AN Options History — February 2014

In February 2014, AN traded between $48.16 and $52.83. ATM implied volatility averaged 22.7%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 7.3% (HV 20d: 30.1%). Max pain ranged from $49.00 to $50.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 3.67.

Notable Days

  • 2014-02-24: Highest Volume — 3,241 contracts
  • 2014-02-13: Largest IV spike — 18.5% change
  • 2014-02-03: Highest IV Rank — 44.6%
  • 2014-02-03: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.07$48.16$52.83$48.16$52.64
Max Pain$49.16$49.00$50.00$49.00$50.00
ATM IV22.7%19.4%27.1%27.1%20.3%
Expected Move6.7%5.8%7.8%7.8%5.8%
HV 20d30.1%18.6%33.9%33.3%18.6%
HV 60d24.4%23.8%25.1%24.8%24.3%
IV Rank23.1%6.3%44.6%44.6%11.1%
IV Percentile33.1%1.6%72.6%72.6%6.7%
Term Structure1.9%-0.2%3.7%-0.2%3.2%
VWIV23.4%20.3%28.5%28.5%20.4%
Skew 25d2.3%1.3%3.3%2.7%1.9%
Skew 10d6.9%1.4%11.1%3.7%7.5%
Call IV 25d22.3%19.6%26.2%26.2%19.6%
Put IV 25d24.6%21.4%28.9%28.9%21.5%
Bid-Ask Spread %74.9458.9292.3761.3787.39
Gamma HHI0.210.170.290.200.19
Net GEX-30.3K-931.7K956.8K-581.0K4.7K
Net DEX-13.3M-20.2M8.0M8.0M-20.0M
Net VEX-90.9K-108.1K-70.8K-98.6K-70.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.670.0926.470.150.28
Total Volume761.947503,2412,33050
Total OI19,960.05315,53722,15915,53720,744

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-02-03$48.16$49.0027.1%7.8%33.3%44.6%28.5%2.7%-0.2%-581.0K8.0M-98.6K0.1561.37N/AN/A2,0342964,93110,606
2014-02-04$49.21$49.0025.1%7.2%33.8%35.1%25.9%3.3%0.7%-62.5K-171.7K-108.1K1.3865.32N/AN/A731016,55710,797
2014-02-05$49.88$49.0025.5%7.3%33.6%37.0%27.3%1.3%1.1%9.1K-3.8M-103.3K0.1080.06N/AN/A1,4001416,55110,868
2014-02-06$50.66$49.0024.5%7.0%33.8%31.8%25.2%1.6%1.4%414.4K-11.5M-107.4K0.4781.79N/AN/A191897,82510,878
2014-02-07$51.13$49.0023.1%7.1%33.9%24.7%24.2%2.9%1.5%526.0K-14.5M-103.7K0.8558.92N/AN/A1901627,97810,929
2014-02-10$50.80$49.0023.1%7.1%33.6%24.8%23.8%1.8%1.8%610.5K-14.3M-101.5K10.5360.94N/AN/A1821,9168,10210,974
2014-02-11$51.15$49.0022.1%7.0%32.3%20.0%23.9%2.1%1.7%-33.4K-14.3M-97.6K0.1066.44N/AN/A368358,10712,658
2014-02-12$51.26$49.0019.4%6.6%32.1%6.3%23.4%2.8%2.1%-67.7K-15.1M-97.9K14.4066.74N/AN/A821,1818,32712,670
2014-02-13$51.40$49.0023.0%6.6%29.3%24.2%23.1%2.3%1.7%-429.0K-15.9M-95.8K0.5268.60N/AN/A124648,37413,736
2014-02-14$51.76$49.0022.3%6.4%29.1%20.8%22.8%3.2%2.2%-127.3K-18.1M-93.1K0.4874.21N/AN/A86418,35613,732
2014-02-18$50.90$49.0023.2%6.7%29.7%25.5%22.7%2.3%2.2%-785.5K-14.5M-90.1K0.4974.85N/AN/A118588,39513,764
2014-02-19$51.00$49.0023.7%6.8%29.7%27.7%23.5%3.1%1.5%-577.4K-15.4M-87.9K1.0773.52N/AN/A80868,36413,784
2014-02-20$50.78$49.0023.2%6.6%29.4%25.2%22.0%2.6%1.9%-931.7K-14.4M-85.9K0.6275.91N/AN/A34218,21913,563
2014-02-21$51.08$49.0022.8%6.5%29.1%23.4%22.6%2.3%2.3%193.7K-16.8M-82.0K0.0978.33N/AN/A177168,22413,572
2014-02-24$51.17$49.0021.4%6.1%27.6%16.2%21.3%1.3%2.8%956.8K-16.3M-73.3K26.4783.40N/AN/A1183,1237,4879,344
2014-02-25$52.05$49.0021.0%6.0%27.4%14.5%22.6%2.6%2.5%227.2K-16.5M-80.1K5.5486.15N/AN/A1809977,51612,026
2014-02-26$52.83$50.0020.5%5.9%27.6%11.9%20.7%1.6%3.7%68.5K-20.2M-74.2K4.9187.63N/AN/A964717,61912,957
2014-02-27$52.55$50.0020.9%6.0%27.4%13.8%20.3%2.0%2.9%8.4K-19.0M-75.6K1.2992.37N/AN/A42547,65913,048
2014-02-28$52.64$50.0020.3%5.8%18.6%11.1%20.4%1.9%3.2%4.7K-20.0M-70.8K0.2887.39N/AN/A39117,66713,077