%
Call IV 25d24.3%21.4%26.8%24.9%22.1%
Put IV 25d28.4%24.9%32.2%29.2%25.8%
Bid-Ask Spread %43.4120.5572.8854.1639.64
Gamma HHI0.150.110.210.130.18
Net GEX-100.9K-301.2K120.4K17.7K-301.2K
Net DEX1.8M-2.4M5.5M-449.9K5.0M
Net VEX-36.8K-44.8K-30.6K-33.4K-38.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.310.1455.000.280.64
Total Volume369.6562,220194149
Total OI9,814.058,25113,0688,25110,581

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$36.27$36.0027.1%7.8%33.8%8.8%29.0%4.3%1.3%17.7K-449.9K-33.4K0.2854.16N/AN/A152423,7504,501
2012-02-02$35.89$36.0026.6%7.6%21.3%7.7%26.2%3.1%1.5%6.0K26.1K-33.2K55.0033.06N/AN/A1553,8504,505
2012-02-03$37.02$30.0025.0%7.6%22.4%4.4%26.6%5.3%1.3%92.3K-1.9M-33.4K0.5346.40N/AN/A110583,8504,558
2012-02-06$37.14$30.0026.5%7.7%20.8%7.4%25.3%4.8%1.0%114.4K-2.2M-33.1K0.1435.85N/AN/A148203,9074,599
2012-02-07$37.18$30.0026.6%7.7%20.7%7.8%26.3%4.8%0.7%120.4K-2.4M-33.5K0.8526.56N/AN/A59503,9994,607
2012-02-08$36.86$30.0024.3%7.5%20.8%2.8%0.0%4.2%1.2%82.6K-1.7M-32.8K10.9134.73N/AN/A323494,0424,620
2012-02-09$36.83$30.0026.6%7.6%20.8%7.7%26.5%5.4%0.5%70.0K-1.6M-33.4K1.1537.54N/AN/A61704,0634,824
2012-02-10$36.11$30.0027.9%8.0%22.4%10.5%31.3%5.3%1.0%-8.4K66.6K-33.1K2.0047.23N/AN/A24484,1084,881
2012-02-13$35.90$30.0028.4%8.1%22.3%11.5%28.9%5.4%0.4%-19.7K508.9K-31.8K0.5941.70N/AN/A78464,1314,927
2012-02-14$35.15$30.0028.6%8.2%23.7%12.1%28.2%5.3%1.0%-73.5K2.2M-30.6K2.3142.70N/AN/A5901,3654,1924,938
2012-02-15$34.55$30.0027.8%8.0%22.0%10.2%23.8%5.0%0.1%-236.9K4.4M-36.8K2.2654.06N/AN/A6801,5404,7216,136
2012-02-16$34.63$30.0026.1%7.5%21.9%6.6%27.0%4.3%0.3%-300.5K5.5M-44.8K0.6148.37N/AN/A2661615,2737,473
2012-02-17$35.00$34.0025.1%7.2%22.0%4.5%24.9%3.7%1.5%-133.0K3.6M-44.5K0.2331.15N/AN/A170395,5137,555
2012-02-21$34.93$33.0024.9%7.1%20.8%4.1%24.1%3.4%1.5%-170.0K3.0M-42.5K0.9620.55N/AN/A102984,2516,002
2012-02-22$34.34$33.0026.5%7.6%21.1%7.6%25.3%2.7%-0.1%-231.6K4.2M-41.4K1.0643.17N/AN/A80854,2306,063
2012-02-23$34.49$33.0024.1%6.9%21.1%2.3%22.3%3.5%1.7%-235.3K4.0M-41.0K2.6844.73N/AN/A34914,2516,076
2012-02-24$34.02$33.0025.1%7.2%20.6%4.6%21.0%3.3%0.5%-275.5K5.1M-39.6K1.3772.88N/AN/A63864,2796,098
2012-02-27$34.36$33.0025.7%7.4%21.1%5.8%25.4%2.9%0.7%-265.6K4.4M-39.5K2.1842.57N/AN/A621354,2896,157
2012-02-28$34.47$33.0024.4%7.0%21.2%3.0%23.8%3.0%0.9%-270.1K4.0M-38.9K0.4571.10N/AN/A133604,3166,165
2012-02-29$34.08$33.0024.3%7.0%20.8%2.7%23.8%3.7%0.8%-301.2K5.0M-38.5K0.6439.64N/AN/A91584,3636,218