AN Options History — July 2012

In July 2012, AN traded between $36.76 and $42.45. ATM implied volatility averaged 28.9%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 4.7% (HV 20d: 33.7%). Max pain ranged from $35.00 to $42.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.47.

Notable Days

  • 2012-07-19: Highest Volume — 5,790 contracts
  • 2012-07-18: Largest IV spike — 18.7% change
  • 2012-07-11: Highest IV Rank — 39.7%
  • 2012-07-18: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.52$36.76$42.45$36.76$39.43
Max Pain$39.38$35.00$42.00$35.00$41.00
ATM IV28.9%26.3%34.6%28.4%28.8%
Expected Move8.0%7.3%9.2%8.2%8.2%
HV 20d33.7%31.2%37.7%33.6%31.4%
HV 60d27.2%25.7%29.1%26.4%28.7%
IV Rank29.8%25.2%39.7%28.9%29.5%
IV Percentile40.6%19.0%64.7%38.5%46.0%
Term Structure-0.2%-4.9%1.6%-1.6%-0.5%
VWIV28.3%24.5%32.1%30.3%26.3%
Skew 25d3.9%2.1%8.5%4.1%3.3%
Skew 10d9.9%4.9%18.5%14.6%14.5%
Call IV 25d26.2%22.2%27.6%26.6%26.9%
Put IV 25d30.1%27.5%33.9%30.7%30.1%
Bid-Ask Spread %41.3422.3697.6053.3063.18
Gamma HHI0.230.130.580.130.26
Net GEX239.7K-757.8K4.3M210.0K-687.8K
Net DEX-9.8M-41.8M4.2M-3.1M2.7M
Net VEX-88.6K-114.5K-62.3K-62.3K-105.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.115.241.264.44
Total Volume1,566.667345,7901,370332
Total OI20,464.28613,31532,97913,31521,381

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$36.76$35.0028.4%8.2%33.6%28.9%30.3%4.1%-1.6%210.0K-3.1M-62.3K1.2653.30N/AN/A6057655,8427,473
2012-07-03$37.79$35.0027.7%7.9%34.8%27.6%27.7%3.8%-1.8%197.4K-6.3M-65.0K0.1136.51N/AN/A365406,3208,134
2012-07-05$38.99$35.0028.4%8.1%34.1%28.8%29.3%8.5%-1.4%226.4K-10.8M-65.2K5.2497.60N/AN/A1206296,6418,162
2012-07-06$38.91$37.0028.5%7.3%33.8%29.0%28.3%2.8%1.5%172.1K-10.4M-65.1K1.4226.09N/AN/A3154476,7018,585
2012-07-09$39.19$37.0032.1%7.9%33.3%35.4%28.3%3.4%0.7%169.4K-11.4M-67.4K0.8722.36N/AN/A1,0148836,9388,918
2012-07-10$39.75$38.0031.3%7.9%32.1%34.0%24.5%3.9%0.4%181.6K-14.0M-77.4K0.9230.63N/AN/A6225737,8979,693
2012-07-11$39.25$39.0034.6%8.0%32.5%39.7%25.4%4.2%0.3%202.0K-11.7M-82.1K1.1337.18N/AN/A86978,34610,107
2012-07-12$39.43$39.0028.7%8.2%31.3%29.3%29.9%3.5%-0.4%198.0K-12.2M-81.0K0.2034.80N/AN/A432878,38510,168
2012-07-13$39.84$39.0028.0%8.0%31.2%28.1%32.1%3.8%-0.0%284.6K-14.2M-79.4K2.5938.43N/AN/A391018,71810,209
2012-07-16$39.72$39.0029.1%8.4%31.3%30.1%31.4%4.0%-0.3%269.3K-14.5M-78.2K0.7564.25N/AN/A2,5821,9318,74010,143
2012-07-17$40.93$39.0027.1%7.8%32.6%26.6%31.7%4.1%0.8%678.4K-25.7M-78.0K0.7731.88N/AN/A2,9902,31111,21512,071
2012-07-18$42.45$39.0032.2%9.2%34.5%35.4%31.6%7.9%-4.9%752.6K-41.8M-76.4K1.1753.21N/AN/A2,1792,55014,00414,180
2012-07-19$40.78$41.0027.5%7.9%37.7%27.3%26.4%3.4%0.7%2.0M-32.5M-101.7K0.1526.00N/AN/A5,02876215,61915,832
2012-07-20$39.68$42.0027.1%7.8%37.6%26.7%26.9%2.1%1.6%4.3M-14.9M-112.0K0.8535.29N/AN/A1,8591,57116,58316,396
2012-07-23$39.54$42.0027.8%8.0%37.6%27.8%27.4%2.4%-0.7%-682.8K2.4M-113.0K2.9343.40N/AN/A461357,94013,091
2012-07-24$39.25$42.0028.6%8.2%33.2%29.2%27.5%2.7%0.5%-726.3K4.1M-114.5K0.7932.69N/AN/A100797,94413,105
2012-07-25$39.17$42.0028.3%8.1%33.3%28.7%29.5%2.8%0.5%-740.5K4.2M-113.4K0.0028.70N/AN/A0347,97213,103
2012-07-26$39.17$42.0028.3%8.1%33.4%28.7%26.5%3.5%-0.2%-757.8K3.8M-111.2K1.0229.16N/AN/A2002047,97213,121
2012-07-27$40.12$42.0026.3%7.5%33.8%25.2%26.0%3.9%0.7%-553.5K-488.7K-107.5K1.3834.99N/AN/A841167,91513,120
2012-07-30$39.86$42.0028.3%8.1%33.6%28.7%27.9%4.1%-0.4%-600.2K614.6K-104.5K1.3348.47N/AN/A2523357,96813,098
2012-07-31$39.43$41.0028.8%8.2%31.4%29.5%26.3%3.3%-0.5%-687.8K2.7M-105.1K4.4463.18N/AN/A612718,10413,277