AN Options History — May 2014

In May 2014, AN traded between $52.82 and $57.17. ATM implied volatility averaged 18.0%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 0.3% (HV 20d: 18.3%). Max pain ranged from $52.50 to $55.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 8.18.

Notable Days

  • 2014-05-06: Highest Volume — 7,945 contracts
  • 2014-05-08: Largest IV drop — 19.9% change
  • 2014-05-01: Highest IV Rank — 22.3%
  • 2014-05-01: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.03$52.82$57.17$52.82$57.17
Max Pain$54.40$52.50$55.00$52.50$55.00
ATM IV18.0%16.3%21.7%21.7%16.7%
Expected Move5.2%4.7%6.2%6.2%4.8%
HV 20d18.3%15.3%25.2%24.0%15.3%
HV 60d19.9%19.4%20.4%19.5%19.8%
IV Rank7.6%0.0%22.3%22.3%2.4%
IV Percentile4.2%0.0%21.8%21.8%1.6%
Term Structure2.8%-0.6%4.0%-0.6%3.8%
VWIV18.3%16.6%22.4%22.4%16.8%
Skew 25d1.6%0.4%4.0%3.8%1.0%
Skew 10d3.9%-3.7%13.5%10.8%-3.4%
Call IV 25d17.7%16.4%20.3%20.3%16.9%
Put IV 25d19.3%17.8%24.1%24.1%17.9%
Bid-Ask Spread %68.0950.9977.6967.4266.67
Gamma HHI0.560.250.780.250.45
Net GEX-1.7M-3.7M604.0K472.3K-731.0K
Net DEX3.5M-8.8M15.1M-1.7M-8.4M
Net VEX-93.2K-134.1K-45.5K-47.1K-70.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.180.0084.436.860.15
Total Volume1,062.857447,94555141
Total OI19,124.3817,77623,9477,78022,580

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$52.82$52.5021.7%6.2%24.0%22.3%22.4%3.8%-0.6%472.3K-1.7M-47.1K6.8667.42N/AN/A7484,4393,341
2014-05-02$53.91$52.5019.4%5.5%25.2%7.7%20.3%4.0%1.0%577.8K-5.1M-47.4K1.0267.95N/AN/A1041064,4453,331
2014-05-05$53.60$55.0021.5%6.1%24.0%21.3%21.3%2.0%1.5%604.0K-4.5M-45.5K39.6265.52N/AN/A291,1494,5363,352
2014-05-06$53.57$55.0020.7%5.4%22.2%16.0%18.8%2.3%3.4%329.5K-2.4M-51.5K84.4368.07N/AN/A937,8524,5454,328
2014-05-07$53.57$52.5020.3%5.4%22.2%13.8%18.8%2.5%3.1%-1.8M12.0M-104.2K6.3871.70N/AN/A4162,6524,62611,711
2014-05-08$53.78$52.5016.3%5.4%17.3%0.0%18.9%1.7%2.5%-2.5M14.5M-118.3K5.4674.69N/AN/A593224,74814,209
2014-05-09$54.24$52.5017.0%5.1%15.5%4.2%18.1%1.6%3.3%-2.4M10.5M-118.5K13.3469.88N/AN/A1642,1884,79414,472
2014-05-12$55.75$55.0017.4%5.1%17.7%6.5%18.5%0.8%3.1%-2.0M923.8K-108.6K5.7772.99N/AN/A3411,9674,87516,547
2014-05-13$55.05$55.0016.8%5.2%18.3%2.8%18.0%0.9%2.6%-2.8M6.8M-122.2K1.4665.17N/AN/A2934285,18518,328
2014-05-14$54.33$55.0016.4%5.1%19.0%0.8%16.6%1.0%2.7%-3.7M15.1M-134.1K0.4875.96N/AN/A122585,36018,587
2014-05-15$54.32$55.0018.1%5.2%18.5%10.3%18.3%1.6%2.5%-3.7M14.8M-129.9K0.9576.04N/AN/A56535,25018,413
2014-05-16$54.75$55.0018.1%5.2%17.0%10.4%18.2%0.7%2.7%-2.6M10.7M-120.5K0.0068.81N/AN/A1,52805,25318,395
2014-05-19$54.76$55.0017.6%5.0%16.9%7.5%18.4%1.2%2.8%-3.7M13.1M-116.9K3.1750.99N/AN/A12384,02417,551
2014-05-20$55.42$55.0018.0%5.2%16.9%9.9%17.9%1.2%2.6%-3.0M9.6M-110.7K0.1752.29N/AN/A92164,03217,551
2014-05-21$56.00$55.0018.3%5.3%16.4%11.6%17.4%1.4%3.0%-2.3M3.7M-100.1K0.0363.36N/AN/A15254,09917,567
2014-05-22$56.34$55.0016.4%4.7%16.3%0.7%16.9%1.1%3.7%-1.9M103.7K-87.7K1.7562.50N/AN/A16284,15717,569
2014-05-23$56.38$55.0016.4%4.7%15.5%0.6%17.4%1.6%3.7%-1.9M-129.5K-88.4K0.0566.72N/AN/A912484,16217,575
2014-05-27$56.56$55.0016.7%4.8%15.4%2.5%16.7%1.1%3.9%-1.5M-3.5M-84.7K0.3972.00N/AN/A194764,86817,590
2014-05-28$56.47$55.0017.1%4.9%15.4%4.5%17.6%0.7%4.0%-1.5M-3.2M-83.1K0.0677.69N/AN/A222134,90017,626
2014-05-29$56.90$55.0016.9%4.9%15.5%3.7%16.9%0.4%3.5%-495.0K-8.8M-67.1K0.2373.40N/AN/A260605,06517,626
2014-05-30$57.17$55.0016.7%4.8%15.3%2.4%16.8%1.0%3.8%-731.0K-8.4M-70.8K0.1566.67N/AN/A123184,94017,640