AN Options History — February 2013

In February 2013, AN traded between $42.91 and $48.60. ATM implied volatility averaged 21.8%, placing in the 43.7% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 11.8% (HV 20d: 33.6%). Max pain ranged from $44.00 to $46.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.84.

Notable Days

2013-02-04: Highest Volume — 721 contracts
2013-02-25: Largest IV spike — 20.4% change
2013-02-25: Highest IV Rank — 63.5%
2013-02-25: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.12	$42.91	$48.60	$47.58	$43.77
Max Pain	$45.11	$44.00	$46.00	$45.00	$44.00
ATM IV	21.8%	19.6%	26.3%	21.1%	23.0%
Expected Move	6.2%	5.6%	7.5%	5.7%	6.6%
HV 20d	33.6%	30.7%	37.6%	33.0%	37.6%
HV 60d	27.5%	25.3%	29.2%	29.2%	26.1%
IV Rank	43.7%	34.1%	63.5%	40.8%	49.2%
IV Percentile	11.5%	0.8%	53.6%	2.4%	22.2%
Term Structure	0.6%	-1.7%	1.7%	1.7%	0.2%
VWIV	21.5%	17.9%	25.2%	20.6%	25.2%
Skew 25d	2.7%	1.5%	4.0%	3.4%	2.7%
Skew 10d	4.7%	-3.8%	15.7%	-1.6%	9.0%
Call IV 25d	20.3%	17.4%	24.4%	18.8%	22.6%
Put IV 25d	23.0%	21.4%	25.9%	22.2%	25.2%
Bid-Ask Spread %	27.85	15.71	46.35	41.63	30.84
Gamma HHI	0.17	0.10	0.60	0.17	0.12
Net GEX	608.7K	233.7K	1.9M	695.1K	285.4K
Net DEX	-10.3M	-18.9M	-1.1M	-14.6M	-2.1M
Net VEX	-33.1K	-37.9K	-26.2K	-31.9K	-28.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.05	2.60	0.45	1.69
Total Volume	234.211	35	721	295	35
Total OI	6,861.632	5,822	8,023	6,636	5,953

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2013-02-01	$47.58	$45.00	21.1%	5.7%	33.0%	40.8%	20.6%	3.4%	1.7%	695.1K	-14.6M	-31.9K	0.45	41.63	N/A	N/A	204	91	5,057	1,579
2013-02-04	$47.39	$45.00	22.3%	6.1%	31.0%	45.7%	21.1%	3.1%	1.1%	701.4K	-14.2M	-32.6K	0.17	25.41	N/A	N/A	615	106	5,134	1,617
2013-02-05	$48.49	$44.00	21.4%	5.9%	30.7%	41.8%	20.2%	4.0%	1.7%	632.7K	-18.1M	-36.6K	0.05	17.93	N/A	N/A	573	30	5,609	1,670
2013-02-06	$48.05	$44.00	21.2%	6.0%	31.2%	41.1%	21.6%	3.5%	0.6%	727.5K	-17.5M	-37.9K	2.54	15.71	N/A	N/A	24	61	5,834	1,676
2013-02-07	$48.16	$46.00	20.6%	5.9%	31.2%	38.6%	20.4%	2.6%	0.9%	700.4K	-17.6M	-37.9K	0.05	19.77	N/A	N/A	109	5	5,844	1,734
2013-02-08	$48.60	$46.00	19.6%	5.6%	31.2%	34.1%	20.1%	4.0%	1.7%	631.5K	-18.9M	-37.7K	1.47	26.59	N/A	N/A	85	125	5,907	1,739
2013-02-11	$48.16	$46.00	20.5%	5.9%	31.7%	38.2%	20.4%	2.7%	1.4%	612.6K	-17.9M	-37.8K	0.10	26.98	N/A	N/A	199	19	5,981	1,854
2013-02-12	$47.48	$46.00	20.8%	6.0%	32.4%	39.2%	22.3%	2.9%	1.0%	690.7K	-16.5M	-37.8K	1.18	23.14	N/A	N/A	51	60	6,088	1,864
2013-02-13	$46.89	$46.00	20.1%	5.8%	33.0%	36.4%	21.3%	2.5%	1.1%	903.9K	-14.9M	-37.2K	2.60	29.04	N/A	N/A	30	78	6,113	1,910
2013-02-14	$46.89	$46.00	20.4%	5.9%	33.0%	37.7%	21.5%	2.6%	0.9%	889.4K	-14.9M	-36.4K	1.71	24.01	N/A	N/A	34	58	6,068	1,896
2013-02-15	$46.03	$46.00	21.0%	6.0%	33.7%	40.2%	19.6%	2.3%	0.5%	1.9M	-11.9M	-34.9K	0.29	29.92	N/A	N/A	356	103	6,070	1,943
2013-02-19	$45.33	$45.00	21.3%	6.1%	34.2%	41.5%	20.6%	2.6%	0.8%	405.1K	-4.1M	-31.8K	1.17	19.61	N/A	N/A	63	74	4,253	1,569
2013-02-20	$44.68	$45.00	21.9%	6.3%	34.6%	44.1%	20.9%	2.5%	0.4%	340.8K	-3.0M	-30.0K	0.14	26.54	N/A	N/A	88	12	4,256	1,623
2013-02-21	$44.27	$45.00	23.4%	6.7%	34.8%	50.6%	23.0%	2.0%	-0.1%	314.9K	-2.5M	-29.4K	0.33	25.42	N/A	N/A	270	88	4,333	1,634
2013-02-22	$44.54	$45.00	21.9%	6.3%	34.9%	44.0%	17.9%	1.9%	0.2%	358.1K	-3.0M	-30.1K	0.59	29.07	N/A	N/A	58	34	4,247	1,607
2013-02-25	$43.10	$45.00	26.3%	7.5%	36.8%	63.5%	24.7%	1.6%	-1.7%	245.2K	-1.3M	-26.2K	0.41	46.35	N/A	N/A	144	59	4,277	1,602
2013-02-26	$42.91	$44.00	24.9%	7.1%	36.3%	57.5%	25.0%	1.5%	-0.4%	233.7K	-1.1M	-27.0K	0.12	35.69	N/A	N/A	412	51	4,305	1,600
2013-02-27	$44.03	$44.00	22.4%	6.4%	37.6%	46.4%	22.1%	3.8%	0.3%	303.0K	-2.1M	-28.1K	0.92	35.51	N/A	N/A	24	22	4,280	1,645
2013-02-28	$43.77	$44.00	23.0%	6.6%	37.6%	49.2%	25.2%	2.7%	0.2%	285.4K	-2.1M	-28.2K	1.69	30.84	N/A	N/A	13	22	4,286	1,667