AN Options History — April 2014

In April 2014, AN traded between $52.18 and $54.99. ATM implied volatility averaged 25.1%, placing in the 39.4% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 0.0% (HV 20d: 25.1%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2014-04-16: Highest Volume — 4,218 contracts
  • 2014-04-17: Largest IV drop — 19.9% change
  • 2014-04-09: Highest IV Rank — 69.8%
  • 2014-04-15: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.54$52.18$54.99$54.69$52.99
Max Pain$53.21$50.00$55.00$50.00$52.50
ATM IV25.1%20.5%32.1%25.3%22.1%
Expected Move6.9%5.9%8.0%7.3%6.3%
HV 20d25.1%19.0%28.2%19.0%24.1%
HV 60d23.6%19.9%25.2%23.9%19.9%
IV Rank39.4%14.9%69.8%36.1%25.4%
IV Percentile52.1%9.5%97.6%65.1%27.8%
Term Structure-1.0%-3.3%2.9%-3.2%-0.7%
VWIV23.3%14.5%28.0%25.3%21.1%
Skew 25d2.6%0.4%4.2%2.2%4.1%
Skew 10d5.8%-2.4%13.1%9.3%12.5%
Call IV 25d23.0%19.8%27.1%24.8%20.2%
Put IV 25d25.6%22.1%29.8%27.0%24.3%
Bid-Ask Spread %73.8961.2192.5292.4567.75
Gamma HHI0.380.240.960.340.24
Net GEX772.4K-2.1M18.9M-146.3K465.0K
Net DEX-5.3M-27.4M8.7M-13.7M-2.2M
Net VEX-48.2K-62.8K-31.8K-52.9K-48.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.044.980.520.06
Total Volume815.714734,21851889
Total OI19,266.1434,96629,48225,9787,774

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$54.69$50.0025.3%7.3%19.0%36.1%25.3%2.2%-3.2%-146.3K-13.7M-52.9K0.5292.45N/AN/A3401786,09319,885
2014-04-02$54.90$50.0025.8%7.4%19.0%38.6%25.8%2.4%-3.3%75.7K-15.7M-50.0K1.4990.09N/AN/A931396,22620,026
2014-04-03$54.66$50.0026.3%7.5%19.1%40.9%14.5%2.2%-3.0%-267.9K-12.3M-58.0K0.0592.52N/AN/A1,036476,23720,163
2014-04-04$53.47$55.0028.2%6.7%20.6%50.3%22.8%2.0%2.9%-1.1M-678.0K-60.1K0.6472.56N/AN/A69445,25320,165
2014-04-07$52.18$55.0030.9%7.1%22.3%63.7%25.1%0.4%-0.8%-2.1M8.7M-62.7K0.1874.59N/AN/A1,3022285,26220,190
2014-04-08$52.36$55.0031.2%7.1%22.1%65.6%26.3%3.7%-1.0%-1.7M5.5M-62.8K0.2167.32N/AN/A1,0852276,29420,179
2014-04-09$54.42$55.0032.1%7.0%26.1%69.8%24.8%2.6%-0.3%419.2K-12.0M-49.5K1.3267.80N/AN/A1001327,09120,183
2014-04-10$53.21$55.0025.8%7.4%27.1%48.5%24.9%2.0%-0.9%-588.9K-2.2M-57.5K0.2563.20N/AN/A87227,05120,311
2014-04-11$52.73$55.0027.0%7.7%26.9%56.0%26.9%2.4%-2.3%-1.1M1.3M-55.9K0.0461.21N/AN/A935397,07520,312
2014-04-14$53.21$55.0027.7%7.9%26.8%60.3%27.3%2.6%-3.2%-561.3K-1.8M-50.7K0.2276.69N/AN/A110247,90920,333
2014-04-15$53.11$55.0028.0%8.0%26.8%62.4%28.0%3.3%-3.1%-484.9K-1.8M-44.9K3.0065.64N/AN/A1013037,87720,333
2014-04-16$53.83$55.0026.0%7.5%27.1%50.0%26.7%3.4%-1.9%773.9K-10.2M-35.4K0.4372.12N/AN/A2,9581,2607,79420,179
2014-04-17$54.99$52.5020.9%6.0%28.0%17.2%21.5%2.0%1.2%18.9M-27.4M-34.9K0.1674.13N/AN/A2,0023119,18220,300
2014-04-21$54.69$52.5020.9%6.0%28.1%17.3%21.4%1.9%-0.3%522.7K-6.8M-31.8K0.6277.48N/AN/A7264493,2001,766
2014-04-22$54.11$52.5020.5%5.9%28.2%14.9%21.0%1.6%-0.0%567.2K-5.8M-39.7K2.0976.72N/AN/A1162423,8572,153
2014-04-23$53.42$52.5021.4%6.1%27.5%20.9%20.3%3.2%-0.0%508.9K-4.1M-41.2K0.6774.46N/AN/A2811873,8262,320
2014-04-24$53.30$52.5021.3%6.1%26.9%19.7%21.1%2.9%0.0%535.9K-3.8M-41.9K0.5278.23N/AN/A3451794,0542,349
2014-04-25$52.69$52.5021.0%6.0%27.3%18.3%19.8%3.5%-0.1%481.3K-2.3M-43.7K1.8876.57N/AN/A32604,3302,499
2014-04-28$52.65$52.5022.4%6.4%27.2%26.8%22.7%4.2%-0.7%466.6K-2.1M-41.6K4.9867.50N/AN/A1979824,3402,465
2014-04-29$52.65$52.5022.2%6.4%26.0%25.4%21.1%2.0%-0.3%453.2K-1.7M-47.5K0.4362.65N/AN/A51224,4293,324
2014-04-30$52.99$52.5022.1%6.3%24.1%25.4%21.1%4.1%-0.7%465.0K-2.2M-48.7K0.0667.75N/AN/A8454,4293,345