AN Options History — August 2012

In August 2012, AN traded between $38.19 and $40.70. ATM implied volatility averaged 24.8%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 2.2% (HV 20d: 22.6%). Max pain ranged from $31.00 to $41.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 4.12.

Notable Days

  • 2012-08-01: Highest Volume — 1,777 contracts
  • 2012-08-13: Largest IV spike — 17.3% change
  • 2012-08-01: Highest IV Rank — 39.6%
  • 2012-08-01: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.64$38.19$40.70$38.19$40.20
Max Pain$37.26$31.00$41.00$41.00$40.00
ATM IV24.8%21.4%34.6%34.6%22.1%
Expected Move7.1%6.1%9.9%9.9%6.4%
HV 20d22.6%10.2%32.5%32.5%10.2%
HV 60d28.6%26.7%29.5%29.5%26.7%
IV Rank24.4%18.7%39.6%39.6%20.1%
IV Percentile17.8%0.8%67.1%67.1%4.0%
Term Structure2.0%-6.7%4.7%-6.7%4.7%
VWIV25.0%21.8%31.8%31.8%22.6%
Skew 25d2.9%1.0%5.3%2.1%4.4%
Skew 10d7.1%1.8%12.2%10.2%5.0%
Call IV 25d23.8%20.7%30.3%30.3%21.4%
Put IV 25d26.7%22.6%32.4%32.4%25.8%
Bid-Ask Spread %42.0528.7068.8832.3952.03
Gamma HHI0.200.140.320.320.15
Net GEX-342.0K-1.2M107.4K-912.6K63.7K
Net DEX-95.0K-6.0M10.4M10.4M-3.9M
Net VEX-86.9K-107.4K-78.3K-107.4K-78.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.120.0050.001.220.00
Total Volume242.47801,7771,7770
Total OI19,523.39114,66123,48921,61915,183

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$38.19$41.0034.6%9.9%32.5%39.6%31.8%2.1%-6.7%-912.6K10.4M-107.4K1.2232.39N/AN/A7999788,11013,509
2012-08-02$38.34$41.0028.7%8.2%30.4%29.4%29.4%1.4%1.3%-1.2M9.8M-105.4K5.3344.24N/AN/A1286828,61214,249
2012-08-03$38.83$41.0026.6%7.6%30.8%25.6%28.5%2.1%-0.2%-1.1M5.3M-102.2K1.8136.25N/AN/A31568,65014,575
2012-08-06$38.61$31.0029.1%7.8%30.7%30.0%26.9%3.5%1.7%-1.1M6.8M-100.1K1.2936.74N/AN/A1321708,62114,582
2012-08-07$39.16$31.0028.5%7.8%30.7%29.0%27.5%3.9%1.5%-930.2K3.0M-98.2K1.3737.42N/AN/A49678,55814,494
2012-08-08$39.52$31.0028.2%7.6%30.6%30.3%22.9%4.0%1.4%-618.1K76.9K-93.2K0.0028.70N/AN/A7908,54214,546
2012-08-09$39.56$31.0025.8%7.1%30.5%25.8%0.0%3.7%2.2%-628.1K178.4K-91.6K0.0031.52N/AN/A0518,53514,546
2012-08-10$39.58$31.0022.8%7.2%30.3%21.4%24.1%4.4%1.6%-634.2K499.5K-88.2K6.8654.42N/AN/A634328,50414,546
2012-08-13$39.41$33.0026.8%7.4%30.3%29.1%25.1%5.0%1.6%-829.6K1.7M-85.9K50.0032.47N/AN/A31508,55414,935
2012-08-14$39.58$36.0024.5%7.0%28.2%24.6%27.6%2.4%1.9%-144.4K-187.6K-85.8K8.8534.37N/AN/A131158,55314,769
2012-08-15$39.53$36.0021.8%7.2%24.3%19.4%25.7%2.7%1.8%-153.8K503.2K-86.1K0.0736.02N/AN/A2728,54614,787
2012-08-16$39.88$37.0025.1%7.2%20.5%25.9%0.0%5.3%1.4%-52.7K-1.3M-80.3K0.8057.56N/AN/A548,26714,566
2012-08-17$39.87$37.0022.8%6.5%18.0%21.3%22.7%3.5%2.7%-138.6K-1.2M-80.2K2.3134.74N/AN/A1563618,24214,565
2012-08-20$39.75$40.0022.5%6.4%18.0%20.7%22.5%2.1%2.7%2.2K-2.2M-79.1K0.6639.93N/AN/A2171446,6987,963
2012-08-21$39.67$40.0022.3%6.4%17.8%20.4%23.0%1.7%3.4%9.9K-1.7M-81.2K0.5443.19N/AN/A50276,7658,098
2012-08-22$39.87$40.0021.4%6.1%17.8%18.7%22.9%2.7%3.3%4.8K-2.2M-79.7K0.1440.70N/AN/A716,8118,124
2012-08-23$39.82$40.0022.6%6.5%17.8%20.9%21.8%1.8%2.9%29.3K-2.7M-81.0K0.0044.47N/AN/A8206,8188,125
2012-08-24$40.52$40.0022.8%6.5%16.8%21.4%22.2%1.9%3.4%76.0K-4.9M-79.6K0.3259.67N/AN/A122396,8988,125
2012-08-27$40.70$40.0022.9%6.6%16.7%21.5%22.1%2.1%2.3%107.4K-6.0M-79.0K0.4968.88N/AN/A74366,8958,160
2012-08-28$40.47$40.0023.7%6.8%16.3%23.1%0.0%2.0%3.2%104.9K-5.2M-79.5K0.3150.98N/AN/A102326,9218,182
2012-08-29$40.39$40.0022.8%6.5%10.6%21.4%22.6%3.4%3.9%89.2K-4.6M-79.1K0.0031.27N/AN/A8106,9248,212
2012-08-30$40.29$40.0023.2%6.6%10.8%22.0%0.0%1.0%3.7%91.5K-4.5M-78.5K0.0039.12N/AN/A0106,9618,212
2012-08-31$40.20$40.0022.1%6.4%10.2%20.1%0.0%4.4%4.7%63.7K-3.9M-78.3K0.0052.03N/AN/A006,9618,222