AN Options History — May 2013

In May 2013, AN traded between $44.92 and $47.13. ATM implied volatility averaged 21.7%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 0.5% (HV 20d: 21.2%). Max pain ranged from $43.00 to $46.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 3.85.

Notable Days

  • 2013-05-23: Highest Volume — 1,175 contracts
  • 2013-05-13: Largest IV spike — 14.3% change
  • 2013-05-01: Highest IV Rank — 23.0%
  • 2013-05-01: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.00$44.92$47.13$45.15$46.33
Max Pain$44.64$43.00$46.00$43.00$46.00
ATM IV21.7%20.1%23.4%23.4%22.8%
Expected Move6.3%5.8%6.7%6.7%6.5%
HV 20d21.2%17.3%26.9%26.9%19.5%
HV 60d24.1%23.1%24.9%24.6%23.2%
IV Rank14.1%5.7%23.0%23.0%19.8%
IV Percentile12.8%2.0%27.8%24.2%25.8%
Term Structure1.9%-0.4%2.8%-0.4%1.9%
VWIV21.7%20.0%23.3%22.2%22.0%
Skew 25d2.4%1.5%3.5%1.8%2.0%
Skew 10d6.7%1.4%13.9%3.1%10.9%
Call IV 25d21.0%19.8%22.2%22.2%22.0%
Put IV 25d23.4%21.4%24.8%23.9%24.0%
Bid-Ask Spread %68.9044.6991.3685.3678.37
Gamma HHI0.210.140.500.140.18
Net GEX511.8K231.9K1.0M427.1K265.3K
Net DEX-7.0M-9.5M-4.8M-6.2M-5.3M
Net VEX-33.7K-40.5K-30.0K-32.7K-40.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.850.0060.840.010.00
Total Volume275521,1758196
Total OI6,176.8184,9407,0595,7697,059

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$45.15$43.0023.4%6.7%26.9%23.0%22.2%1.8%-0.4%427.1K-6.2M-32.7K0.0185.36N/AN/A8013,9141,855
2013-05-02$45.40$43.0022.4%6.4%25.9%17.6%22.2%2.7%0.9%479.7K-6.8M-32.7K10.6190.49N/AN/A181913,9811,855
2013-05-03$45.63$43.0020.1%5.8%25.9%5.7%20.7%1.5%2.2%528.3K-7.3M-32.4K0.1591.36N/AN/A468693,9941,966
2013-05-06$45.30$44.0021.5%6.4%25.5%12.9%0.0%3.3%2.3%523.7K-6.9M-34.0K4.9249.82N/AN/A12594,2832,022
2013-05-07$46.01$44.0020.4%6.4%25.4%6.9%22.8%3.5%2.1%649.8K-8.5M-33.4K0.2855.67N/AN/A54154,2782,049
2013-05-08$46.02$44.0021.3%6.3%23.8%12.1%22.3%2.2%1.8%655.8K-8.7M-33.1K0.4544.69N/AN/A40184,2952,061
2013-05-09$44.92$45.0021.6%6.5%23.2%13.5%22.6%2.8%2.2%441.3K-6.0M-32.4K0.4249.43N/AN/A59254,3042,077
2013-05-10$45.88$45.0020.2%6.2%24.0%5.9%21.6%3.1%2.3%688.6K-8.3M-32.8K0.5350.88N/AN/A4172214,3422,098
2013-05-13$45.82$45.0023.1%6.5%21.7%21.1%23.0%2.7%1.3%678.5K-8.2M-33.7K0.7358.88N/AN/A30224,3592,306
2013-05-14$46.14$45.0023.2%6.4%21.2%21.6%22.3%2.3%1.5%755.2K-8.9M-33.0K1.0066.87N/AN/A36364,3542,328
2013-05-15$46.34$45.0021.6%6.4%17.3%13.6%21.7%2.3%1.7%848.3K-9.5M-32.3K0.0164.82N/AN/A7514,3492,336
2013-05-16$45.35$45.0022.3%6.4%18.7%17.1%20.7%1.9%2.3%520.8K-6.4M-30.0K0.0163.12N/AN/A37044,2212,319
2013-05-17$46.00$45.0021.7%6.2%18.8%13.8%20.0%3.1%2.6%1.0M-8.2M-30.4K0.0076.31N/AN/A64814,3662,319
2013-05-20$46.08$45.0021.9%6.3%18.8%15.0%21.4%2.4%2.2%351.4K-5.9M-31.2K0.3368.52N/AN/A54183,3471,593
2013-05-21$46.12$45.0021.7%6.2%18.7%14.1%21.7%1.5%2.8%363.7K-6.2M-31.1K1.1067.17N/AN/A59653,3881,611
2013-05-22$46.57$45.0021.4%6.1%18.3%12.1%21.1%2.1%2.4%400.0K-6.8M-31.3K0.2968.66N/AN/A69203,4241,658
2013-05-23$46.36$45.0021.3%6.1%18.2%11.9%0.0%2.1%1.9%401.3K-6.5M-31.3K60.8482.98N/AN/A191,1563,4551,678
2013-05-24$46.28$45.0021.1%6.0%18.0%10.7%20.9%2.4%2.8%231.9K-4.8M-37.9K0.0975.69N/AN/A150143,4652,763
2013-05-28$47.13$45.0021.1%6.0%18.8%10.5%21.3%1.7%2.2%327.7K-7.0M-36.0K0.4873.12N/AN/A6012883,5712,772
2013-05-29$47.02$45.0021.0%6.0%18.5%10.5%20.6%1.8%2.0%401.2K-7.1M-39.0K0.0077.75N/AN/A5703,9482,830
2013-05-30$46.17$45.0022.9%6.6%19.6%20.5%23.3%3.0%1.7%284.9K-4.8M-39.3K2.4275.90N/AN/A1212933,8672,830
2013-05-31$46.33$46.0022.8%6.5%19.5%19.8%22.0%2.0%1.9%265.3K-5.3M-40.5K0.0078.37N/AN/A9603,9573,102