AN Options History — April 2013

In April 2013, AN traded between $41.18 and $45.51. ATM implied volatility averaged 28.7%, placing in the 54.4% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 0.4% (HV 20d: 28.3%). Max pain ranged from $42.00 to $44.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.45.

Notable Days

  • 2013-04-17: Highest Volume — 1,043 contracts
  • 2013-04-11: Largest IV drop — 30.7% change
  • 2013-04-08: Highest IV Rank — 100.0%
  • 2013-04-04: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.49$41.18$45.51$43.44$45.51
Max Pain$42.59$42.00$44.00$44.00$43.00
ATM IV28.7%22.5%38.1%28.3%22.6%
Expected Move7.8%6.4%9.3%8.1%6.5%
HV 20d28.3%13.9%33.6%14.4%33.5%
HV 60d27.8%24.6%29.8%25.7%24.6%
IV Rank54.4%18.1%100.0%59.2%18.4%
IV Percentile65.5%15.1%100.0%77.4%15.9%
Term Structure-1.8%-5.9%0.9%-3.3%-0.6%
VWIV27.1%22.2%32.2%28.3%24.3%
Skew 25d2.7%-0.6%5.1%2.3%1.6%
Skew 10d4.9%-11.2%15.8%2.3%8.5%
Call IV 25d26.2%21.8%31.9%27.1%22.2%
Put IV 25d28.9%23.7%33.7%29.4%23.7%
Bid-Ask Spread %60.7617.4488.8334.3283.90
Gamma HHI0.160.110.600.120.15
Net GEX184.0K-219.3K1.4M-15.3K419.7K
Net DEX-1.1M-6.5M6.1M199.2K-6.5M
Net VEX-33.5K-39.1K-28.6K-36.4K-31.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.0112.180.590.01
Total Volume365.182571,043140341
Total OI8,424.3184,55311,0648,6955,478

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$43.44$44.0028.3%8.1%14.4%59.2%28.3%2.3%-3.3%-15.3K199.2K-36.4K0.5934.32N/AN/A88524,7563,939
2013-04-02$44.09$44.0028.5%8.2%13.9%60.4%28.3%1.6%-3.9%88.9K-1.6M-36.7K0.6140.42N/AN/A5773544,7783,954
2013-04-03$41.82$44.0031.7%9.1%22.1%81.2%30.0%2.1%-5.2%-161.1K4.1M-34.8K1.0745.97N/AN/A2552735,1744,063
2013-04-04$41.18$44.0032.3%9.3%22.4%85.2%32.2%1.8%-5.9%-219.3K6.1M-34.5K4.4738.55N/AN/A472105,2454,277
2013-04-05$41.39$42.0032.3%8.0%22.6%85.0%27.6%4.4%-0.2%-207.8K5.5M-34.5K0.3125.94N/AN/A191605,2844,292
2013-04-08$42.31$42.0036.2%8.1%24.4%100.0%28.4%5.1%-1.0%-115.7K2.9M-35.7K0.8129.47N/AN/A53435,3924,307
2013-04-09$41.95$42.0037.8%8.2%24.4%100.0%29.0%1.3%-2.5%-148.7K3.6M-35.0K7.0034.50N/AN/A8565,3944,321
2013-04-10$43.16$42.0038.1%7.9%26.7%100.0%26.6%5.1%-1.8%-13.8K801.6K-35.6K0.0370.41N/AN/A317105,3994,317
2013-04-11$44.56$42.0026.4%7.6%29.0%38.6%26.1%3.2%-1.4%295.1K-4.2M-38.2K0.2171.33N/AN/A8041685,6884,316
2013-04-12$44.17$42.0027.6%7.9%29.0%44.6%0.0%3.5%-1.0%337.5K-3.9M-39.1K1.4769.92N/AN/A1161716,2224,330
2013-04-15$43.05$42.0029.7%8.5%30.3%55.9%29.4%2.8%-3.3%93.1K-327.4K-35.3K0.2277.90N/AN/A250556,2104,440
2013-04-16$43.78$42.0030.1%8.6%30.9%57.8%30.4%3.9%-4.0%271.1K-2.7M-35.6K0.1688.83N/AN/A258416,3334,447
2013-04-17$42.48$42.0031.6%9.1%32.6%65.9%30.3%-0.6%-3.1%-26.7K1.9M-32.7K0.1287.10N/AN/A9291146,4164,447
2013-04-18$43.30$42.0028.2%8.1%32.9%48.1%27.8%3.4%-1.9%212.5K-1.2M-30.9K0.5017.44N/AN/A5072556,4734,366
2013-04-19$43.82$42.0025.8%7.4%33.0%35.2%25.9%3.4%0.9%1.4M-2.6M-29.9K1.3666.39N/AN/A1201636,6644,400
2013-04-22$43.96$42.0026.1%7.5%33.0%37.2%25.8%3.4%-0.2%325.8K-3.9M-29.0K0.1467.12N/AN/A5073,2771,276
2013-04-23$43.78$42.0024.7%7.1%33.0%29.8%25.2%2.5%-0.0%326.9K-3.7M-28.6K12.1885.41N/AN/A455483,3161,278
2013-04-24$44.47$43.0024.5%7.0%33.4%28.7%23.7%2.5%-1.0%263.7K-3.8M-31.0K0.4081.95N/AN/A87353,3421,817
2013-04-25$44.89$43.0023.3%6.7%33.5%22.2%23.1%2.6%0.3%313.7K-4.8M-31.0K0.1767.58N/AN/A128223,3741,832
2013-04-26$44.61$43.0022.5%6.4%33.6%18.1%22.2%2.0%0.4%294.3K-4.4M-31.0K0.0972.90N/AN/A112103,4581,844
2013-04-29$44.95$43.0024.1%6.9%33.6%26.4%23.7%2.5%-0.9%341.5K-5.1M-30.9K0.0279.47N/AN/A10223,5481,851
2013-04-30$45.51$43.0022.6%6.5%33.5%18.4%24.3%1.6%-0.6%419.7K-6.5M-31.3K0.0183.90N/AN/A33923,6251,853