AN Options History — August 2013

In August 2013, AN traded between $45.32 and $49.29. ATM implied volatility averaged 21.6%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 0.4% (HV 20d: 21.9%). Max pain ranged from $45.00 to $47.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.73.

Notable Days

  • 2013-08-01: Highest Volume — 1,744 contracts
  • 2013-08-12: Largest IV spike — 16.7% change
  • 2013-08-28: Highest IV Rank — 32.4%
  • 2013-08-28: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.24$45.32$49.29$49.26$46.74
Max Pain$46.68$45.00$47.00$45.00$46.00
ATM IV21.6%18.1%24.6%20.2%23.3%
Expected Move6.3%5.3%7.1%5.8%6.7%
HV 20d21.9%20.3%24.2%21.4%21.1%
HV 60d23.2%22.2%23.9%23.5%23.8%
IV Rank16.4%0.0%32.4%6.2%25.9%
IV Percentile21.2%0.0%51.2%4.8%38.9%
Term Structure1.4%0.4%2.2%0.4%1.2%
VWIV22.2%17.6%26.0%19.7%23.1%
Skew 25d2.4%0.8%4.4%1.0%2.0%
Skew 10d4.6%-5.6%9.4%2.2%4.0%
Call IV 25d20.9%18.2%23.9%20.3%22.8%
Put IV 25d23.3%19.7%25.7%21.2%24.8%
Bid-Ask Spread %65.3657.5173.9564.3463.46
Gamma HHI0.320.230.410.380.27
Net GEX969.0K456.7K1.4M1.1M854.5K
Net DEX-13.3M-25.6M-3.0M-24.5M-10.2M
Net VEX-71.2K-78.1K-62.6K-70.9K-66.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.032.560.160.49
Total Volume406.273501,7441,74461
Total OI11,970.22710,87312,91311,68911,992

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$49.26$45.0020.2%5.8%21.4%6.2%19.7%1.0%0.4%1.1M-24.5M-70.9K0.1664.34N/AN/A1,5082367,9793,710
2013-08-02$49.29$45.0018.6%5.3%20.7%0.0%17.6%1.1%1.3%1.4M-25.6M-74.5K0.3973.95N/AN/A8003148,5783,768
2013-08-05$48.85$47.0020.1%6.0%21.1%7.3%21.2%0.8%2.1%1.3M-23.8M-76.4K0.1557.51N/AN/A601898,5153,974
2013-08-06$48.35$47.0019.8%6.1%21.6%6.1%21.8%3.8%2.0%1.3M-20.2M-78.1K0.3663.49N/AN/A6042158,3224,022
2013-08-07$48.56$47.0019.4%6.0%21.4%4.0%22.6%4.1%1.9%1.2M-20.5M-77.3K1.1759.87N/AN/A881038,2414,217
2013-08-08$48.50$47.0019.1%6.2%21.5%2.6%21.5%4.4%1.6%1.3M-20.7M-77.0K0.3466.77N/AN/A196678,2904,180
2013-08-09$48.44$47.0018.1%6.2%21.0%0.0%21.7%4.0%1.5%1.3M-20.3M-75.7K1.4163.50N/AN/A1942738,2434,213
2013-08-12$47.98$47.0021.1%6.2%21.3%15.1%22.7%2.6%1.9%1.3M-17.3M-76.3K0.7265.87N/AN/A1711238,3044,460
2013-08-13$48.05$47.0021.1%6.1%20.3%15.0%20.8%2.8%2.2%1.4M-18.1M-74.5K0.2867.52N/AN/A39118,4044,463
2013-08-14$47.85$47.0021.3%6.1%20.3%15.9%20.9%2.5%1.4%1.4M-17.1M-74.7K0.5670.59N/AN/A36208,4394,474
2013-08-15$46.49$47.0022.9%6.6%22.7%23.9%22.5%1.5%1.2%1.0M-9.3M-71.4K0.0363.43N/AN/A570188,3304,383
2013-08-16$45.65$47.0022.5%6.5%23.7%22.0%22.4%1.9%1.3%678.0K-5.2M-68.0K0.0959.13N/AN/A547488,2474,397
2013-08-19$45.50$47.0022.9%6.6%21.6%23.8%22.0%2.5%1.6%492.4K-4.0M-66.9K0.4960.51N/AN/A55276,8753,998
2013-08-20$46.64$47.0021.9%6.3%23.3%19.1%22.5%2.5%1.8%647.4K-8.2M-69.6K0.3464.10N/AN/A192656,8984,010
2013-08-21$46.60$47.0021.8%6.3%23.3%18.5%22.5%2.2%1.9%678.8K-8.5M-70.2K1.8768.41N/AN/A711337,0284,052
2013-08-22$46.43$47.0022.7%6.5%23.3%22.9%22.6%2.8%1.4%644.0K-7.6M-69.5K0.3869.59N/AN/A191737,0394,146
2013-08-23$46.42$47.0022.1%6.3%23.3%20.0%21.3%2.3%1.4%646.2K-7.3M-68.2K0.6967.69N/AN/A51356,9924,174
2013-08-26$46.31$47.0022.7%6.5%23.3%22.9%23.4%2.3%1.2%644.1K-6.8M-65.6K2.2471.81N/AN/A21476,9934,200
2013-08-27$45.32$47.0024.5%7.0%24.2%31.7%24.1%1.9%0.7%456.7K-3.0M-62.6K0.0864.94N/AN/A615526,9984,229
2013-08-28$45.37$46.0024.6%7.1%20.7%32.4%25.6%2.2%0.4%604.3K-4.0M-64.3K1.2661.95N/AN/A46587,5144,239
2013-08-29$46.76$46.0023.3%6.7%21.1%26.1%26.0%2.7%1.4%816.9K-10.4M-67.1K2.5669.42N/AN/A771977,5394,276
2013-08-30$46.74$46.0023.3%6.7%21.1%25.9%23.1%2.0%1.2%854.5K-10.2M-66.8K0.4963.46N/AN/A41207,5844,408