AN Options History — July 2014

In July 2014, AN traded between $53.32 and $61.23. ATM implied volatility averaged 22.6%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 6.1% (HV 20d: 28.7%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.07.

Notable Days

  • 2014-07-16: Highest Volume — 1,841 contracts
  • 2014-07-10: Largest IV drop — 21.7% change
  • 2014-07-09: Highest IV Rank — 77.1%
  • 2014-07-03: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.26$53.32$61.23$59.78$53.32
Max Pain$57.95$55.00$60.00$55.00$57.50
ATM IV22.6%18.6%29.9%24.4%22.4%
Expected Move6.3%5.3%7.1%7.0%6.4%
HV 20d28.7%20.5%39.4%23.1%34.2%
HV 60d21.8%17.2%25.7%20.6%25.7%
IV Rank37.6%14.7%77.1%46.3%37.5%
IV Percentile43.5%10.3%90.9%66.3%39.7%
Term Structure-1.0%-2.8%1.0%-2.3%-1.4%
VWIV21.6%18.6%28.1%24.9%20.1%
Skew 25d2.3%-0.3%6.1%1.2%2.4%
Skew 10d4.8%-4.2%16.8%4.6%-0.0%
Call IV 25d21.0%18.7%24.9%24.9%20.7%
Put IV 25d23.3%20.3%26.9%26.1%23.1%
Bid-Ask Spread %43.4719.9888.2464.4228.59
Gamma HHI0.320.220.390.340.22
Net GEX679.2K134.1K1.0M935.3K134.1K
Net DEX-11.5M-21.6M1.1M-17.3M1.1M
Net VEX-39.6K-48.5K-28.2K-48.5K-29.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.005.130.030.67
Total Volume446.591531,841223328
Total OI8,363.4095,61710,9579,0687,220

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$59.78$55.0024.4%7.0%23.1%46.3%24.9%1.2%-2.3%935.3K-17.3M-48.5K0.0364.42N/AN/A21765,5803,488
2014-07-02$60.41$55.0024.6%7.1%23.2%47.5%23.7%4.6%-2.5%971.7K-19.2M-48.4K0.2576.83N/AN/A202505,7123,493
2014-07-03$60.92$55.0024.7%7.1%23.1%48.1%21.5%6.1%-2.8%990.0K-21.3M-47.2K0.0088.24N/AN/A13505,7733,449
2014-07-07$60.69$57.5027.7%6.5%23.2%64.7%21.9%2.4%-1.2%1.0M-20.5M-46.1K0.0854.06N/AN/A441345,8083,449
2014-07-08$60.47$57.5028.6%6.6%23.3%69.9%22.3%2.2%-1.8%992.5K-20.0M-43.6K0.0460.73N/AN/A22185,7073,476
2014-07-09$61.23$60.0029.9%6.7%23.4%77.1%23.0%2.4%-1.4%984.7K-21.6M-43.0K0.4463.50N/AN/A2561135,6853,483
2014-07-10$60.68$60.0023.4%6.7%23.8%40.5%23.1%2.3%-1.6%1.0M-20.3M-42.8K0.3928.79N/AN/A98385,7243,576
2014-07-11$60.92$60.0023.4%6.7%20.5%43.8%22.8%2.9%-1.8%1.0M-21.3M-41.9K5.1335.01N/AN/A301545,7903,605
2014-07-14$60.87$60.0023.6%6.8%20.6%45.1%28.1%1.8%-1.7%1.0M-21.2M-40.7K2.5534.78N/AN/A441125,7933,740
2014-07-15$60.79$60.0024.2%6.9%20.7%48.2%21.9%2.7%-2.6%1.0M-20.9M-39.9K0.5245.29N/AN/A5142695,8023,845
2014-07-16$60.83$60.0023.5%6.7%20.6%44.4%23.2%1.4%-1.4%934.9K-20.5M-39.2K0.7832.14N/AN/A1,0328095,7534,013
2014-07-17$55.82$60.0021.2%6.1%38.1%30.5%20.5%1.2%-0.3%358.4K-872.6K-28.2K0.5343.97N/AN/A1,0165436,2134,275
2014-07-18$57.43$57.5019.1%5.5%39.4%17.8%19.1%2.2%1.0%464.2K-6.3M-35.6K0.3932.93N/AN/A5892276,5874,370
2014-07-21$56.95$57.5019.7%5.7%34.9%21.4%20.0%2.5%-0.4%331.0K-3.4M-35.9K0.0841.11N/AN/A141113,5892,028
2014-07-22$56.89$57.5018.8%5.4%34.9%15.9%20.0%1.1%0.3%360.5K-3.5M-34.8K0.0251.51N/AN/A1,012253,6902,030
2014-07-23$56.84$57.5019.4%5.6%34.5%19.3%19.4%2.2%-0.5%578.1K-5.0M-41.8K4.8922.34N/AN/A9444,6072,043
2014-07-24$56.45$57.5018.6%5.3%34.5%14.7%18.6%2.0%0.5%516.8K-4.1M-39.9K1.6924.96N/AN/A951614,6082,046
2014-07-25$55.93$57.5019.9%5.7%34.2%22.6%19.6%1.7%0.0%441.8K-3.0M-38.6K0.9225.97N/AN/A1281184,6872,116
2014-07-28$55.12$57.5020.1%5.8%34.4%23.6%21.7%2.2%-0.2%345.1K-1.8M-36.2K1.0244.69N/AN/A85874,7902,164
2014-07-29$54.74$57.5020.2%5.8%34.1%24.3%20.3%-0.3%-0.4%289.0K-1.2M-34.5K1.2419.98N/AN/A1391734,8272,194
2014-07-30$54.61$57.5020.1%5.8%34.0%23.8%20.1%2.6%-0.1%232.5K-513.8K-34.0K1.7736.55N/AN/A40714,8572,310
2014-07-31$53.32$57.5022.4%6.4%34.2%37.5%20.1%2.4%-1.4%134.1K1.1M-29.8K0.6728.59N/AN/A1971314,8872,333