AN Options History — November 2012

In November 2012, AN traded between $38.90 and $44.25. ATM implied volatility averaged 27.1%, placing in the 49.9% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 0.9% (HV 20d: 28.0%). Max pain ranged from $41.00 to $45.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.67.

Notable Days

  • 2012-11-01: Highest Volume — 2,139 contracts
  • 2012-11-09: Largest IV drop — 17.9% change
  • 2012-11-29: Highest IV Rank — 63.2%
  • 2012-11-08: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.15$38.90$44.25$44.25$38.94
Max Pain$42.67$41.00$45.00$45.00$41.00
ATM IV27.1%22.6%32.0%28.7%27.1%
Expected Move7.7%6.5%8.4%8.2%7.8%
HV 20d28.0%25.0%33.5%28.9%30.9%
HV 60d25.3%22.5%28.7%22.5%28.3%
IV Rank49.9%39.7%63.2%48.0%60.5%
IV Percentile46.8%9.9%86.5%63.5%48.8%
Term Structure-0.0%-1.6%1.7%-0.7%-1.1%
VWIV27.2%23.0%30.2%28.2%26.9%
Skew 25d3.1%1.7%4.7%2.7%4.0%
Skew 10d7.0%-5.0%15.0%8.9%7.4%
Call IV 25d25.1%20.9%27.8%27.8%25.1%
Put IV 25d28.2%24.2%30.6%30.6%29.1%
Bid-Ask Spread %40.5022.4082.3639.6069.54
Gamma HHI0.330.190.430.190.37
Net GEX-339.2K-595.0K47.7K1.4K-508.9K
Net DEX7.1M-126.5K14.4M-126.5K9.5M
Net VEX-53.9K-70.2K-45.1K-70.2K-45.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.670.0822.360.4622.36
Total Volume343.714202,1392,139257
Total OI13,286.199,90415,67515,27510,791

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$44.25$45.0028.7%8.2%28.9%48.0%28.2%2.7%-0.7%1.4K-126.5K-70.2K0.4639.60N/AN/A1,4626776,8338,442
2012-11-02$43.56$45.0027.8%8.0%29.0%45.6%27.9%2.6%-1.3%47.7K1.4M-67.9K3.3630.49N/AN/A531787,1038,269
2012-11-05$43.50$45.0031.3%8.1%26.9%55.3%30.2%2.6%-1.0%29.8K2.1M-65.8K7.4026.48N/AN/A10747,1068,294
2012-11-06$43.48$45.0029.4%7.9%26.8%50.1%27.4%3.3%-0.1%27.5K2.5M-64.4K1.1130.79N/AN/A79887,1148,357
2012-11-07$41.93$45.0029.7%8.2%26.2%50.9%29.7%2.3%1.7%-225.2K8.3M-60.4K0.1039.89N/AN/A856847,1218,331
2012-11-08$41.06$45.0032.0%8.4%26.5%57.3%0.0%4.5%-0.4%-320.3K10.5M-58.4K1.0336.87N/AN/A66687,0488,374
2012-11-09$40.87$45.0026.3%8.0%25.2%41.1%27.8%3.5%-1.0%-392.5K11.7M-56.3K2.0422.40N/AN/A24497,0778,405
2012-11-12$40.56$44.0026.7%8.0%25.2%42.5%28.9%2.4%-0.3%-374.0K12.0M-55.2K1.6435.10N/AN/A611007,0998,390
2012-11-13$40.82$43.0028.2%7.8%25.0%46.7%27.0%2.8%-0.5%-436.9K11.7M-54.1K0.2125.19N/AN/A58127,1608,477
2012-11-14$39.54$43.0027.8%7.7%25.9%52.2%27.7%1.7%1.0%-381.0K14.4M-52.4K0.3234.99N/AN/A9242977,2018,474
2012-11-15$40.28$41.0026.6%7.6%26.8%48.6%27.3%3.3%1.1%-460.6K13.3M-51.2K6.2932.26N/AN/A241516,5488,633
2012-11-16$41.08$41.0026.0%7.4%28.1%51.3%26.8%2.9%0.2%-595.0K10.5M-51.1K1.8628.64N/AN/A961796,5718,534
2012-11-19$41.30$41.0024.5%7.0%27.8%45.8%24.9%3.3%0.8%-435.3K3.7M-48.9K0.0826.91N/AN/A438353,1876,717
2012-11-20$41.44$41.0024.1%6.9%27.9%44.7%25.3%2.0%0.6%-381.0K2.7M-50.6K0.5439.41N/AN/A1373,5986,751
2012-11-21$41.42$41.0024.0%6.9%28.0%44.8%0.0%3.7%1.4%-392.8K2.7M-48.4K2.0076.94N/AN/A7143,6056,757
2012-11-23$42.08$41.0022.6%6.5%29.1%39.7%23.0%3.3%1.7%-393.3K1.2M-45.1K1.3645.12N/AN/A11153,6026,764
2012-11-26$39.83$41.0026.0%7.5%33.5%52.2%25.6%2.5%-0.5%-468.4K6.6M-47.1K0.9382.36N/AN/A1241153,6136,779
2012-11-27$39.48$41.0027.3%7.8%30.1%57.1%27.5%3.9%-1.6%-478.9K7.8M-46.8K0.6137.73N/AN/A144883,6496,857
2012-11-28$39.90$41.0025.3%7.2%30.0%49.5%25.8%3.4%0.6%-486.7K6.9M-47.0K0.2642.94N/AN/A43113,7496,920
2012-11-29$38.90$41.0027.8%8.0%30.8%63.2%28.2%4.7%-1.0%-498.4K9.5M-45.6K2.0546.83N/AN/A741523,7796,931
2012-11-30$38.94$41.0027.1%7.8%30.9%60.5%26.9%4.0%-1.1%-508.9K9.5M-45.4K22.3669.54N/AN/A112463,8216,970