AN Options History — May 2012

In May 2012, AN traded between $34.18 and $36.61. ATM implied volatility averaged 27.5%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 7.0% (HV 20d: 20.5%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 4.97.

Notable Days

  • 2012-05-10: Highest Volume — 1,281 contracts
  • 2012-05-17: Largest IV spike — 14.3% change
  • 2012-05-17: Highest IV Rank — 33.8%
  • 2012-05-17: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.22$34.18$36.61$35.18$36.02
Max Pain$34.86$34.00$35.00$34.00$35.00
ATM IV27.5%25.4%31.3%27.6%26.6%
Expected Move7.8%7.3%9.0%7.9%7.6%
HV 20d20.5%16.8%24.9%24.8%17.8%
HV 60d19.9%19.5%20.3%20.1%19.8%
IV Rank27.3%23.6%33.8%27.5%25.7%
IV Percentile29.0%13.9%49.2%31.3%23.4%
Term Structure0.3%-2.0%1.7%-2.0%1.4%
VWIV27.2%24.5%31.1%27.0%29.1%
Skew 25d2.7%0.5%4.3%1.3%3.5%
Skew 10d7.6%2.8%15.3%12.4%15.3%
Call IV 25d25.8%24.2%29.3%26.4%25.6%
Put IV 25d28.4%25.8%31.0%27.7%29.1%
Bid-Ask Spread %45.2020.9290.4334.8035.05
Gamma HHI0.370.150.610.410.18
Net GEX1.5M19.6K3.7M1.7M95.0K
Net DEX-9.3M-17.6M-322.2K-17.0M-2.3M
Net VEX-43.7K-63.1K-30.4K-63.0K-35.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.970.0363.601.270.87
Total Volume302181,28129556
Total OI18,281.4557,46224,94723,7848,665

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$35.18$34.0027.6%7.9%24.8%27.5%27.0%1.3%-2.0%1.7M-17.0M-63.0K1.2734.80N/AN/A13016512,05011,734
2012-05-02$34.94$34.0027.4%7.8%24.9%27.0%28.4%2.3%-1.5%1.6M-15.1M-63.1K6.2120.92N/AN/A148712,07811,793
2012-05-03$35.22$34.0025.4%7.3%24.8%23.6%25.8%1.1%-0.0%2.0M-17.6M-58.0K63.6041.06N/AN/A531811,98911,774
2012-05-04$34.94$35.0025.6%7.3%24.7%24.0%0.0%0.5%1.1%2.0M-15.5M-58.5K2.5229.22N/AN/A5814611,99411,679
2012-05-07$35.01$35.0027.6%7.6%24.0%27.5%26.3%2.6%-0.1%2.1M-15.9M-55.0K5.4430.20N/AN/A168711,97711,721
2012-05-08$34.40$35.0029.2%8.0%21.1%30.2%26.7%2.5%0.0%1.7M-10.1M-54.8K0.0328.83N/AN/A9003011,97711,735
2012-05-09$34.95$35.0028.1%7.7%20.6%28.3%27.8%2.8%0.2%2.2M-15.5M-52.8K6.3040.78N/AN/A106311,99211,721
2012-05-10$35.04$35.0026.4%7.6%20.6%25.4%24.5%3.4%0.9%2.5M-16.1M-50.0K0.0340.89N/AN/A1,2453612,00011,755
2012-05-11$35.02$35.0026.2%7.5%20.0%25.0%26.8%2.2%0.7%2.8M-16.7M-50.4K2.6027.55N/AN/A51312,80911,768
2012-05-14$34.85$35.0027.1%7.8%20.1%26.6%26.9%2.3%0.6%3.1M-14.7M-44.9K2.0142.43N/AN/A6913912,80911,764
2012-05-15$34.80$35.0027.5%7.9%18.6%27.3%27.9%2.2%0.3%3.2M-13.9M-43.0K2.1868.45N/AN/A173712,79411,873
2012-05-16$34.92$35.0027.3%7.8%18.4%27.0%27.6%3.5%1.3%3.7M-15.2M-41.5K3.2239.83N/AN/A237412,79211,888
2012-05-17$34.18$35.0031.3%9.0%19.7%33.8%31.1%1.7%-1.9%2.1M-3.3M-34.3K4.9955.58N/AN/A8642912,80311,929
2012-05-18$34.38$35.0030.3%8.7%19.5%32.2%28.5%2.9%0.7%1.6M-3.9M-33.1K1.4843.50N/AN/A446512,87612,071
2012-05-21$35.03$35.0027.8%8.0%20.3%27.8%26.5%4.3%0.7%19.6K-322.2K-31.1K0.9433.13N/AN/A104983,0494,413
2012-05-22$35.56$35.0026.8%7.7%20.8%26.1%25.9%3.8%1.0%52.3K-1.3M-30.4K0.4161.05N/AN/A3811583,1294,493
2012-05-23$35.79$35.0027.4%7.8%20.2%27.1%27.3%4.1%0.4%67.6K-1.8M-32.5K2.6168.78N/AN/A38993,2764,529
2012-05-24$35.88$35.0027.6%7.9%16.8%27.4%25.7%2.6%1.7%72.7K-2.0M-32.4K0.9645.20N/AN/A2322223,3124,571
2012-05-25$36.27$35.0026.3%7.5%17.1%25.3%24.6%3.4%1.4%85.6K-2.4M-32.3K0.2158.13N/AN/A179373,3924,718
2012-05-29$36.61$35.0027.1%7.8%17.2%26.6%29.2%3.0%-0.0%117.8K-3.0M-31.4K0.9990.43N/AN/A1121113,4334,749
2012-05-30$35.92$35.0028.1%8.1%18.0%28.4%28.3%2.7%-0.1%66.7K-1.6M-32.4K0.5358.49N/AN/A3311753,4694,849
2012-05-31$36.02$35.0026.6%7.6%17.8%25.7%29.1%3.5%1.4%95.0K-2.3M-35.3K0.8735.05N/AN/A30263,7514,914