AN Options History — July 2013

In July 2013, AN traded between $44.56 and $47.90. ATM implied volatility averaged 26.0%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 2.6% (HV 20d: 23.4%). Max pain ranged from $43.00 to $45.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.55.

Notable Days

  • 2013-07-17: Highest Volume — 2,842 contracts
  • 2013-07-11: Largest IV drop — 21.3% change
  • 2013-07-10: Highest IV Rank — 78.3%
  • 2013-07-03: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.92$44.56$47.90$44.94$47.90
Max Pain$43.82$43.00$45.00$44.00$45.00
ATM IV26.0%19.6%34.0%30.2%24.1%
Expected Move7.2%5.6%9.0%8.7%6.9%
HV 20d23.4%17.2%29.0%28.9%20.0%
HV 60d22.8%21.6%25.0%25.0%23.1%
IV Rank36.4%3.1%78.3%58.5%26.7%
IV Percentile51.2%1.2%98.0%88.1%42.1%
Term Structure0.1%-3.3%3.2%-3.2%-1.6%
VWIV24.8%19.6%31.1%29.8%23.6%
Skew 25d2.2%1.0%6.1%3.1%6.1%
Skew 10d5.4%-1.1%10.9%1.4%10.9%
Call IV 25d23.7%15.0%29.8%28.7%15.0%
Put IV 25d25.9%20.7%32.0%31.8%21.0%
Bid-Ask Spread %67.1038.7187.1172.9387.11
Gamma HHI0.270.220.420.230.32
Net GEX727.5K-488.9K1.2M482.4K1.2M
Net DEX-11.2M-18.9M-5.7M-8.0M-18.9M
Net VEX-73.5K-81.3K-63.8K-74.3K-76.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.071.810.410.15
Total Volume685.364362,842578873
Total OI12,521.2279,13815,20112,28911,587

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$44.94$44.0030.2%8.7%28.9%58.5%29.8%3.1%-3.2%482.4K-8.0M-74.3K0.4172.93N/AN/A4111677,9354,354
2013-07-02$44.56$44.0031.2%8.9%28.0%63.5%30.8%2.4%-3.3%424.3K-6.4M-74.0K0.7376.94N/AN/A1961438,0364,445
2013-07-03$45.27$44.0031.3%9.0%28.2%64.2%31.1%2.2%-3.3%556.2K-9.4M-76.5K0.4079.53N/AN/A4871958,0714,551
2013-07-05$46.14$43.0031.1%7.9%29.0%63.2%27.3%2.8%0.8%737.5K-13.3M-78.3K0.4441.24N/AN/A115518,4344,672
2013-07-08$46.42$43.0033.2%7.9%28.9%74.1%27.4%1.6%0.3%811.7K-14.5M-75.2K0.4247.76N/AN/A190798,4094,669
2013-07-09$46.65$43.0032.8%7.6%28.5%72.3%26.7%1.5%0.6%850.0K-15.2M-74.5K0.2648.50N/AN/A6161608,3384,710
2013-07-10$46.40$43.0034.0%7.8%24.2%78.3%26.4%2.1%0.2%783.5K-13.9M-72.4K0.4438.71N/AN/A107478,2824,809
2013-07-11$46.49$43.0026.8%7.7%22.2%40.4%26.1%1.5%0.6%833.7K-14.6M-70.9K0.3047.90N/AN/A80248,3054,810
2013-07-12$46.00$43.0026.7%7.6%22.4%40.0%26.2%1.7%0.4%714.4K-12.2M-69.4K0.0749.20N/AN/A346258,3004,832
2013-07-15$46.39$43.0027.6%7.9%22.5%45.0%27.0%2.6%-0.6%877.9K-14.1M-68.9K0.1251.59N/AN/A268318,5494,853
2013-07-16$45.69$43.0027.6%7.9%23.3%44.9%27.1%1.7%-0.7%680.7K-11.0M-66.9K0.3967.67N/AN/A2781098,5614,879
2013-07-17$45.47$44.0028.5%8.2%22.8%49.4%26.3%4.7%-0.0%623.9K-10.0M-66.7K0.9971.01N/AN/A1,4291,4138,7234,876
2013-07-18$44.98$44.0024.0%6.9%22.7%26.2%24.2%2.2%2.7%-103.0K-7.8M-64.8K0.8078.93N/AN/A1,0718619,5725,443
2013-07-19$44.74$44.0022.2%6.4%20.0%16.5%22.3%1.4%3.2%-488.9K-5.7M-63.8K0.5766.72N/AN/A8664949,6625,539
2013-07-22$45.99$44.0020.4%5.9%21.9%7.1%20.6%1.6%1.6%839.5K-9.3M-69.5K0.6780.41N/AN/A1,0396956,6532,485
2013-07-23$46.19$44.0019.9%5.7%21.0%4.5%22.0%1.4%0.3%1.0M-11.1M-78.5K1.6074.14N/AN/A2814517,5613,152
2013-07-24$46.04$44.0020.2%5.8%21.1%5.8%19.8%1.9%0.7%1.0M-10.3M-81.3K0.4774.34N/AN/A183867,8163,548
2013-07-25$45.93$44.0020.1%5.8%21.2%5.3%20.6%1.6%0.6%996.3K-9.8M-80.1K0.7673.37N/AN/A1681277,8513,611
2013-07-26$45.78$45.0019.6%5.6%20.8%3.1%19.6%2.1%0.9%982.1K-9.0M-79.1K0.2078.62N/AN/A3067,9023,623
2013-07-29$45.87$45.0020.3%5.8%20.8%6.3%19.9%2.5%0.6%1.0M-9.4M-77.4K1.8182.92N/AN/A701277,9063,628
2013-07-30$46.36$45.0020.1%5.8%17.2%5.7%20.2%1.0%0.6%1.1M-11.7M-77.6K0.0786.64N/AN/A640437,8773,648
2013-07-31$47.90$45.0024.1%6.9%20.0%26.7%23.6%6.1%-1.6%1.2M-18.9M-76.1K0.1587.11N/AN/A7571167,9703,617