AN Options History — December 2012

In December 2012, AN traded between $38.42 and $39.74. ATM implied volatility averaged 26.3%, placing in the 57.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 0.6% (HV 20d: 25.7%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 3.04.

Notable Days

  • 2012-12-26: Highest Volume — 891 contracts
  • 2012-12-24: Largest IV spike — 7.1% change
  • 2012-12-03: Highest IV Rank — 64.0%
  • 2012-12-03: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.19$38.42$39.74$38.63$39.70
Max Pain$40.05$40.00$41.00$41.00$40.00
ATM IV26.3%24.4%28.0%28.0%25.9%
Expected Move7.5%7.0%8.0%8.0%7.4%
HV 20d25.7%15.6%31.9%30.7%17.1%
HV 60d27.3%26.4%28.3%28.3%26.4%
IV Rank57.2%50.0%64.0%64.0%55.6%
IV Percentile40.0%24.6%61.5%61.5%34.5%
Term Structure1.5%-1.7%3.2%-0.1%3.1%
VWIV25.9%24.2%28.0%27.5%25.3%
Skew 25d3.0%0.0%5.5%3.7%2.4%
Skew 10d5.7%-5.7%15.0%-5.7%15.0%
Call IV 25d24.9%23.3%26.8%26.8%25.6%
Put IV 25d27.9%25.1%30.5%30.5%27.9%
Bid-Ask Spread %44.7433.2362.5138.9633.23
Gamma HHI0.380.320.480.380.44
Net GEX-544.8K-891.1K-446.8K-507.6K-464.3K
Net DEX7.8M4.0M10.9M10.0M4.0M
Net VEX-38.4K-46.2K-29.2K-44.0K-34.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.040.0029.170.410.14
Total Volume147.2589113774
Total OI10,969.69,96511,28110,82310,803

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$38.63$41.0028.0%8.0%30.7%64.0%27.5%3.7%-0.1%-507.6K10.0M-44.0K0.4138.96N/AN/A97403,8296,994
2012-12-04$39.36$40.0027.3%7.8%31.9%61.4%27.2%2.1%-0.3%-502.1K8.1M-44.6K2.0353.47N/AN/A1072173,8977,004
2012-12-05$39.37$40.0026.7%7.7%31.9%58.9%26.7%3.1%-0.3%-525.6K8.2M-46.2K0.0040.90N/AN/A4503,9967,160
2012-12-06$39.53$40.0026.9%7.7%29.8%59.7%27.8%3.0%-1.7%-511.8K7.5M-45.0K15.5037.80N/AN/A6934,0347,160
2012-12-07$39.74$40.0025.6%7.1%29.2%54.7%24.5%2.8%1.1%-529.2K7.0M-44.3K1.0049.43N/AN/A23234,0387,137
2012-12-10$39.52$40.0026.1%7.4%29.2%56.7%0.0%2.4%1.8%-517.5K7.4M-42.9K4.0039.79N/AN/A144,0197,118
2012-12-11$39.64$40.0026.2%7.2%29.1%56.8%0.0%3.6%1.4%-533.3K7.2M-41.8K0.3133.75N/AN/A35114,0187,118
2012-12-12$39.11$40.0027.1%7.4%29.3%60.3%25.6%0.0%3.2%-550.8K8.6M-40.2K0.4453.38N/AN/A141624,0517,113
2012-12-13$38.69$40.0026.2%7.5%27.4%56.9%26.2%3.2%1.7%-546.6K10.0M-38.6K2.0039.14N/AN/A13264,1137,099
2012-12-14$38.42$40.0026.9%7.7%26.4%59.9%25.6%1.0%2.5%-564.6K10.9M-37.8K1.6043.37N/AN/A30484,1177,118
2012-12-17$39.31$40.0026.5%7.6%26.8%58.1%26.4%4.6%-0.1%-577.7K8.3M-37.0K1.7857.26N/AN/A54964,1127,092
2012-12-18$39.52$40.0024.8%7.1%26.8%51.2%24.7%3.3%2.1%-567.2K7.5M-36.7K0.0043.74N/AN/A9904,1237,074
2012-12-19$39.35$40.0026.1%7.5%26.7%56.6%24.2%3.6%1.1%-584.5K7.6M-36.4K29.1742.54N/AN/A61754,2077,074
2012-12-20$39.39$40.0026.0%7.5%26.8%56.1%28.0%3.9%1.7%-583.6K7.3M-34.6K0.1544.55N/AN/A71114,1816,894
2012-12-21$38.90$40.0024.4%7.0%26.1%50.0%24.3%4.2%2.5%-891.1K9.3M-32.8K0.7934.51N/AN/A106844,1836,891
2012-12-24$38.91$40.0026.2%7.5%17.8%56.8%24.6%4.5%1.6%-508.8K7.7M-31.2K0.0449.25N/AN/A11043,7296,305
2012-12-26$38.68$40.0026.2%7.5%17.6%57.1%26.1%1.1%2.8%-524.6K8.0M-29.2K0.0258.46N/AN/A872193,6606,305
2012-12-27$39.19$40.0026.1%7.5%17.9%56.5%25.4%5.5%2.6%-459.1K5.9M-36.1K0.9738.75N/AN/A67654,5156,314
2012-12-28$38.92$40.0026.2%7.5%15.6%56.7%26.7%2.4%3.2%-446.8K6.2M-35.2K0.5062.51N/AN/A634,5356,262
2012-12-31$39.70$40.0025.9%7.4%17.1%55.6%25.3%2.4%3.1%-464.3K4.0M-34.3K0.1433.23N/AN/A6594,5406,263