AN Options History — March 2013

In March 2013, AN traded between $43.43 and $45.12. ATM implied volatility averaged 23.9%, placing in the 45.5% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 3.3% (HV 20d: 20.6%). Max pain ranged from $44.00 to $46.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 9.77.

Notable Days

  • 2013-03-12: Highest Volume — 1,606 contracts
  • 2013-03-11: Largest IV spike — 15.4% change
  • 2013-03-04: Highest IV Rank — 60.5%
  • 2013-03-25: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.09$43.43$45.12$43.45$43.75
Max Pain$44.45$44.00$46.00$44.00$44.00
ATM IV23.9%20.7%26.6%22.7%25.8%
Expected Move6.9%6.1%7.6%6.5%7.4%
HV 20d20.6%14.4%24.1%22.1%14.4%
HV 60d26.1%25.6%26.3%26.1%25.6%
IV Rank45.5%28.5%60.5%47.9%43.2%
IV Percentile30.1%4.0%59.1%18.7%45.2%
Term Structure1.5%-1.9%4.2%0.9%-1.9%
VWIV24.1%21.5%26.9%23.4%25.8%
Skew 25d2.3%0.5%3.3%2.1%2.2%
Skew 10d4.0%0.2%8.8%8.8%3.2%
Call IV 25d23.2%21.5%25.5%22.0%25.5%
Put IV 25d25.6%23.0%28.6%24.1%27.6%
Bid-Ask Spread %32.2824.1042.8442.8431.58
Gamma HHI0.120.110.140.110.11
Net GEX189.0K-881462.2K243.8K48.0K
Net DEX-1.8M-4.6M-288.7K-1.4M-826.5K
Net VEX-33.4K-41.8K-25.1K-26.4K-39.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.770.00177.448.000.14
Total Volume312.681,606979
Total OI7,323.15,9638,7085,9668,708

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$43.45$44.0022.7%6.5%22.1%47.9%23.4%2.1%0.9%243.8K-1.4M-26.4K8.0042.84N/AN/A184,2861,680
2013-03-04$44.24$46.0025.6%6.8%23.0%60.5%24.0%1.8%2.2%324.6K-2.7M-27.8K0.0237.56N/AN/A38484,2871,676
2013-03-05$45.00$45.0023.2%6.7%24.1%49.9%24.0%2.3%2.9%423.5K-4.1M-29.6K0.2332.41N/AN/A119274,3981,681
2013-03-06$45.12$45.0022.1%6.5%22.3%45.3%22.7%2.1%3.5%462.2K-4.6M-29.3K0.2332.56N/AN/A102234,4361,670
2013-03-07$44.77$45.0021.5%6.6%22.2%42.6%23.0%0.5%3.2%421.8K-4.1M-28.7K0.2328.70N/AN/A57134,4521,670
2013-03-08$44.69$45.0020.7%6.6%22.1%39.1%22.5%2.2%2.9%413.1K-3.7M-27.8K0.0024.10N/AN/A8504,4751,681
2013-03-11$44.35$45.0023.9%6.5%21.6%53.1%22.3%1.3%3.7%387.7K-3.2M-26.7K1.2830.53N/AN/A18234,5401,681
2013-03-12$44.01$45.0023.0%6.7%21.6%48.9%25.0%2.9%4.2%345.2K-2.4M-25.1K177.4439.18N/AN/A91,5974,5421,698
2013-03-13$44.36$45.0022.6%6.6%21.7%47.1%22.9%2.4%2.9%179.1K-1.7M-31.1K0.2131.53N/AN/A4921014,5493,047
2013-03-14$43.92$44.0022.8%6.5%21.6%48.2%22.4%2.8%3.0%132.4K-1.1M-31.1K0.6637.09N/AN/A38254,6613,062
2013-03-15$44.14$44.0022.1%6.3%21.8%45.2%22.6%2.5%3.9%164.2K-1.3M-30.3K1.6930.52N/AN/A2754664,6563,082
2013-03-18$43.85$44.0021.2%6.1%21.0%41.3%21.5%1.5%3.5%11.6K-758.3K-35.8K0.4725.04N/AN/A2821333,9623,396
2013-03-19$43.43$44.0023.5%6.7%20.7%28.5%22.6%2.6%2.7%-881-288.7K-37.0K0.6329.32N/AN/A6484064,1883,489
2013-03-20$44.09$44.0026.3%7.5%21.0%46.8%26.4%3.0%-0.1%64.8K-1.4M-41.8K0.6434.18N/AN/A1911234,5373,819
2013-03-21$43.63$44.0026.0%7.5%21.1%44.9%26.6%2.5%-0.6%34.6K-689.4K-41.5K0.4231.52N/AN/A1984,6033,828
2013-03-22$43.58$44.0026.1%7.5%20.9%45.2%26.5%3.2%-1.5%15.6K-384.0K-41.2K0.6031.65N/AN/A534,6223,830
2013-03-25$43.62$44.0026.6%7.6%17.2%48.4%26.9%3.3%-1.9%29.1K-633.6K-39.2K0.5534.88N/AN/A42234,6253,827
2013-03-26$43.91$44.0025.5%7.3%17.2%41.7%26.7%2.9%-1.3%45.7K-968.6K-38.3K1.9732.29N/AN/A891754,6473,846
2013-03-27$43.84$44.0025.8%7.4%14.6%43.0%25.3%2.5%-1.2%33.0K-746.6K-39.3K0.0028.09N/AN/A15504,6863,939
2013-03-28$43.75$44.0025.8%7.4%14.4%43.2%25.8%2.2%-1.9%48.0K-826.5K-39.1K0.1431.58N/AN/A69104,7693,939