AN Options History — March 2014

In March 2014, AN traded between $51.62 and $53.71. ATM implied volatility averaged 22.7%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 8.1% (HV 20d: 14.6%). Max pain ranged from $50.00 to $52.50. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 9.33.

Notable Days

  • 2014-03-24: Highest Volume — 11,972 contracts
  • 2014-03-13: Largest IV spike — 18.0% change
  • 2014-03-31: Highest IV Rank — 35.5%
  • 2014-03-31: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.97$51.62$53.71$52.65$53.23
Max Pain$50.83$50.00$52.50$50.00$52.50
ATM IV22.7%19.8%25.2%21.9%25.2%
Expected Move6.7%5.8%7.2%6.3%7.2%
HV 20d14.6%13.0%18.0%18.0%17.5%
HV 60d23.6%22.6%24.3%24.3%23.3%
IV Rank22.7%8.4%35.5%18.8%35.5%
IV Percentile35.4%2.8%64.7%19.8%64.7%
Term Structure0.5%-2.3%3.4%2.6%-2.3%
VWIV22.6%16.2%25.6%20.3%16.2%
Skew 25d2.5%0.9%4.6%2.1%4.6%
Skew 10d6.5%1.3%15.5%8.1%15.5%
Call IV 25d22.0%19.1%24.5%21.0%22.0%
Put IV 25d24.5%21.6%26.6%23.1%26.6%
Bid-Ask Spread %88.6583.1697.8790.8987.22
Gamma HHI0.430.180.890.190.45
Net GEX-2.3M-12.8M397.5K17.4K-1.2M
Net DEX-15.8M-28.7M13.7M-20.1M1.1M
Net VEX-55.4K-85.8K-30.8K-68.5K-67.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.330.0268.204.290.02
Total Volume1,315.4763711,972371,158
Total OI23,676.95213,11929,61020,77824,883

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$52.65$50.0021.9%6.3%18.0%18.8%0.0%2.1%2.6%17.4K-20.1M-68.5K4.2990.89N/AN/A7307,70113,077
2014-03-04$53.55$50.0021.3%6.1%15.2%15.9%20.3%2.8%2.5%120.7K-25.4M-56.5K0.5991.43N/AN/A129767,70613,107
2014-03-05$53.46$50.0020.8%6.0%14.1%13.4%19.8%2.1%2.8%73.4K-25.5M-54.7K1.7297.87N/AN/A32557,68113,165
2014-03-06$53.32$50.0020.1%5.8%13.8%10.1%20.3%1.7%3.4%98.8K-25.2M-54.4K0.8694.11N/AN/A2432107,68713,219
2014-03-07$53.71$50.0020.3%6.7%13.1%11.0%21.9%2.8%0.9%134.6K-27.6M-51.0K0.0584.63N/AN/A935487,90013,422
2014-03-10$53.65$50.0021.4%6.8%13.0%16.3%22.8%2.5%0.5%223.3K-27.6M-49.2K2.1683.16N/AN/A881908,38013,429
2014-03-11$53.07$50.0019.8%6.7%13.5%8.4%22.9%2.5%0.7%66.5K-26.2M-48.3K0.4286.31N/AN/A33148,36613,522
2014-03-12$52.93$50.0019.8%6.6%13.4%8.6%23.4%2.2%1.2%8.6K-24.8M-49.7K0.0387.66N/AN/A337118,37813,528
2014-03-13$52.35$50.0023.4%6.7%14.2%26.5%22.9%3.2%1.3%-94.0K-23.3M-52.7K39.4787.49N/AN/A155928,67113,535
2014-03-14$53.05$50.0023.0%6.6%14.8%24.4%23.2%2.5%0.8%53.3K-28.7M-42.8K46.9284.30N/AN/A1396,5228,68014,116
2014-03-17$53.62$50.0023.6%6.8%15.1%27.4%23.3%3.2%0.8%-3.2M-24.4M-48.0K68.2085.15N/AN/A201,3648,65419,870
2014-03-18$53.44$50.0023.3%6.7%13.6%25.6%22.4%3.1%0.5%-4.4M-23.7M-45.2K3.7987.85N/AN/A391488,65620,879
2014-03-19$53.10$50.0023.1%6.6%13.9%25.1%21.1%3.5%0.8%-11.5M-23.7M-40.0K0.1893.28N/AN/A79148,65320,902
2014-03-20$52.80$50.0023.3%6.7%14.0%25.9%23.2%3.6%0.5%-12.8M-19.4M-44.5K1.2390.54N/AN/A831028,65720,840
2014-03-21$53.02$52.5023.8%6.8%13.9%28.2%22.5%2.4%0.1%-7.0M-27.4M-37.1K0.4288.61N/AN/A4852058,69720,913
2014-03-24$53.55$52.5023.8%6.8%14.2%28.5%25.6%2.4%-0.3%397.5K-4.9M-30.8K20.5392.17N/AN/A55611,4163,5849,535
2014-03-25$52.42$52.5023.7%6.8%15.4%27.9%24.4%1.1%-0.8%-2.1M8.8M-73.9K1.7990.28N/AN/A2284083,98919,652
2014-03-26$51.62$52.5024.6%7.1%15.4%32.4%24.6%1.3%-2.2%-2.6M13.7M-80.5K0.1385.09N/AN/A1,1621534,05619,812
2014-03-27$51.76$52.5024.9%7.1%15.4%33.8%25.5%0.9%-2.3%-2.4M12.9M-85.8K0.4087.87N/AN/A97394,99019,841
2014-03-28$52.08$52.5024.9%7.1%15.5%33.9%25.0%1.9%-1.9%-2.1M9.7M-81.5K2.7985.69N/AN/A431205,04919,834
2014-03-31$53.23$52.5025.2%7.2%17.5%35.5%16.2%4.6%-2.3%-1.2M1.1M-67.8K0.0287.22N/AN/A1,133255,04919,834