AN Options History — March 2012

In March 2012, AN traded between $33.28 and $35.79. ATM implied volatility averaged 23.3%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 5.1% (HV 20d: 18.2%). Max pain ranged from $33.00 to $36.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.02.

Notable Days

  • 2012-03-13: Highest Volume — 1,094 contracts
  • 2012-03-15: Largest IV spike — 99.3% change
  • 2012-03-16: Highest IV Rank — 21.5%
  • 2012-03-06: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.59$33.28$35.79$34.09$34.31
Max Pain$35.27$33.00$36.00$33.00$35.00
ATM IV23.3%11.8%29.6%24.1%21.6%
Expected Move6.8%6.1%7.9%6.9%6.2%
HV 20d18.2%16.1%20.0%19.9%18.2%
HV 60d26.9%19.9%29.2%29.2%19.9%
IV Rank12.6%0.0%21.5%2.4%17.1%
IV Percentile5.9%0.0%35.3%1.6%1.2%
Term Structure3.2%0.3%4.8%1.0%4.8%
VWIV24.0%20.3%27.1%23.1%21.6%
Skew 25d2.7%1.1%4.6%3.1%1.1%
Skew 10d9.4%4.5%15.2%5.0%9.2%
Call IV 25d22.8%19.7%26.1%22.6%21.8%
Put IV 25d25.5%22.7%29.5%25.8%22.9%
Bid-Ask Spread %38.9027.8972.7850.9739.46
Gamma HHI0.180.150.220.180.19
Net GEX-266.9K-382.5K-90.7K-317.7K-328.2K
Net DEX3.1M-743.4K6.7M5.0M3.5M
Net VEX-34.7K-38.8K-30.1K-38.2K-30.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.020.1412.9212.921.72
Total Volume284.364511,09433468
Total OI11,314.45510,67712,18910,67711,762

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$34.09$33.0024.1%6.9%19.9%2.4%23.1%3.1%1.0%-317.7K5.0M-38.2K12.9250.97N/AN/A243104,4156,262
2012-03-02$34.32$33.0024.9%7.1%20.0%4.0%24.9%4.5%0.3%-295.9K4.4M-38.8K1.3929.95N/AN/A67934,4376,350
2012-03-05$33.85$36.0026.4%7.6%16.1%7.2%26.8%3.4%2.5%-329.1K5.4M-36.9K0.7633.85N/AN/A91694,4796,269
2012-03-06$33.28$36.0029.6%7.9%16.4%14.1%26.2%3.3%2.6%-347.1K6.7M-36.5K0.2955.63N/AN/A5591614,5296,313
2012-03-07$33.79$36.0025.4%7.4%17.8%5.1%25.1%3.4%3.7%-349.8K5.7M-37.0K0.2237.40N/AN/A390854,6206,353
2012-03-08$34.49$36.0027.0%7.5%19.9%8.5%25.9%3.0%2.9%-303.1K3.9M-37.2K0.3135.90N/AN/A49154,4466,413
2012-03-09$34.14$36.0025.9%7.2%20.0%6.2%25.6%2.0%3.2%-332.9K4.5M-37.0K3.9333.72N/AN/A1264954,4876,410
2012-03-12$33.82$36.0026.3%7.4%19.2%7.0%27.1%3.4%2.6%-382.5K5.5M-34.9K1.3533.43N/AN/A60814,5576,404
2012-03-13$34.16$36.0024.1%7.1%19.8%2.4%25.6%2.8%2.9%-367.5K4.4M-34.8K1.9339.08N/AN/A3747204,6106,470
2012-03-14$34.62$36.0011.8%7.0%19.2%0.0%24.4%2.8%3.0%-307.7K3.3M-36.3K0.8746.85N/AN/A77674,8727,159
2012-03-15$34.85$36.0023.6%6.8%18.4%20.4%24.4%1.6%3.8%-250.6K2.2M-37.0K4.2637.10N/AN/A19814,9187,194
2012-03-16$34.74$36.0024.1%6.9%18.4%21.5%20.3%1.9%2.9%-260.4K2.7M-36.1K0.1432.91N/AN/A607884,9327,257
2012-03-19$35.02$35.0022.9%6.6%18.2%19.3%22.8%2.3%4.5%-219.5K1.7M-34.4K1.6727.89N/AN/A981644,2736,923
2012-03-20$35.15$35.0022.9%6.6%18.3%19.2%25.1%2.4%3.0%-204.7K1.5M-34.4K1.8235.18N/AN/A49894,3117,020
2012-03-21$35.37$35.0022.0%6.3%17.2%17.8%0.0%1.8%3.8%-166.1K502.5K-32.9K0.7039.21N/AN/A30214,3347,062
2012-03-22$35.21$35.0022.3%6.4%17.3%18.3%22.7%1.7%3.6%-190.7K926.9K-33.5K1.2440.04N/AN/A50624,3537,080
2012-03-23$35.33$35.0021.9%6.3%16.4%17.5%20.9%2.0%4.4%-158.4K623.3K-32.9K1.5938.39N/AN/A56894,3567,099
2012-03-26$35.79$35.0021.4%6.1%16.6%16.7%23.7%4.6%3.9%-90.7K-743.4K-30.4K1.3630.77N/AN/A771054,3527,099
2012-03-27$35.42$35.0021.7%6.2%17.2%17.1%23.1%3.7%3.2%-140.8K263.2K-30.5K3.0872.78N/AN/A391204,3567,138
2012-03-28$34.79$35.0022.3%6.4%17.9%18.2%22.7%2.1%3.1%-230.5K2.0M-31.7K1.4530.10N/AN/A60874,3687,220
2012-03-29$34.52$35.0021.6%6.2%18.2%17.0%22.0%3.1%4.5%-297.9K3.4M-31.9K1.3535.29N/AN/A1211634,3777,279
2012-03-30$34.31$35.0021.6%6.2%18.2%17.1%21.6%1.1%4.8%-328.2K3.5M-30.1K1.7239.46N/AN/A25434,4127,350