AN Options History — August 2014

In August 2014, AN traded between $53.06 and $54.55. ATM implied volatility averaged 18.4%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 5.8% (HV 20d: 24.2%). Max pain ranged from $52.50 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.92.

Notable Days

  • 2014-08-11: Highest Volume — 4,008 contracts
  • 2014-08-13: Largest IV spike — 32.5% change
  • 2014-08-06: Highest IV Rank — 40.5%
  • 2014-08-28: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.00$53.06$54.55$53.54$54.25
Max Pain$55.13$52.50$60.00$57.50$57.50
ATM IV18.4%14.4%22.9%21.8%16.8%
Expected Move6.0%5.2%6.3%6.3%6.3%
HV 20d24.2%13.6%35.4%34.0%13.7%
HV 60d25.4%25.0%25.8%25.7%25.4%
IV Rank19.6%0.0%40.5%33.9%12.9%
IV Percentile12.7%0.0%48.0%31.3%4.0%
Term Structure1.0%-0.1%1.8%-0.1%1.5%
VWIV20.9%18.3%24.3%21.1%21.0%
Skew 25d2.1%-0.4%4.2%3.2%4.2%
Skew 10d4.5%-5.0%11.9%11.9%4.9%
Call IV 25d18.5%14.0%21.4%20.0%14.0%
Put IV 25d20.6%17.8%25.1%23.1%18.2%
Bid-Ask Spread %54.8123.2984.2054.2046.92
Gamma HHI0.310.160.860.220.17
Net GEX628.3K105.1K4.2M148.0K148.2K
Net DEX-597.5K-2.5M1.4M966.4K-420.6K
Net VEX-30.7K-34.5K-26.7K-33.2K-29.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.0112.080.560.01
Total Volume354.143174,008179153
Total OI7,943.6195,96311,2317,4827,426

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$53.54$57.5021.8%6.3%34.0%33.9%21.1%3.2%-0.1%148.0K966.4K-33.2K0.5654.20N/AN/A115645,0502,432
2014-08-04$54.06$52.5020.3%5.8%34.5%24.8%21.3%2.5%0.8%180.4K109.9K-34.2K0.1554.19N/AN/A171265,1462,486
2014-08-05$53.86$52.5021.2%5.9%34.5%30.3%21.3%1.7%0.8%187.8K175.1K-34.5K0.8551.94N/AN/A33285,2772,509
2014-08-06$53.60$52.5022.9%6.3%33.8%40.5%22.1%2.5%0.1%166.0K814.8K-33.5K0.6858.63N/AN/A114775,3012,526
2014-08-07$53.06$52.5021.1%6.3%33.8%29.4%22.0%1.8%0.6%130.5K1.4M-32.7K1.5260.89N/AN/A48735,3212,598
2014-08-08$54.39$52.5019.7%6.0%35.4%21.0%21.2%4.2%0.4%161.4K-258.8K-34.2K0.8159.19N/AN/A37305,3282,628
2014-08-11$54.30$52.5015.7%5.7%35.4%0.0%19.8%1.9%0.6%152.4K-439.6K-33.4K0.0265.93N/AN/A3,947615,3432,617
2014-08-12$53.91$52.5014.4%5.5%35.4%0.0%19.1%1.2%1.6%2.1M-1.2M-34.2K0.4871.24N/AN/A132648,6312,567
2014-08-13$53.73$52.5019.1%5.6%35.3%25.5%18.4%1.1%1.2%1.5M-330.6K-31.8K0.5970.36N/AN/A39238,6552,576
2014-08-14$54.44$52.5018.2%5.2%19.7%21.0%18.3%3.6%1.4%4.2M-2.5M-31.4K4.3171.86N/AN/A16698,4572,497
2014-08-15$53.83$52.5018.5%5.3%16.5%22.5%19.3%1.8%1.1%1.6M-79.6K-27.7K3.3784.20N/AN/A27918,4612,502
2014-08-18$54.20$0.0017.8%5.8%16.8%18.4%20.7%2.8%1.6%320.6K-1.9M-26.7K0.9573.29N/AN/A1291223,9482,015
2014-08-19$54.55$55.0017.4%6.2%17.1%16.2%21.6%2.6%1.0%331.0K-2.2M-27.5K0.3629.43N/AN/A28104,0042,116
2014-08-20$54.48$55.0017.8%6.2%17.1%18.6%23.1%2.1%0.7%315.1K-2.1M-26.9K0.1553.79N/AN/A490744,0222,126
2014-08-21$54.08$55.0017.5%6.1%17.1%17.1%20.4%1.7%1.3%408.1K-2.0M-27.9K2.5746.03N/AN/A1092804,4132,192
2014-08-22$53.92$60.0016.9%6.1%16.9%13.6%24.3%1.2%1.7%336.7K-1.3M-28.6K2.7044.27N/AN/A631704,4572,352
2014-08-25$54.01$60.0018.0%6.3%16.2%19.6%0.0%-0.4%0.7%288.0K-1.0M-28.8K3.9347.78N/AN/A421654,4622,517
2014-08-26$54.07$60.0017.5%6.2%16.1%16.7%0.0%0.4%1.1%238.4K-634.7K-29.3K2.7643.56N/AN/A381054,4952,654
2014-08-27$53.96$60.0017.4%6.2%16.1%16.2%21.0%1.5%1.1%193.5K-244.7K-29.4K12.0823.29N/AN/A121454,5232,756
2014-08-28$53.85$57.5016.9%6.3%13.6%13.6%0.0%2.4%1.8%105.1K623.5K-29.1K1.4340.00N/AN/A7104,5302,900
2014-08-29$54.25$57.5016.8%6.3%13.7%12.9%0.0%4.2%1.5%148.2K-420.6K-29.7K0.0146.92N/AN/A15124,5302,896