AN Options History — September 2012

In September 2012, AN traded between $40.98 and $43.67. ATM implied volatility averaged 22.6%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 4.5% (HV 20d: 18.1%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 3.64.

Notable Days

  • 2012-09-21: Highest Volume — 5,154 contracts
  • 2012-09-05: Largest IV drop — 25.3% change
  • 2012-09-04: Highest IV Rank — 30.2%
  • 2012-09-04: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.11$40.98$43.67$41.16$43.67
Max Pain$40.63$40.00$42.00$40.00$41.00
ATM IV22.6%19.1%27.3%27.3%22.4%
Expected Move6.6%5.7%7.8%7.8%6.4%
HV 20d18.1%11.8%24.0%12.4%23.3%
HV 60d25.6%22.8%26.8%26.8%22.8%
IV Rank20.9%14.1%30.2%30.2%20.7%
IV Percentile11.0%0.4%37.7%37.7%8.7%
Term Structure2.3%-1.0%3.6%2.6%3.6%
VWIV22.9%12.3%25.6%24.7%23.2%
Skew 25d3.3%1.7%7.3%2.7%4.5%
Skew 10d10.6%2.5%16.3%12.7%15.1%
Call IV 25d21.7%18.4%24.4%24.4%19.5%
Put IV 25d25.0%22.8%27.0%27.0%24.1%
Bid-Ask Spread %41.8225.2263.3063.3036.97
Gamma HHI0.160.130.190.140.17
Net GEX355.8K83.8K539.1K176.2K437.8K
Net DEX-11.3M-16.6M-5.6M-8.1M-16.2M
Net VEX-76.3K-88.3K-64.4K-75.1K-75.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.640.0025.411.231.00
Total Volume726.053205,1542,25220
Total OI17,992.26315,18319,55415,18319,554

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$41.16$40.0027.3%7.8%12.4%30.2%24.7%2.7%2.6%176.2K-8.1M-75.1K1.2363.30N/AN/A1,0121,2406,9618,222
2012-09-05$41.14$42.0020.4%5.9%11.8%16.7%0.0%4.4%1.5%242.1K-7.9M-80.4K0.2442.15N/AN/A1,0282477,8508,793
2012-09-06$42.04$42.0019.8%5.7%13.4%15.5%21.3%7.3%2.5%411.2K-12.7M-74.9K0.2158.91N/AN/A409878,1128,864
2012-09-07$41.82$40.0019.1%6.5%13.8%14.1%21.4%4.3%3.0%463.3K-12.5M-80.6K2.0641.91N/AN/A35728,5048,941
2012-09-10$41.55$40.0021.2%6.6%14.1%18.2%24.7%3.4%2.7%447.0K-10.8M-78.1K3.5536.01N/AN/A291038,5178,982
2012-09-11$41.46$40.0021.7%6.9%14.0%19.2%24.3%2.9%1.4%423.0K-10.1M-76.2K4.4028.33N/AN/A10448,5129,052
2012-09-12$41.09$40.0021.1%6.8%14.6%18.1%23.5%3.5%1.9%381.2K-8.1M-76.0K0.8031.72N/AN/A2281838,4829,085
2012-09-13$41.86$40.0021.8%6.3%15.7%19.5%25.3%3.3%2.5%497.0K-11.6M-69.8K3.2051.73N/AN/A20648,4069,109
2012-09-14$42.17$40.0022.3%6.4%15.6%20.5%22.5%2.5%2.4%539.1K-13.4M-68.8K10.8657.65N/AN/A505438,3699,138
2012-09-17$42.25$40.0022.9%6.6%15.6%21.6%22.8%3.3%2.2%412.7K-13.0M-70.8K0.0048.97N/AN/A17408,3179,620
2012-09-18$40.98$40.0024.2%6.9%19.5%24.1%23.0%3.4%-1.0%262.2K-5.6M-73.7K25.4129.34N/AN/A411,0428,3589,620
2012-09-19$41.94$41.0022.8%6.5%20.9%21.3%12.3%2.7%2.9%246.6K-10.1M-73.4K0.3436.43N/AN/A6322178,35210,118
2012-09-20$41.54$41.0023.4%6.7%21.3%22.6%23.8%2.4%2.5%83.8K-7.3M-72.1K4.4134.34N/AN/A371638,06710,182
2012-09-21$42.95$41.0023.5%6.7%24.0%22.6%22.6%1.7%1.9%303.8K-16.6M-64.4K9.5035.93N/AN/A4914,6638,00810,148
2012-09-24$42.71$41.0023.1%6.6%23.6%21.8%22.4%3.4%2.9%305.1K-10.4M-88.3K0.0138.82N/AN/A8717,72611,575
2012-09-25$43.06$41.0024.7%7.1%23.7%25.1%25.6%2.4%3.1%328.4K-12.7M-86.3K0.5537.37N/AN/A2481377,79111,576
2012-09-26$43.26$41.0024.0%6.9%23.5%23.6%25.2%2.1%2.4%380.3K-13.3M-83.6K0.5859.55N/AN/A2221287,76511,625
2012-09-27$43.38$41.0023.4%6.7%23.4%22.6%0.0%3.1%2.4%420.0K-14.1M-82.2K0.8025.22N/AN/A49397,91811,634
2012-09-28$43.67$41.0022.4%6.4%23.3%20.7%23.2%4.5%3.6%437.8K-16.2M-75.0K1.0036.97N/AN/A10107,92511,629