AN Options History — January 2014

In January 2014, AN traded between $46.84 and $49.89. ATM implied volatility averaged 24.4%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 0.6% (HV 20d: 23.8%). Max pain ranged from $48.00 to $50.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 7.15.

Notable Days

  • 2014-01-08: Highest Volume — 6,152 contracts
  • 2014-01-16: Largest IV spike — 24.9% change
  • 2014-01-28: Highest IV Rank — 57.0%
  • 2014-01-28: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.59$46.84$49.89$49.28$49.39
Max Pain$49.10$48.00$50.00$50.00$49.00
ATM IV24.4%18.4%29.5%23.3%23.9%
Expected Move7.5%6.4%8.5%6.7%6.8%
HV 20d23.8%19.7%32.3%21.3%32.3%
HV 60d21.0%19.3%24.5%20.7%24.4%
IV Rank31.2%1.5%57.0%25.8%28.7%
IV Percentile47.1%0.4%82.5%42.9%50.4%
Term Structure-0.3%-3.0%2.7%2.6%0.3%
VWIV26.2%23.0%29.6%23.2%23.2%
Skew 25d1.4%-3.7%6.6%3.1%0.7%
Skew 10d4.6%-3.9%13.7%5.9%2.9%
Call IV 25d25.6%17.6%28.9%21.7%23.8%
Put IV 25d27.0%23.4%30.9%24.9%24.5%
Bid-Ask Spread %35.8820.2067.1433.8567.14
Gamma HHI0.220.180.270.230.21
Net GEX-421.6K-1.1M438.1K313.0K-409.2K
Net DEX6.9M-2.1M17.6M40.1K3.1M
Net VEX-79.9K-107.5K-37.3K-41.5K-95.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.150.01117.310.220.01
Total Volume1,025.812096,152265297
Total OI17,274.09513,28924,55514,27315,259

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$49.28$50.0023.3%6.7%21.3%25.8%23.2%3.1%2.6%313.0K40.1K-41.5K0.2233.85N/AN/A217489,9954,278
2014-01-03$49.75$50.0022.5%6.4%19.7%21.8%23.2%-3.7%2.7%438.1K-2.1M-41.6K2.3027.55N/AN/A13831710,1214,317
2014-01-06$48.91$50.0023.9%7.5%20.4%29.0%27.5%0.5%-0.1%138.5K1.8M-38.5K0.5920.20N/AN/A29917710,1034,613
2014-01-07$49.70$49.0022.5%7.4%21.3%21.9%26.1%1.7%0.1%276.6K-1.3M-39.4K0.7728.00N/AN/A15511910,1264,712
2014-01-08$49.17$49.0021.4%7.2%21.6%16.5%26.6%1.6%0.6%159.5K1.5M-37.3K117.3120.65N/AN/A526,10010,1074,768
2014-01-09$49.00$49.0021.1%7.2%21.6%15.1%25.4%1.2%0.6%-461.5K8.2M-80.4K0.7822.01N/AN/A36628710,12410,846
2014-01-10$49.80$49.0018.4%7.1%22.1%1.5%25.5%1.8%0.3%-221.8K4.1M-81.8K0.9522.92N/AN/A17917010,22011,000
2014-01-13$48.62$49.0022.1%7.4%23.7%19.9%25.9%1.8%-0.0%-645.3K11.0M-77.1K1.0820.37N/AN/A15716910,28311,047
2014-01-14$49.23$49.0020.9%7.4%24.0%13.9%25.7%1.5%-0.3%-406.7K7.8M-77.3K1.7833.04N/AN/A12422110,36911,085
2014-01-15$47.63$49.0020.9%7.6%26.6%13.8%26.5%2.1%0.0%-962.7K17.6M-76.5K1.8527.90N/AN/A9781,80910,23911,168
2014-01-16$48.23$49.0026.1%7.5%26.9%39.8%26.2%1.1%0.0%-1.1M15.6M-90.4K0.7138.76N/AN/A58541311,00812,692
2014-01-17$47.82$49.0025.4%7.3%22.9%36.1%25.2%0.7%0.1%-1.1M17.1M-93.0K0.9537.56N/AN/A18617611,50113,054
2014-01-21$48.13$49.0027.0%7.7%23.2%44.5%27.2%0.2%-0.8%-769.5K8.3M-90.7K0.2936.36N/AN/A1,5884593,23010,059
2014-01-22$48.88$49.0026.1%7.5%22.6%39.8%26.7%1.0%-1.0%-462.4K3.7M-103.3K15.3346.69N/AN/A901,3804,74510,422
2014-01-23$48.38$49.0027.3%7.8%22.8%45.7%27.2%1.0%-1.7%-533.6K5.4M-107.2K0.6045.03N/AN/A131784,82510,665
2014-01-24$47.34$49.0028.8%8.3%23.9%53.3%28.4%1.2%-2.4%-604.9K8.6M-107.5K0.6144.70N/AN/A146894,85710,496
2014-01-27$46.84$49.0029.0%8.3%23.0%54.2%28.9%0.6%-2.1%-684.2K10.9M-104.6K0.9340.59N/AN/A5445074,93210,568
2014-01-28$47.39$49.0029.5%8.5%23.4%57.0%29.6%3.1%-3.0%-653.9K10.2M-102.6K1.0939.57N/AN/A7378054,76110,425
2014-01-29$47.01$49.0029.1%8.3%23.5%54.9%29.3%2.4%-2.2%-772.5K12.4M-98.2K0.8936.19N/AN/A1861664,47810,280
2014-01-30$49.89$48.0022.7%6.5%32.3%22.8%23.0%6.6%0.5%-301.8K1.1M-93.6K1.0864.40N/AN/A4314664,59010,388
2014-01-31$49.39$49.0023.9%6.8%32.3%28.7%23.2%0.7%0.3%-409.2K3.1M-95.6K0.0167.14N/AN/A29344,65710,602