AN Options History — September 2014

In September 2014, AN traded between $48.96 and $54.04. ATM implied volatility averaged 19.5%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 7.1% (HV 20d: 12.4%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.99.

Notable Days

  • 2014-09-30: Highest Volume — 9,024 contracts
  • 2014-09-29: Largest IV spike — 25.5% change
  • 2014-09-30: Highest IV Rank — 58.7%
  • 2014-09-02: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.87$48.96$54.04$54.04$50.31
Max Pain$55.24$50.00$60.00$57.50$55.00
ATM IV19.5%17.7%25.2%18.1%25.2%
Expected Move6.2%5.9%6.4%6.4%6.3%
HV 20d12.4%9.0%16.6%13.4%16.6%
HV 60d24.0%22.4%25.5%25.4%23.3%
IV Rank27.9%18.2%58.7%20.2%58.7%
IV Percentile24.1%11.5%80.2%13.5%80.2%
Term Structure1.8%-0.1%4.0%0.8%1.1%
VWIV21.3%19.7%23.1%22.2%20.5%
Skew 25d0.5%-4.9%3.5%-0.1%-4.9%
Skew 10d0.3%-8.7%12.8%-4.5%-8.7%
Call IV 25d20.0%14.1%28.1%19.4%28.1%
Put IV 25d20.5%17.5%23.5%19.3%23.2%
Bid-Ask Spread %39.2829.8455.2437.5041.59
Gamma HHI0.370.170.720.170.65
Net GEX-43.8K-410.9K1.2M164.7K1.2M
Net DEX3.7M-2.8M8.2M-149.9K-2.8M
Net VEX-21.4K-37.0K-12.5K-29.2K-37.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.990.0011.800.000.03
Total Volume1,057.952389,0249459,024
Total OI8,131.7145,79012,0437,56612,043

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$54.04$57.5018.1%6.4%13.4%20.2%0.0%-0.1%0.8%164.7K-149.9K-29.2K0.0037.50N/AN/A94144,6682,898
2014-09-03$53.77$57.5017.7%6.2%13.5%18.2%0.0%1.4%0.8%138.9K530.5K-27.6K0.3230.81N/AN/A241784,9502,901
2014-09-04$53.45$57.5018.8%6.3%13.5%23.8%22.2%-0.8%-0.1%175.8K1.0M-28.4K0.5550.47N/AN/A2561405,1342,979
2014-09-05$53.86$57.5017.9%6.3%13.2%19.0%23.1%2.3%2.1%185.1K522.4K-29.5K0.0029.84N/AN/A14905,3383,092
2014-09-08$54.00$50.0018.4%6.0%9.8%21.7%19.7%1.7%2.2%209.3K187.5K-28.0K1.7129.96N/AN/A17295,4313,092
2014-09-09$53.31$50.0019.4%6.1%10.8%27.0%0.0%0.1%1.7%133.0K1.7M-26.5K1.1234.44N/AN/A76855,4353,121
2014-09-10$52.97$50.0017.8%6.1%10.7%18.8%0.0%0.6%1.6%15.9K3.2M-23.4K10.7732.62N/AN/A262805,4573,189
2014-09-11$52.96$50.0019.6%6.1%10.7%28.4%0.0%1.1%1.9%-102.8K4.3M-23.5K0.9030.21N/AN/A1201085,4813,456
2014-09-12$52.36$50.0019.8%6.1%10.0%29.2%20.3%1.3%1.3%-147.1K5.6M-22.6K8.0029.92N/AN/A9725,5713,535
2014-09-15$51.83$60.0020.2%6.0%9.8%31.6%0.0%0.7%1.5%-222.2K7.3M-18.9K4.6131.24N/AN/A18835,5803,576
2014-09-16$51.62$60.0020.0%6.2%9.3%30.5%22.3%0.2%1.5%-277.7K8.2M-18.0K11.8031.99N/AN/A5595,5833,641
2014-09-17$51.88$60.0019.6%6.0%9.1%28.2%0.0%2.5%1.1%-346.6K5.7M-17.7K0.2042.47N/AN/A127265,5883,233
2014-09-18$51.72$60.0019.1%6.0%9.1%25.4%0.0%2.0%1.9%-314.8K6.4M-15.9K0.6537.39N/AN/A127825,5093,184
2014-09-19$51.44$60.0017.9%5.9%9.0%19.4%0.0%0.5%2.7%-185.5K6.7M-15.0K1.2945.57N/AN/A1151485,5723,167
2014-09-22$50.00$60.0019.7%6.1%12.9%28.6%21.3%-1.3%2.6%-125.5K3.8M-12.5K6.0346.04N/AN/A1498983,4962,294
2014-09-23$48.96$50.0019.4%6.4%14.1%27.4%0.0%2.8%2.9%-410.9K7.3M-14.2K8.8044.42N/AN/A645633,5923,079
2014-09-24$49.65$50.0018.7%6.2%15.5%23.3%20.3%3.5%3.6%-353.8K5.7M-13.5K4.9248.69N/AN/A633103,6282,837
2014-09-25$49.98$55.0019.2%6.3%15.9%26.0%21.8%-1.1%4.0%-286.3K4.7M-14.5K0.2550.29N/AN/A138343,6842,726
2014-09-26$50.45$55.0019.4%6.3%16.6%27.2%21.6%0.8%3.3%-241.6K3.9M-15.7K0.9044.24N/AN/A20183,7702,733
2014-09-29$50.74$55.0024.3%6.1%16.5%54.2%20.5%-1.9%0.1%-172.3K3.3M-16.9K0.0155.24N/AN/A7,437783,7762,747
2014-09-30$50.31$55.0025.2%6.3%16.6%58.7%0.0%-4.9%1.1%1.2M-2.8M-37.0K0.0341.59N/AN/A8,8042209,2712,772