AN Options History — October 2013

In October 2013, AN traded between $48.00 and $52.37. ATM implied volatility averaged 29.6%, placing in the 57.3% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 7.4% (HV 20d: 22.1%). Max pain ranged from $48.00 to $55.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 0.95.

Notable Days

  • 2013-10-23: Highest Volume — 3,161 contracts
  • 2013-10-24: Largest IV drop — 18.5% change
  • 2013-10-22: Highest IV Rank — 73.1%
  • 2013-10-22: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.75$48.00$52.37$52.37$48.23
Max Pain$50.17$48.00$55.00$48.00$50.00
ATM IV29.6%24.7%32.7%31.0%24.7%
Expected Move8.6%7.1%9.4%8.9%7.1%
HV 20d22.1%20.1%26.5%26.2%22.4%
HV 60d24.0%23.1%24.8%23.1%23.9%
IV Rank57.3%32.8%73.1%64.3%32.8%
IV Percentile79.8%44.0%97.6%91.3%44.0%
Term Structure-1.7%-4.2%1.0%0.8%-0.5%
VWIV30.1%24.5%33.4%31.5%24.5%
Skew 25d2.4%-1.2%5.7%3.4%-0.1%
Skew 10d5.3%-6.4%14.0%10.9%-6.4%
Call IV 25d28.9%25.3%32.7%27.0%26.0%
Put IV 25d31.3%25.7%35.1%30.4%25.9%
Bid-Ask Spread %54.6540.8589.3783.8547.39
Gamma HHI0.360.240.580.390.29
Net GEX1.1M426.3K1.7M1.4M567.4K
Net DEX-13.9M-33.3M160.4K-33.3M-271.8K
Net VEX-97.2K-123.6K-75.9K-123.6K-84.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.045.450.720.41
Total Volume625.478783,161150222
Total OI18,373.30410,38022,37421,77114,661

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$52.37$48.0031.0%8.9%26.2%64.3%31.5%3.4%0.8%1.4M-33.3M-123.6K0.7283.85N/AN/A876314,4237,348
2013-10-02$52.34$48.0031.9%9.1%26.3%68.9%31.6%4.1%-1.6%1.4M-32.7M-123.2K2.7789.37N/AN/A359714,4137,370
2013-10-03$51.44$48.0031.1%8.9%26.5%64.7%29.7%5.7%1.0%1.4M-27.8M-119.3K5.4583.99N/AN/A2010914,3887,388
2013-10-04$50.95$55.0029.5%9.1%26.5%56.9%32.3%3.7%-2.4%1.4M-24.9M-119.3K2.7164.48N/AN/A215714,3947,366
2013-10-07$50.37$55.0030.7%9.3%21.8%62.9%32.4%4.3%-2.9%1.5M-22.4M-113.8K0.4367.17N/AN/A78533914,3997,381
2013-10-08$48.54$50.0031.3%9.3%20.2%66.1%32.7%3.1%-2.6%1.6M-9.5M-100.2K1.4271.82N/AN/A69999314,2687,369
2013-10-09$48.81$50.0029.7%9.3%20.5%57.8%33.4%3.2%-3.0%1.4M-9.6M-102.3K0.5949.12N/AN/A72042713,8927,752
2013-10-10$49.70$50.0031.3%9.0%21.9%66.0%31.7%3.7%-2.6%1.3M-16.3M-100.9K0.8242.82N/AN/A29324013,9507,944
2013-10-11$50.00$50.0030.5%8.8%22.2%62.1%31.1%3.3%-1.7%1.6M-19.3M-102.1K0.2740.88N/AN/A1584314,3707,911
2013-10-14$49.96$50.0031.3%9.0%21.6%65.8%32.1%3.4%-2.3%1.7M-19.0M-98.7K0.2044.06N/AN/A57211314,4467,928
2013-10-15$49.30$50.0031.5%9.0%21.6%67.1%31.0%3.5%-2.3%1.4M-13.4M-93.0K0.1845.89N/AN/A1973613,7788,014
2013-10-16$49.91$50.0030.5%8.8%21.6%62.1%30.7%3.8%-1.9%1.1M-20.1M-93.5K0.0446.00N/AN/A3611513,9218,030
2013-10-17$49.67$50.0030.4%8.7%20.5%61.3%30.5%3.7%-1.7%1.1M-18.5M-86.7K0.4846.19N/AN/A1286213,9837,892
2013-10-18$50.18$50.0030.3%8.7%20.7%61.1%30.5%3.5%-2.5%1.4M-25.5M-87.7K0.1946.51N/AN/A4167814,0537,921
2013-10-21$49.94$50.0031.0%8.9%20.6%64.3%31.3%3.2%-2.3%497.5K-4.6M-82.6K0.2254.90N/AN/A236527,0913,289
2013-10-22$49.36$50.0032.7%9.4%20.1%73.1%32.6%1.1%-4.2%466.8K-3.6M-83.3K0.1351.98N/AN/A484657,2803,341
2013-10-23$48.57$50.0032.4%9.3%20.2%71.3%32.6%0.9%-3.9%426.3K-1.6M-75.9K0.3945.53N/AN/A2,2808817,5403,381
2013-10-24$49.41$50.0026.4%7.6%21.5%41.3%26.7%-0.6%-1.1%770.3K-5.5M-93.8K0.7453.42N/AN/A7495579,2803,993
2013-10-25$49.16$50.0025.1%7.2%21.1%35.1%25.5%-0.4%-0.3%765.0K-4.6M-92.1K0.1640.85N/AN/A635999,6364,210
2013-10-28$48.79$50.0026.3%7.5%21.0%40.8%26.0%-0.4%-1.1%666.4K-2.6M-86.6K0.6042.66N/AN/A1691029,8564,303
2013-10-29$49.23$50.0025.2%7.2%21.3%35.3%25.5%-1.2%-0.5%782.5K-4.5M-91.2K0.7350.27N/AN/A97719,8864,299
2013-10-30$48.00$50.0025.4%7.3%22.7%36.3%25.6%0.9%-0.3%546.8K160.4K-81.4K2.1947.82N/AN/A1643599,9174,331
2013-10-31$48.23$50.0024.7%7.1%22.4%32.8%24.5%-0.1%-0.5%567.4K-271.8K-84.8K0.4147.39N/AN/A157659,9984,663