AN Options History — January 2013

In January 2013, AN traded between $39.59 and $48.50. ATM implied volatility averaged 24.2%, placing in the 53.3% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 3.1% (HV 20d: 21.0%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.23.

Notable Days

  • 2013-01-31: Highest Volume — 3,613 contracts
  • 2013-01-31: Largest IV drop — 22.9% change
  • 2013-01-14: Highest IV Rank — 63.1%
  • 2013-01-14: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.44$39.59$48.50$39.59$48.50
Max Pain$39.14$39.00$40.00$40.00$40.00
ATM IV24.2%19.6%26.2%22.7%19.6%
Expected Move7.1%5.6%7.5%6.5%5.6%
HV 20d21.0%16.8%31.8%16.8%31.8%
HV 60d26.1%24.0%28.9%26.2%28.9%
IV Rank53.3%34.2%63.1%43.1%34.2%
IV Percentile25.2%0.8%43.3%10.7%0.8%
Term Structure-0.7%-3.4%4.7%4.7%0.8%
VWIV24.3%15.6%27.2%22.7%15.6%
Skew 25d3.6%1.0%11.8%2.5%11.8%
Skew 10d9.2%2.7%17.1%4.0%12.3%
Call IV 25d22.4%11.1%24.3%22.9%11.1%
Put IV 25d26.0%22.5%28.2%25.5%22.9%
Bid-Ask Spread %51.6324.7278.5042.2645.47
Gamma HHI0.270.180.580.500.28
Net GEX204.5K-594.5K521.0K-540.8K350.1K
Net DEX-6.9M-13.4M4.2M4.2M-13.4M
Net VEX-25.2K-31.6K-17.8K-31.6K-17.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.230.0039.9539.950.08
Total Volume490.81303,6132,4163,613
Total OI8,763.5244,22311,97610,8084,893

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$39.59$40.0022.7%6.5%16.8%43.1%22.7%2.5%4.7%-540.8K4.2M-31.6K39.9542.26N/AN/A592,3574,5396,269
2013-01-03$40.58$40.0021.6%6.2%17.8%38.8%22.3%1.0%4.4%-594.5K1.2M-31.6K0.1668.16N/AN/A315504,5856,701
2013-01-04$42.23$39.0021.1%7.1%22.4%36.7%25.1%4.7%1.4%-26.5K-5.6M-29.4K0.6948.85N/AN/A4072794,8796,173
2013-01-07$41.67$39.0023.5%7.4%23.1%46.2%26.2%3.9%-0.6%-153.8K-4.4M-28.8K0.3838.50N/AN/A3171224,8066,191
2013-01-08$42.12$39.0023.9%7.2%23.3%53.2%25.9%2.9%-0.4%-34.5K-5.3M-27.5K0.3028.58N/AN/A121364,7436,157
2013-01-09$42.25$39.0022.1%7.2%23.1%45.3%22.8%3.0%-0.3%52.0K-6.2M-26.3K0.0024.72N/AN/A62904,7526,179
2013-01-10$42.69$39.0025.9%7.4%23.2%61.9%27.2%3.5%-0.2%181.9K-8.0M-26.5K0.0040.47N/AN/A4105,3736,134
2013-01-11$43.05$39.0026.2%7.5%22.4%62.9%26.5%3.4%-1.8%322.1K-9.1M-26.2K0.0036.16N/AN/A9205,3846,134
2013-01-14$43.31$39.0026.2%7.5%21.6%63.1%26.4%2.7%-2.9%423.0K-9.9M-24.5K0.0031.71N/AN/A6905,4336,134
2013-01-15$43.58$39.0025.5%7.3%21.1%59.9%23.0%4.2%-1.3%343.9K-10.6M-23.8K0.0650.18N/AN/A483305,4536,134
2013-01-16$43.65$39.0024.7%7.1%20.2%56.6%25.4%3.0%-0.4%401.0K-11.1M-25.1K0.2965.33N/AN/A192555,8346,142
2013-01-17$44.24$39.0026.2%7.5%20.4%62.9%26.3%1.9%-1.8%335.2K-12.4M-24.6K0.1772.01N/AN/A70125,6546,032
2013-01-18$44.16$39.0025.0%7.2%20.2%58.0%0.0%2.1%-0.4%139.1K-12.4M-23.5K1.7867.20N/AN/A45805,6776,032
2013-01-22$44.03$39.0024.9%7.1%20.4%57.3%26.3%3.1%-1.8%379.7K-5.0M-22.9K1.4957.82N/AN/A39583,0071,216
2013-01-23$44.01$39.0024.1%6.9%19.4%54.0%23.2%3.7%-1.1%388.9K-5.1M-22.8K0.4241.50N/AN/A88373,0291,274
2013-01-24$44.01$39.0024.6%7.0%19.4%55.9%24.5%2.6%-2.0%398.8K-5.3M-23.0K0.2767.90N/AN/A51143,1151,311
2013-01-25$44.14$39.0024.0%6.9%18.9%53.3%22.6%3.3%-1.4%417.0K-5.6M-23.4K0.0671.94N/AN/A12983,1601,325
2013-01-28$44.86$39.0024.6%7.0%19.1%56.0%23.0%5.2%-2.7%472.0K-6.7M-22.8K0.0744.76N/AN/A243163,2391,332
2013-01-29$44.87$39.0025.7%7.4%18.6%60.8%24.2%3.5%-2.6%521.0K-7.0M-23.3K0.0078.50N/AN/A3003,4621,337
2013-01-30$44.75$39.0025.4%7.3%18.3%59.7%26.2%3.4%-3.4%518.0K-7.1M-23.8K0.7662.21N/AN/A68523,4731,337
2013-01-31$48.50$40.0019.6%5.6%31.8%34.2%15.6%11.8%0.8%350.1K-13.4M-17.8K0.0845.47N/AN/A3,3512623,5111,382