AN Options History — November 2013

In November 2013, AN traded between $46.91 and $49.86. ATM implied volatility averaged 23.3%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 2.4% (HV 20d: 21.0%). Max pain ranged from $48.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.63.

Notable Days

  • 2013-11-06: Highest Volume — 884 contracts
  • 2013-11-11: Largest IV spike — 11.1% change
  • 2013-11-05: Highest IV Rank — 35.3%
  • 2013-11-05: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.66$46.91$49.86$48.39$49.04
Max Pain$48.50$48.00$50.00$50.00$48.00
ATM IV23.3%22.0%25.2%24.0%23.2%
Expected Move6.7%6.4%7.2%6.9%6.6%
HV 20d21.0%18.5%23.2%22.4%19.2%
HV 60d23.9%22.9%24.5%23.9%22.9%
IV Rank25.9%19.2%35.3%29.5%25.1%
IV Percentile33.9%21.8%49.6%37.7%36.1%
Term Structure0.8%0.3%1.6%0.4%0.5%
VWIV23.6%22.3%25.3%24.2%22.6%
Skew 25d3.3%-1.8%6.7%-1.8%4.1%
Skew 10d6.7%-7.5%12.1%-7.5%0.9%
Call IV 25d21.3%17.4%26.3%26.3%20.0%
Put IV 25d24.6%23.3%26.2%24.5%24.1%
Bid-Ask Spread %52.3025.1664.1950.3155.38
Gamma HHI0.300.190.520.300.31
Net GEX814.8K217.2K2.5M606.9K865.6K
Net DEX-1.5M-6.8M5.5M-716.0K-2.9M
Net VEX-76.1K-86.2K-68.2K-84.9K-68.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.003.260.630.09
Total Volume291378847060
Total OI15,06513,76616,22014,74614,499

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$48.39$50.0024.0%6.9%22.4%29.5%24.2%-1.8%0.4%606.9K-716.0K-84.9K0.6350.31N/AN/A432710,0514,695
2013-11-04$48.96$49.0025.0%7.1%22.6%34.5%24.7%1.0%1.0%741.3K-2.9M-86.2K0.1447.40N/AN/A5297610,0754,705
2013-11-05$48.30$49.0025.2%7.2%19.0%35.3%25.3%0.7%0.8%668.7K-906.5K-84.7K0.5046.59N/AN/A1417010,5154,748
2013-11-06$47.61$49.0024.8%7.0%19.5%33.4%24.9%1.7%0.4%470.9K2.6M-76.2K0.9845.12N/AN/A44643810,5804,795
2013-11-07$46.91$49.0023.7%7.0%18.7%28.0%24.3%2.5%0.8%264.8K5.5M-70.8K0.2844.86N/AN/A56815810,8265,139
2013-11-08$47.08$49.0022.0%6.9%18.5%19.3%24.2%2.1%0.7%217.2K5.5M-71.5K0.5048.63N/AN/A1477410,6565,217
2013-11-11$48.10$48.0024.4%7.0%20.5%31.4%24.0%4.3%0.3%534.9K1.8M-75.3K0.2952.22N/AN/A2025810,7245,277
2013-11-12$48.16$48.0024.0%6.8%20.0%29.3%23.7%4.1%0.5%485.9K2.2M-72.4K1.2855.85N/AN/A11314510,7745,313
2013-11-13$49.49$48.0022.0%6.8%22.0%19.2%23.4%1.6%0.5%1.2M-5.2M-82.4K0.3054.41N/AN/A2467410,8395,381
2013-11-14$49.39$48.0023.9%6.8%21.9%28.7%23.7%1.4%0.6%1.2M-4.5M-80.3K0.1456.44N/AN/A2203110,7885,298
2013-11-15$49.86$49.0022.9%6.6%21.9%24.0%23.8%6.7%1.3%2.5M-6.8M-82.6K0.2264.19N/AN/A3627910,8835,308
2013-11-18$48.74$49.0023.4%6.7%23.2%26.2%23.7%4.3%0.6%714.7K-2.1M-74.2K1.1460.00N/AN/A1731989,3904,376
2013-11-19$48.61$48.0022.4%6.4%22.9%21.2%22.9%4.4%1.6%684.4K-1.3M-71.7K0.2557.73N/AN/A355909,4394,530
2013-11-20$48.67$49.0022.6%6.5%22.2%22.2%23.0%4.5%1.1%732.1K-1.6M-73.4K0.5760.67N/AN/A138789,6834,595
2013-11-21$49.15$48.0022.4%6.4%21.6%21.6%22.6%5.3%0.8%839.8K-3.5M-77.4K3.2657.10N/AN/A27889,7604,661
2013-11-22$49.04$48.0022.2%6.4%21.5%20.4%0.0%4.8%1.3%841.0K-3.4M-75.8K0.0053.51N/AN/A3709,7614,648
2013-11-25$49.19$48.0022.9%6.6%21.4%23.8%22.3%5.2%0.5%864.4K-3.8M-74.5K0.2654.25N/AN/A3599,7864,648
2013-11-26$49.15$48.0022.6%6.5%21.1%22.5%22.4%4.5%1.2%884.0K-3.4M-70.2K0.6456.11N/AN/A107699,7994,651
2013-11-27$49.41$48.0022.6%6.5%19.0%22.3%22.7%5.0%0.9%954.0K-4.4M-69.5K1.1025.16N/AN/A52579,7994,688
2013-11-29$49.04$48.0023.2%6.6%19.2%25.1%22.6%4.1%0.5%865.6K-2.9M-68.2K0.0955.38N/AN/A5559,8244,675