AN Options History — June 2014

In June 2014, AN traded between $55.17 and $59.68. ATM implied volatility averaged 20.4%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 4.2% (HV 20d: 16.2%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2014-06-20: Highest Volume — 1,664 contracts
  • 2014-06-12: Largest IV spike — 34.3% change
  • 2014-06-30: Highest IV Rank — 46.0%
  • 2014-06-30: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.41$55.17$59.68$57.44$59.68
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV20.4%16.2%24.4%17.4%24.4%
Expected Move6.1%4.8%7.0%5.0%7.0%
HV 20d16.2%9.4%23.1%14.0%23.1%
HV 60d20.3%19.2%22.0%19.8%21.1%
IV Rank23.4%0.0%46.0%6.4%46.0%
IV Percentile25.9%0.0%65.5%4.0%65.5%
Term Structure0.2%-2.1%4.0%3.5%-2.1%
VWIV21.4%16.9%24.7%17.4%24.7%
Skew 25d2.6%0.5%6.2%1.6%2.1%
Skew 10d6.6%-0.7%11.7%-0.6%11.7%
Call IV 25d20.4%12.2%23.9%17.0%23.9%
Put IV 25d23.0%17.7%26.0%18.6%26.0%
Bid-Ask Spread %69.3528.2492.0059.2938.33
Gamma HHI0.350.260.670.380.33
Net GEX19.3K-2.4M914.2K-276.4K914.2K
Net DEX-9.7M-18.5M-180.4K-10.4M-16.8M
Net VEX-53.6K-64.5K-46.1K-62.1K-47.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.046.020.290.06
Total Volume450.762821,664117243
Total OI19,189.7148,02324,13722,5638,996

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$57.44$55.0017.4%5.0%14.0%6.4%17.4%1.6%3.5%-276.4K-10.4M-62.1K0.2959.29N/AN/A91264,91917,644
2014-06-03$57.70$55.0017.5%5.0%13.6%7.1%17.6%1.4%3.4%-156.0K-11.2M-59.5K1.0158.07N/AN/A1451464,90317,662
2014-06-04$57.45$55.0016.9%4.8%13.8%3.5%16.9%0.9%4.0%-275.5K-10.5M-58.0K0.7759.15N/AN/A1981534,91117,766
2014-06-05$57.26$55.0017.1%4.9%14.0%4.7%17.1%6.2%3.4%-243.1K-9.6M-57.7K0.1768.72N/AN/A138244,86417,765
2014-06-06$57.20$55.0017.0%6.0%14.0%4.3%20.9%1.7%0.5%-111.2K-9.7M-54.2K0.3192.00N/AN/A1,0633304,86217,774
2014-06-09$57.05$55.0017.3%6.1%14.0%5.7%21.7%2.3%-0.1%-96.0K-9.8M-64.5K0.4386.85N/AN/A4211795,83317,998
2014-06-10$56.90$55.0016.6%5.9%10.6%1.6%21.5%1.6%0.5%-33.7K-9.5M-64.0K0.4088.08N/AN/A2571035,90318,092
2014-06-11$56.79$55.0016.2%6.0%9.4%0.0%21.7%2.1%0.1%102.4K-9.4M-60.2K0.6487.23N/AN/A121775,93018,085
2014-06-12$55.17$55.0021.8%6.2%13.4%31.3%21.8%1.7%-0.5%-2.4M-180.4K-64.2K1.3090.65N/AN/A2993895,85418,100
2014-06-13$55.32$55.0021.4%6.1%13.4%29.5%21.0%2.9%-0.0%-1.7M-961.7K-59.2K0.3589.08N/AN/A5782055,82918,308
2014-06-16$55.52$55.0022.6%6.5%13.2%35.9%22.4%2.9%-0.8%-778.9K-2.8M-50.9K0.3991.20N/AN/A237925,53318,381
2014-06-17$56.04$55.0022.7%6.5%13.6%36.4%22.3%2.4%-1.0%-79.2K-5.1M-49.2K0.1891.31N/AN/A108195,54818,427
2014-06-18$56.26$55.0021.9%6.3%13.0%32.3%22.1%3.6%-0.8%561.2K-6.5M-47.1K0.4064.26N/AN/A112455,56818,431
2014-06-19$56.51$55.0021.6%6.2%12.6%30.1%22.4%3.5%-0.4%652.2K-6.7M-46.1K6.0246.35N/AN/A533195,41718,430
2014-06-20$59.42$55.0022.1%6.3%21.7%32.9%22.3%6.0%0.0%786.5K-18.5M-46.8K0.1569.79N/AN/A1,4502145,41018,435
2014-06-23$59.09$55.0022.2%6.4%21.9%34.0%23.3%3.1%-0.4%695.0K-13.7M-46.2K0.3171.61N/AN/A270834,7233,300
2014-06-24$58.19$55.0022.9%6.6%22.7%37.8%23.3%0.5%-0.7%697.1K-11.7M-46.5K0.0852.39N/AN/A7664,8643,331
2014-06-25$58.38$55.0023.5%6.7%22.7%41.1%23.0%3.4%-1.6%720.0K-11.8M-47.6K0.8053.95N/AN/A1731394,8903,343
2014-06-26$59.13$55.0022.4%6.4%23.0%35.1%22.9%2.9%-1.2%742.3K-14.0M-47.6K0.0969.79N/AN/A228214,9863,465
2014-06-27$59.13$55.0022.6%6.5%23.0%36.3%23.8%2.8%-0.9%745.8K-14.4M-47.3K0.0428.24N/AN/A609265,0323,472
2014-06-30$59.68$55.0024.4%7.0%23.1%46.0%24.7%2.1%-2.1%914.2K-16.8M-47.3K0.0638.33N/AN/A230135,5243,472