AN Options History — April 2012

In April 2012, AN traded between $32.54 and $34.85. ATM implied volatility averaged 27.1%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 6.5% (HV 20d: 20.6%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.94.

Notable Days

  • 2012-04-23: Highest Volume — 9,214 contracts
  • 2012-04-12: Largest IV spike — 20.3% change
  • 2012-04-24: Highest IV Rank — 36.9%
  • 2012-04-24: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.80$32.54$34.85$34.78$34.58
Max Pain$34.10$33.00$35.00$35.00$34.00
ATM IV27.1%21.6%33.0%23.4%26.7%
Expected Move7.9%6.2%9.5%6.7%7.7%
HV 20d20.6%15.1%24.7%18.1%24.5%
HV 60d20.1%19.0%21.1%19.6%20.8%
IV Rank26.6%17.0%36.9%20.2%25.9%
IV Percentile26.4%0.8%57.5%4.8%28.2%
Term Structure0.0%-3.2%5.4%2.1%-0.6%
VWIV27.7%22.7%34.8%23.4%26.8%
Skew 25d2.9%1.0%4.7%2.8%2.6%
Skew 10d9.2%3.5%16.0%15.4%4.7%
Call IV 25d26.3%21.7%33.2%21.7%25.5%
Put IV 25d29.2%23.6%36.2%24.5%28.2%
Bid-Ask Spread %43.2827.5081.2545.5036.76
Gamma HHI0.280.140.530.180.38
Net GEX-46.1K-612.3K1.4M-252.8K1.4M
Net DEX1.7M-11.8M8.8M2.4M-11.8M
Net VEX-37.4K-70.4K-25.0K-29.6K-66.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.940.2512.500.531.05
Total Volume1,274.55309,21478209
Total OI15,163.96,30823,62711,78223,627

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$34.78$35.0023.4%6.7%18.1%20.2%23.4%2.8%2.1%-252.8K2.4M-29.6K0.5345.50N/AN/A51274,4007,382
2012-04-03$34.85$35.0023.3%6.7%16.7%20.1%23.5%3.4%3.5%-226.9K2.0M-29.2K0.3741.69N/AN/A7892934,4227,378
2012-04-04$34.55$35.0022.6%6.5%16.4%18.8%22.7%1.3%3.8%-209.0K2.3M-31.1K1.0237.78N/AN/A2973025,1247,422
2012-04-05$34.21$35.0021.6%6.2%15.1%17.0%23.5%1.1%5.4%-282.7K3.2M-32.2K0.8436.66N/AN/A25215,3717,515
2012-04-09$33.69$35.0025.6%8.1%15.7%23.9%29.5%3.2%0.2%-417.0K5.3M-29.4K0.5728.43N/AN/A136775,3777,536
2012-04-10$32.54$34.0028.7%8.7%19.6%29.4%29.9%2.9%-0.8%-580.3K8.8M-27.4K2.8127.50N/AN/A722025,4507,510
2012-04-11$33.22$34.0024.3%8.4%20.8%21.7%29.5%4.0%-0.5%-612.3K7.5M-26.5K0.3436.11N/AN/A7822655,4177,647
2012-04-12$33.34$33.0029.2%8.4%20.2%30.2%28.5%4.1%-1.1%-436.5K5.5M-29.1K12.5034.27N/AN/A101256,1407,871
2012-04-13$32.97$33.0029.3%8.4%20.2%30.5%30.0%3.6%0.2%-521.8K6.9M-28.5K0.0043.08N/AN/A0316,1487,930
2012-04-16$33.20$33.0030.4%8.7%20.5%32.3%28.6%3.8%-1.0%-476.9K6.0M-26.7K1.6743.78N/AN/A901506,1487,936
2012-04-17$33.97$34.0028.0%8.0%22.1%28.2%28.0%4.7%-0.6%-353.3K3.4M-26.9K2.3343.45N/AN/A671566,1958,062
2012-04-18$33.75$34.0028.8%8.3%22.1%29.5%30.0%3.9%-1.1%-417.2K4.1M-26.4K7.8359.49N/AN/A6476,2508,213
2012-04-19$33.38$34.0028.7%8.2%22.0%29.3%27.4%3.6%0.6%-371.2K5.9M-25.8K0.2552.11N/AN/A2466,2568,254
2012-04-20$33.74$34.0028.4%8.2%22.6%28.9%27.7%3.9%-1.5%-472.3K4.9M-25.0K0.2530.34N/AN/A4891246,2808,254
2012-04-23$33.60$34.0031.6%9.1%22.5%34.5%32.0%1.6%-3.2%30.3K731.9K-25.0K0.9174.33N/AN/A4,8124,4023,1663,142
2012-04-24$33.58$34.0033.0%9.5%21.7%36.9%34.8%3.0%-2.1%240.7K-1.6M-54.0K0.7781.25N/AN/A5,1853,9747,5327,520
2012-04-25$33.23$34.0026.3%7.5%21.7%25.2%26.2%1.8%-0.9%455.2K-983.1K-69.0K1.2646.10N/AN/A59274611,96711,261
2012-04-26$34.38$34.0026.3%7.5%24.7%25.1%26.3%1.8%-1.2%1.2M-10.2M-70.4K0.9729.91N/AN/A34533512,10111,484
2012-04-27$34.51$34.0025.7%7.4%24.6%24.2%26.2%1.0%-0.8%1.3M-10.9M-69.6K0.6237.06N/AN/A1408712,00711,583
2012-04-30$34.58$34.0026.7%7.7%24.5%25.9%26.8%2.6%-0.6%1.4M-11.8M-66.2K1.0536.76N/AN/A10210712,00211,625