AN Options History — June 2013

In June 2013, AN traded between $42.40 and $47.07. ATM implied volatility averaged 28.2%, placing in the 47.8% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 4.9% (HV 20d: 23.2%). Max pain ranged from $44.00 to $46.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.35.

Notable Days

  • 2013-06-04: Highest Volume — 3,228 contracts
  • 2013-06-10: Largest IV spike — 13.7% change
  • 2013-06-24: Highest IV Rank — 66.4%
  • 2013-06-24: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.38$42.40$47.07$46.22$43.39
Max Pain$44.40$44.00$46.00$46.00$44.00
ATM IV28.2%23.0%31.7%24.3%28.3%
Expected Move8.2%6.9%9.1%7.0%8.1%
HV 20d23.2%18.2%26.0%19.5%25.5%
HV 60d25.1%23.2%26.6%23.2%24.0%
IV Rank47.8%20.6%66.4%27.7%48.8%
IV Percentile73.1%28.6%94.4%40.5%77.0%
Term Structure-0.6%-2.8%2.1%0.6%-0.6%
VWIV28.2%23.6%30.6%23.6%27.2%
Skew 25d2.3%0.7%3.6%1.9%2.8%
Skew 10d6.1%-9.3%11.6%10.5%4.9%
Call IV 25d27.7%23.6%30.6%23.6%26.8%
Put IV 25d30.0%24.8%32.7%25.5%29.5%
Bid-Ask Spread %72.7566.8178.0476.3273.76
Gamma HHI0.240.180.290.180.24
Net GEX311.7K127.9K774.8K241.3K200.1K
Net DEX-4.4M-13.7M779.1K-4.6M-2.1M
Net VEX-68.4K-80.0K-40.0K-40.0K-68.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.036.460.820.20
Total Volume645.351063,228217596
Total OI11,323.47,11313,1697,11311,924

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$46.22$46.0024.3%7.0%19.5%27.7%23.6%1.9%0.6%241.3K-4.6M-40.0K0.8276.32N/AN/A119984,0113,102
2013-06-04$47.07$46.0024.2%6.9%20.2%27.2%23.9%0.7%1.8%331.4K-7.3M-40.0K0.0377.27N/AN/A3,141874,0743,125
2013-06-05$46.23$46.0026.2%7.5%20.7%37.7%25.2%1.2%1.4%564.6K-11.0M-73.7K0.0576.66N/AN/A751356,9713,207
2013-06-06$46.44$46.0025.8%7.4%20.8%35.5%25.9%1.6%2.1%684.8K-12.2M-77.9K2.2078.04N/AN/A561237,6333,217
2013-06-07$46.82$44.0023.0%7.6%18.8%20.6%25.9%1.9%1.0%774.8K-13.7M-78.6K0.0475.76N/AN/A13867,6673,329
2013-06-10$46.13$44.0026.1%8.0%18.2%37.1%27.5%2.3%-0.2%636.8K-11.0M-75.1K0.3177.17N/AN/A81257,6103,335
2013-06-11$44.30$44.0026.7%8.7%23.3%40.0%30.6%2.8%-2.2%321.2K-4.7M-70.1K1.1770.49N/AN/A5476407,6523,340
2013-06-12$43.27$44.0028.2%8.8%24.3%47.9%30.6%2.8%-1.3%195.1K-1.7M-67.7K0.4868.21N/AN/A6783277,8333,731
2013-06-13$43.87$44.0029.8%8.5%24.9%56.1%29.6%2.7%-1.0%228.3K-2.7M-73.3K1.0266.81N/AN/A1111138,0123,963
2013-06-14$44.07$44.0029.6%8.5%24.0%55.6%27.9%2.9%-0.6%239.8K-3.7M-73.5K1.9471.58N/AN/A4618958,0254,028
2013-06-17$43.98$44.0030.3%8.7%23.3%59.1%29.9%3.6%-0.9%202.5K-2.8M-76.8K0.5170.94N/AN/A182938,3064,644
2013-06-18$44.68$44.0029.6%8.5%24.1%55.5%29.6%2.8%-1.1%259.6K-5.1M-80.0K1.9470.06N/AN/A1733368,4014,700
2013-06-19$44.12$44.0029.5%8.4%24.4%54.7%29.2%2.8%-0.6%193.1K-3.3M-75.4K3.4075.58N/AN/A682318,5004,669
2013-06-20$42.87$44.0030.8%8.8%25.7%61.4%28.5%2.7%-1.6%158.0K779.1K-67.2K0.2867.16N/AN/A9072578,2324,403
2013-06-21$42.98$44.0030.0%8.6%25.8%57.4%30.3%2.7%-1.4%320.3K613.2K-67.0K6.4667.90N/AN/A764918,3174,429
2013-06-24$42.40$44.0031.7%9.1%26.0%66.4%30.2%1.9%-2.3%127.9K361.9K-64.8K0.0471.25N/AN/A396177,3004,002
2013-06-25$42.71$44.0030.3%8.7%25.0%59.2%30.3%2.8%-1.8%167.6K-380.3K-64.9K0.4374.00N/AN/A126547,4794,000
2013-06-26$42.70$44.0030.1%8.6%25.1%58.0%30.2%1.7%-2.8%174.7K-598.1K-64.9K3.5073.74N/AN/A341197,5704,016
2013-06-27$43.39$44.0028.6%8.2%25.6%50.4%28.3%1.7%-1.3%212.3K-2.0M-67.9K2.1072.29N/AN/A1032167,5964,115
2013-06-28$43.39$44.0028.3%8.1%25.5%48.8%27.2%2.8%-0.6%200.1K-2.1M-68.8K0.2073.76N/AN/A498987,6634,261