AN Options History — June 2012

In June 2012, AN traded between $34.32 and $37.48. ATM implied volatility averaged 27.8%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 1.5% (HV 20d: 26.3%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.63.

Notable Days

  • 2012-06-12: Highest Volume — 2,100 contracts
  • 2012-06-25: Largest IV spike — 22.1% change
  • 2012-06-25: Highest IV Rank — 37.1%
  • 2012-06-25: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.99$34.32$37.48$35.00$35.28
Max Pain$35.52$35.00$36.00$35.00$35.00
ATM IV27.8%23.1%33.1%28.7%27.4%
Expected Move8.4%7.6%9.5%8.2%7.9%
HV 20d26.3%20.6%31.6%20.6%30.4%
HV 60d22.7%20.1%25.2%20.6%25.2%
IV Rank27.8%19.6%37.1%29.4%27.1%
IV Percentile30.5%5.2%59.1%36.9%30.6%
Term Structure0.1%-4.4%2.3%1.1%0.1%
VWIV29.3%25.5%32.3%28.8%27.8%
Skew 25d4.7%2.7%7.2%2.7%3.9%
Skew 10d11.0%0.3%18.5%1.9%9.6%
Call IV 25d27.1%24.1%30.1%28.1%25.2%
Put IV 25d31.7%28.0%34.8%30.8%29.0%
Bid-Ask Spread %43.4628.1370.1469.7936.17
Gamma HHI0.190.100.570.160.12
Net GEX214.4K-41.4K848.0K29.7K104.6K
Net DEX-1.4M-6.9M5.0M-493.8K1.5M
Net VEX-50.3K-61.8K-35.7K-35.7K-61.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.0020.650.183.19
Total Volume434.476342,100815260
Total OI11,284.3818,71813,2928,71813,292

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$35.00$35.0028.7%8.2%20.6%29.4%28.8%2.7%1.1%29.7K-493.8K-35.7K0.1869.79N/AN/A6881273,7814,937
2012-06-04$35.32$35.0030.6%9.3%20.6%32.6%32.1%4.7%-1.4%154.9K-1.7M-37.6K0.2338.94N/AN/A124294,3614,926
2012-06-05$35.55$35.0026.5%8.8%20.7%25.6%30.6%4.4%-0.4%191.4K-2.1M-37.0K0.8358.60N/AN/A4493724,3924,928
2012-06-06$36.90$35.0024.9%8.4%23.3%22.8%29.1%5.0%0.7%333.6K-5.9M-37.9K0.5538.52N/AN/A1881044,7545,097
2012-06-07$36.54$35.0024.0%8.2%23.2%21.1%29.1%3.8%1.3%338.8K-5.1M-38.6K0.5728.99N/AN/A101584,8305,173
2012-06-08$37.22$35.0023.1%8.2%23.9%19.6%31.5%4.7%1.5%373.5K-6.9M-36.5K0.5834.05N/AN/A60354,8255,184
2012-06-11$36.36$35.0026.7%8.7%25.7%26.0%29.5%3.4%1.8%403.1K-4.8M-37.0K0.7246.28N/AN/A2792024,8735,174
2012-06-12$36.87$35.0023.9%8.5%25.9%21.1%29.8%5.0%0.6%433.3K-6.0M-38.1K20.6528.13N/AN/A972,0035,0105,269
2012-06-13$36.14$36.0027.4%9.2%27.1%27.2%32.3%4.2%-0.3%270.8K-740.6K-60.1K0.1147.36N/AN/A298325,0627,244
2012-06-14$36.61$36.0031.0%8.9%27.4%33.4%29.9%4.9%0.1%425.8K-2.7M-60.8K0.0034.75N/AN/A3405,3057,256
2012-06-15$36.90$36.0029.6%8.5%26.0%31.0%28.3%5.2%1.0%848.0K-3.5M-59.2K0.0038.82N/AN/A55615,2977,253
2012-06-18$37.08$36.0028.1%8.1%26.0%28.3%30.8%6.1%0.5%128.2K-2.2M-58.2K0.3539.16N/AN/A63224,7336,758
2012-06-19$37.48$36.0027.0%7.7%25.5%26.4%29.7%5.1%2.3%160.6K-3.4M-57.0K0.5635.40N/AN/A94534,7726,749
2012-06-20$36.98$36.0026.3%7.6%25.8%25.3%26.3%3.5%-0.6%167.9K-2.4M-56.4K0.1841.93N/AN/A154284,8596,751
2012-06-21$35.95$36.0027.6%7.9%27.8%27.4%26.5%3.5%0.6%122.3K-58.2K-57.0K3.0842.91N/AN/A1243824,9506,759
2012-06-22$35.87$36.0027.1%7.8%27.8%26.7%25.5%4.6%0.4%91.1K730.0K-58.8K0.0366.91N/AN/A6624,9687,071
2012-06-25$34.32$36.0033.1%9.5%31.6%37.1%29.7%4.7%-4.4%-30.7K4.4M-54.8K0.9839.09N/AN/A1311295,0347,071
2012-06-26$34.38$36.0030.5%8.8%31.3%32.6%29.7%7.2%-0.9%-41.4K5.0M-53.4K0.2234.32N/AN/A6421435,0687,103
2012-06-27$34.52$36.0029.5%8.5%30.8%30.8%30.8%6.2%-1.8%-3.2K3.9M-58.6K1.1670.14N/AN/A4134775,6397,176
2012-06-28$34.45$35.0030.2%8.7%30.8%32.0%28.5%4.9%-0.8%-7474.0M-60.9K0.0842.46N/AN/A9685,8197,469
2012-06-29$35.28$35.0027.4%7.9%30.4%27.1%27.8%3.9%0.1%104.6K1.5M-61.8K3.1936.17N/AN/A621985,8247,468