AN Options History — December 2013

In December 2013, AN traded between $48.80 and $51.36. ATM implied volatility averaged 22.9%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 4.6% (HV 20d: 18.2%). Max pain ranged from $48.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.34.

Notable Days

  • 2013-12-23: Highest Volume — 1,355 contracts
  • 2013-12-23: Largest IV drop — 10.7% change
  • 2013-12-17: Highest IV Rank — 30.2%
  • 2013-12-17: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.05$48.80$51.36$48.80$49.69
Max Pain$49.67$48.00$50.00$48.00$50.00
ATM IV22.9%20.6%24.2%23.5%22.1%
Expected Move6.6%5.9%6.9%6.7%6.3%
HV 20d18.2%12.3%21.2%19.3%21.1%
HV 60d20.3%19.1%22.7%22.7%20.7%
IV Rank23.7%12.5%30.2%26.9%20.0%
IV Percentile34.1%9.1%50.0%40.5%24.2%
Term Structure2.9%0.2%4.6%0.7%3.6%
VWIV23.3%20.6%25.1%23.7%21.3%
Skew 25d1.7%-2.4%6.1%3.4%4.9%
Skew 10d4.9%-1.6%11.9%10.8%11.9%
Call IV 25d22.7%16.6%26.5%21.0%19.0%
Put IV 25d24.4%22.4%25.6%24.4%23.9%
Bid-Ask Spread %67.5023.2585.2323.2526.06
Gamma HHI0.380.240.710.300.24
Net GEX1.3M250.8K5.4M797.0K320.2K
Net DEX-7.2M-17.7M-640.5K-1.5M-1.2M
Net VEX-60.3K-73.9K-41.8K-63.8K-42.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.021.291.280.20
Total Volume403.619641,355107383
Total OI15,007.57113,04416,08614,49914,261

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$48.80$48.0023.5%6.7%19.3%26.9%23.7%3.4%0.7%797.0K-1.5M-63.8K1.2823.25N/AN/A47609,8214,678
2013-12-03$49.02$49.0023.3%6.7%18.9%25.9%23.6%3.1%0.2%890.4K-2.4M-62.9K0.7430.96N/AN/A1691259,8344,681
2013-12-04$50.21$48.0022.8%6.5%20.0%23.1%22.9%5.9%0.9%1.2M-7.9M-66.4K0.3840.64N/AN/A3021159,9004,760
2013-12-05$50.46$48.0022.8%6.5%19.0%23.4%22.8%5.4%1.2%1.3M-9.6M-70.1K0.2865.29N/AN/A6071699,8524,766
2013-12-06$50.55$50.0022.1%6.8%17.8%19.6%23.7%0.9%3.0%1.4M-10.7M-69.6K0.0373.86N/AN/A631229,9644,845
2013-12-09$50.48$50.0023.1%6.8%17.9%25.0%23.9%1.2%3.3%1.5M-10.7M-68.7K0.0566.12N/AN/A7193910,3894,861
2013-12-10$50.33$50.0023.0%6.8%16.7%24.4%23.8%1.1%3.1%1.5M-11.0M-73.9K0.1777.89N/AN/A1192010,9644,867
2013-12-11$49.77$50.0022.9%6.8%17.4%24.1%24.1%0.7%2.8%1.5M-8.0M-71.5K0.1378.61N/AN/A881111,0414,871
2013-12-12$49.61$50.0023.4%6.7%14.6%26.3%23.6%0.6%3.8%1.5M-6.9M-68.5K0.2579.13N/AN/A531311,0664,863
2013-12-13$50.01$50.0023.3%6.7%14.8%26.0%24.1%1.0%3.6%1.6M-9.1M-67.4K0.1176.22N/AN/A901011,0524,866
2013-12-16$49.98$50.0024.1%6.9%14.5%30.2%25.1%0.3%2.7%1.8M-9.4M-65.5K0.1180.23N/AN/A1711811,0644,866
2013-12-17$49.50$50.0024.2%6.9%12.3%30.2%24.1%1.0%3.0%1.6M-4.9M-55.7K0.0878.23N/AN/A59511,2114,874
2013-12-18$51.36$50.0023.8%6.8%17.7%28.2%24.0%2.1%4.1%1.6M-17.7M-64.6K0.2282.76N/AN/A3076711,2174,869
2013-12-19$51.07$50.0023.1%6.6%17.9%24.9%22.5%1.5%3.7%1.3M-15.8M-59.4K0.0783.28N/AN/A1761210,9954,870
2013-12-20$49.84$50.0023.1%6.6%20.0%24.9%23.5%-0.3%3.6%5.4M-6.3M-55.1K0.0982.69N/AN/A5755211,0444,875
2013-12-23$49.79$50.0020.6%5.9%20.0%12.5%20.6%-0.1%4.6%250.8K-640.5K-41.8K0.0283.82N/AN/A1,325309,0873,957
2013-12-24$49.93$50.0021.1%6.0%20.0%14.6%21.4%6.1%4.3%455.3K-2.5M-45.8K1.2983.51N/AN/A52679,9103,987
2013-12-26$50.71$50.0022.3%6.4%20.7%20.6%23.7%0.9%3.0%580.1K-4.9M-45.4K0.0483.94N/AN/A1,108419,9464,020
2013-12-27$50.06$50.0022.9%6.6%21.2%24.0%23.0%-1.9%2.9%961.2K-6.8M-59.1K0.6085.23N/AN/A3091869,9604,021
2013-12-30$49.84$50.0022.5%6.4%21.1%21.8%23.2%-2.4%3.5%758.4K-3.8M-50.3K1.1035.84N/AN/A596510,0144,170
2013-12-31$49.69$50.0022.1%6.3%21.1%20.0%21.3%4.9%3.6%320.2K-1.2M-42.0K0.2026.06N/AN/A3186510,0414,220