AN Options History — October 2012

In October 2012, AN traded between $43.50 and $48.45. ATM implied volatility averaged 29.0%, placing in the 46.0% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 4.3% (HV 20d: 24.8%). Max pain ranged from $41.00 to $45.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 17.31.

Notable Days

  • 2012-10-08: Highest Volume — 5,106 contracts
  • 2012-10-25: Largest IV drop — 11.7% change
  • 2012-10-24: Highest IV Rank — 58.9%
  • 2012-10-24: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.64$43.50$48.45$43.50$44.40
Max Pain$44.24$41.00$45.00$41.00$45.00
ATM IV29.0%24.1%32.5%24.3%31.6%
Expected Move8.5%7.0%9.3%7.0%9.1%
HV 20d24.8%20.4%30.1%23.4%30.1%
HV 60d22.2%20.3%24.4%22.8%22.5%
IV Rank46.0%24.3%58.9%24.3%56.3%
IV Percentile59.8%19.8%85.3%21.8%80.2%
Term Structure-1.7%-4.6%3.6%2.1%-2.8%
VWIV30.3%24.4%33.2%24.4%30.6%
Skew 25d5.9%1.7%10.4%1.9%2.2%
Skew 10d14.2%-1.7%19.7%7.8%2.0%
Call IV 25d26.2%21.0%30.1%23.2%30.1%
Put IV 25d32.1%25.1%35.8%25.1%32.3%
Bid-Ask Spread %36.6923.5056.7032.5134.24
Gamma HHI0.180.150.240.180.19
Net GEX353.2K-66.1K788.3K467.3K6.0K
Net DEX-25.1M-40.4M-981.0K-15.5M-981.0K
Net VEX-69.2K-82.0K-51.4K-76.8K-72.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio17.310.07342.001.231.09
Total Volume855.762445,10612769
Total OI20,806.14313,43725,33619,50915,243

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$43.50$41.0024.3%7.0%23.4%24.3%24.4%1.9%2.1%467.3K-15.5M-76.8K1.2332.51N/AN/A57707,87011,639
2012-10-02$44.55$41.0025.3%7.3%23.4%26.3%25.7%7.2%3.3%392.7K-20.2M-70.7K0.2443.25N/AN/A1,3103097,90511,693
2012-10-03$45.10$41.0025.1%7.2%23.6%28.3%29.0%4.6%3.6%522.7K-24.8M-75.6K0.5144.88N/AN/A2581329,09711,961
2012-10-04$46.34$41.0025.1%7.2%24.2%31.0%27.6%4.2%3.4%411.9K-30.5M-65.1K2.8931.19N/AN/A3711,0749,16511,948
2012-10-05$46.53$45.0024.1%7.9%23.9%31.2%27.7%4.6%-0.9%250.3K-31.1M-66.0K1.9323.96N/AN/A15299,38312,909
2012-10-08$47.93$45.0026.4%8.6%24.9%37.6%32.7%8.9%-2.6%110.5K-35.7M-51.4K0.1838.13N/AN/A4,3167909,39612,929
2012-10-09$47.97$45.0027.8%8.5%24.8%41.0%33.0%9.5%-2.1%541.2K-38.9M-64.7K2.3223.50N/AN/A7517411,15913,544
2012-10-10$46.56$45.0029.6%8.9%27.6%45.7%31.7%3.9%-3.3%721.5K-30.9M-77.2K0.2733.83N/AN/A81222110,90713,638
2012-10-11$46.28$45.0031.9%9.2%27.5%51.7%31.2%3.9%-3.6%764.4K-29.7M-82.0K0.0730.69N/AN/A2261611,21313,840
2012-10-12$46.69$45.0030.9%8.9%27.5%54.4%33.1%5.5%-3.4%760.3K-31.7M-79.8K1.1130.60N/AN/A384211,26913,854
2012-10-15$47.06$45.0031.9%9.1%27.5%57.1%32.2%4.8%-4.0%788.3K-34.4M-74.0K0.3729.34N/AN/A1154211,28013,896
2012-10-16$47.59$45.0030.7%8.8%24.0%53.9%30.9%6.0%-2.6%642.5K-37.8M-66.7K2.2834.11N/AN/A6013711,33113,938
2012-10-17$47.93$45.0030.0%8.6%23.3%51.7%30.3%8.0%-2.8%546.6K-39.3M-66.0K0.3240.56N/AN/A88928011,30813,987
2012-10-18$48.36$45.0030.3%8.7%22.5%52.6%29.3%8.0%-1.9%93.7K-39.7M-64.9K0.3129.10N/AN/A54316911,20314,030
2012-10-19$48.45$45.0031.0%8.9%20.4%54.5%31.4%10.4%-3.8%157.0K-40.4M-59.4K1.1325.94N/AN/A31135111,31914,017
2012-10-22$47.91$45.0030.7%8.8%20.9%53.8%32.5%7.5%-4.0%120.9K-12.4M-66.7K0.5654.50N/AN/A1871055,8397,598
2012-10-23$47.90$45.0030.6%8.8%21.0%53.5%31.1%7.6%-2.5%97.6K-13.2M-62.1K342.0056.70N/AN/A13425,9997,679
2012-10-24$48.04$45.0032.5%9.3%21.0%58.9%33.2%8.3%-4.6%119.6K-13.1M-66.8K2.2740.41N/AN/A2535755,9997,846
2012-10-25$45.76$45.0028.7%8.2%28.4%48.0%29.2%4.3%-1.1%-66.1K-5.0M-71.2K1.8151.46N/AN/A7131,2896,1738,361
2012-10-26$44.61$45.0030.7%8.8%30.1%53.8%30.1%1.7%-3.1%-30.9K-1.5M-74.6K0.5241.66N/AN/A7914146,3488,216
2012-10-31$44.40$45.0031.6%9.1%30.1%56.3%30.6%2.2%-2.8%6.0K-981.0K-72.2K1.0934.24N/AN/A33366,8138,430