AN Options History — September 2013

In September 2013, AN traded between $47.25 and $54.10. ATM implied volatility averaged 26.7%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 0.2% (HV 20d: 26.5%). Max pain ranged from $45.00 to $48.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 3.50.

Notable Days

  • 2013-09-10: Highest Volume — 6,046 contracts
  • 2013-09-30: Largest IV spike — 18.6% change
  • 2013-09-30: Highest IV Rank — 67.0%
  • 2013-09-30: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.93$47.25$54.10$47.25$52.17
Max Pain$47.10$45.00$48.00$46.00$48.00
ATM IV26.7%21.7%31.5%24.7%31.5%
Expected Move7.8%6.2%9.0%7.1%9.0%
HV 20d26.5%21.4%30.3%21.5%26.3%
HV 60d23.7%22.1%24.7%23.9%23.1%
IV Rank43.1%17.8%67.0%32.9%67.0%
IV Percentile65.6%20.6%93.7%51.2%93.7%
Term Structure0.9%-2.0%2.5%0.4%0.6%
VWIV27.9%22.4%31.1%26.1%28.5%
Skew 25d4.6%1.9%8.3%3.0%4.2%
Skew 10d10.4%2.6%17.9%5.9%14.8%
Call IV 25d24.8%18.0%28.4%23.0%27.3%
Put IV 25d29.4%23.4%31.8%26.0%31.5%
Bid-Ask Spread %74.4553.8183.7257.2283.72
Gamma HHI0.310.270.380.270.36
Net GEX984.7K659.6K1.3M925.5K1.2M
Net DEX-35.1M-52.6M-12.6M-12.6M-30.5M
Net VEX-99.3K-135.1K-37.1K-65.1K-127.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.500.0434.950.722.83
Total Volume1,279.85866,046222176
Total OI18,792.611,97524,74012,01221,399

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$47.25$46.0024.7%7.1%21.5%32.9%26.1%3.0%0.4%925.5K-12.6M-65.1K0.7257.22N/AN/A129937,6064,406
2013-09-04$47.50$46.0024.0%6.9%21.4%29.5%24.5%3.0%1.4%966.1K-14.0M-63.1K1.0054.68N/AN/A43437,6164,374
2013-09-05$48.60$46.0021.7%6.2%22.9%17.8%22.4%1.9%2.4%1.1M-19.5M-58.3K0.2053.81N/AN/A293587,6154,360
2013-09-06$49.27$45.0021.9%6.8%23.4%18.6%24.2%7.1%2.5%1.1M-22.7M-55.0K0.4372.46N/AN/A138597,6584,369
2013-09-09$51.45$45.0024.1%7.2%27.8%29.7%25.3%3.2%0.7%847.1K-30.5M-41.1K0.2975.02N/AN/A1,5034417,6484,343
2013-09-10$53.45$45.0024.8%7.6%30.1%33.1%28.7%8.3%0.1%659.6K-36.7M-37.1K0.1175.09N/AN/A5,4236238,2604,592
2013-09-11$53.12$45.0024.8%7.6%30.3%33.5%30.3%3.7%1.3%1.1M-44.2M-81.3K9.6273.39N/AN/A2662,55811,9515,088
2013-09-12$53.08$48.0027.7%7.9%30.2%47.8%28.7%7.2%-0.2%764.9K-41.2M-94.8K1.8579.53N/AN/A18434011,9777,587
2013-09-13$53.05$48.0026.8%7.7%27.5%43.3%29.1%3.1%1.3%725.4K-41.2M-97.6K1.1878.21N/AN/A14817412,1237,890
2013-09-16$52.20$48.0031.2%9.0%27.3%65.6%30.9%3.4%-2.0%746.8K-37.6M-97.7K0.0879.52N/AN/A3,16726812,2097,948
2013-09-17$52.64$48.0028.1%8.0%27.0%49.6%28.5%6.2%-0.2%1.1M-47.0M-126.5K0.5982.99N/AN/A59334815,1468,084
2013-09-18$53.29$48.0028.0%8.0%26.3%49.5%29.9%7.9%-0.0%1.2M-49.6M-128.4K1.3781.26N/AN/A31843615,3458,350
2013-09-19$54.10$48.0027.7%7.9%26.3%47.8%28.3%4.6%0.2%1.1M-52.6M-124.2K1.0577.87N/AN/A70874115,1878,612
2013-09-20$53.32$48.0027.6%7.9%27.2%47.6%27.9%3.9%0.4%1.1M-48.8M-129.1K3.9381.83N/AN/A24797015,5469,194
2013-09-23$52.88$48.0028.1%8.1%27.6%49.9%29.7%3.5%1.3%894.7K-34.6M-135.1K1.6279.23N/AN/A15925813,8508,311
2013-09-24$53.49$48.0027.3%7.8%27.5%46.0%28.5%7.4%1.9%907.7K-37.8M-133.9K1.3081.40N/AN/A14819313,9058,517
2013-09-25$52.71$48.0027.6%7.9%26.6%47.4%31.1%4.4%2.1%903.5K-33.9M-132.5K34.9571.86N/AN/A652,27213,9628,607
2013-09-26$52.27$48.0030.6%8.8%27.1%62.4%29.4%2.8%1.0%1.3M-32.6M-126.0K6.7674.64N/AN/A9966913,9676,851
2013-09-27$52.71$48.0026.6%7.6%25.7%42.3%26.7%3.4%2.2%1.2M-34.8M-131.3K0.0475.27N/AN/A1,1984813,9747,425
2013-09-30$52.17$48.0031.5%9.0%26.3%67.0%28.5%4.2%0.6%1.2M-30.5M-127.4K2.8383.72N/AN/A4613013,9747,425