AN Options History — October 2014

In October 2014, AN traded between $47.23 and $57.20. ATM implied volatility averaged 30.7%, placing in the 58.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 12.0% (HV 20d: 42.7%). Max pain ranged from $52.50 to $55.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 1.58.

Notable Days

  • 2014-10-27: Highest Volume — 4,325 contracts
  • 2014-10-13: Largest IV spike — 43.7% change
  • 2014-10-13: Highest IV Rank — 100.0%
  • 2014-10-16: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.68$47.23$57.20$49.10$57.20
Max Pain$54.46$52.50$55.00$55.00$52.50
ATM IV30.7%23.4%49.8%25.1%25.7%
Expected Move7.5%6.4%9.2%6.4%7.1%
HV 20d42.7%18.1%54.1%18.1%48.9%
HV 60d29.5%22.9%33.7%23.7%33.7%
IV Rank58.2%29.6%100.0%58.4%32.0%
IV Percentile89.9%64.7%100.0%79.4%84.9%
Term Structure-2.0%-5.1%2.4%1.6%-0.6%
VWIV25.7%21.5%31.3%22.9%26.0%
Skew 25d1.8%-5.8%4.3%-5.8%3.1%
Skew 10d5.2%-13.2%14.4%-8.1%12.2%
Call IV 25d29.5%22.3%35.6%26.6%25.5%
Put IV 25d31.3%20.8%38.5%20.8%28.7%
Bid-Ask Spread %52.9330.6772.8459.7863.32
Gamma HHI0.410.220.750.650.30
Net GEX1.4M-294.9K4.4M1.7M590.5K
Net DEX-10.4M-40.1M6.2M-2.6M-17.7M
Net VEX-45.3K-81.9K-27.2K-50.6K-39.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.035.330.265.33
Total Volume1,427.7832124,3257812,938
Total OI12,815.4786,04019,26218,5108,840

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$49.10$55.0025.1%6.4%18.1%58.4%22.9%-5.8%1.6%1.7M-2.6M-50.6K0.2659.78N/AN/A61916215,5832,927
2014-10-02$52.07$55.0025.8%6.6%28.8%62.0%21.5%-4.0%1.2%3.8M-27.0M-80.6K0.0847.40N/AN/A3,67530915,6423,035
2014-10-03$53.58$55.0024.0%6.5%30.6%52.3%22.0%3.4%2.4%4.1M-40.1M-81.9K0.0341.60N/AN/A1,5874816,2133,049
2014-10-06$53.07$55.0023.4%6.6%30.8%48.9%23.0%0.5%-2.4%4.4M-33.2M-70.1K0.1130.67N/AN/A1,33814314,9623,053
2014-10-07$51.36$55.0027.1%6.9%32.6%69.1%25.3%-0.8%-2.9%2.8M-15.3M-60.9K1.1340.37N/AN/A12814513,9453,136
2014-10-08$52.45$55.0025.5%6.8%33.5%60.5%22.9%1.0%-3.6%3.7M-21.5M-62.0K0.6243.10N/AN/A40925213,9723,205
2014-10-09$51.63$55.0028.1%7.1%33.9%74.7%23.6%0.2%-2.7%3.1M-16.2M-59.7K0.5235.36N/AN/A46924514,0953,204
2014-10-10$51.99$55.0030.6%7.2%33.8%88.5%24.5%4.0%-2.7%3.2M-17.7M-58.7K0.6038.23N/AN/A42525714,0433,203
2014-10-13$47.23$55.0044.0%8.8%47.9%100.0%27.1%1.0%-0.2%417.4K3.6M-30.1K2.0459.13N/AN/A40382411,9053,228
2014-10-14$47.75$55.0044.5%9.0%48.2%100.0%29.2%2.5%-4.7%153.9K5.8M-27.2K1.4761.58N/AN/A45967711,8903,714
2014-10-15$48.06$55.0049.8%8.5%48.3%100.0%30.6%3.5%-3.3%205.6K5.2M-29.9K1.8766.30N/AN/A5531,03511,8943,965
2014-10-16$48.22$55.0035.3%9.2%48.3%59.1%31.3%1.9%-4.5%62.4K6.2M-28.7K4.4465.18N/AN/A3917311,7954,123
2014-10-17$49.30$55.0033.8%8.3%49.2%54.8%26.2%3.1%-5.1%-294.9K4.9M-31.7K1.8872.84N/AN/A10720111,7994,249
2014-10-20$50.21$55.0032.4%7.7%48.7%50.8%27.3%3.3%-3.1%370.1K-2.7M-32.2K1.4050.07N/AN/A4826774,1591,881
2014-10-21$50.93$55.0031.2%7.6%48.2%47.5%26.6%3.4%-2.8%456.5K-3.9M-33.0K1.5245.46N/AN/A4346614,2551,923
2014-10-22$50.49$55.0031.4%7.4%48.1%48.0%26.1%1.8%-3.0%427.1K-3.7M-33.7K1.6049.64N/AN/A4957914,3091,980
2014-10-23$52.05$55.0030.8%7.4%49.3%46.4%26.0%3.5%-2.9%547.6K-6.1M-36.4K1.5349.48N/AN/A5167914,4092,141
2014-10-24$52.55$55.0030.9%7.6%49.3%46.6%26.2%4.1%-2.6%587.2K-7.2M-36.6K1.6249.40N/AN/A5418784,4822,142
2014-10-27$52.06$52.5031.7%7.4%49.4%49.0%26.2%2.8%-3.6%546.5K-6.4M-36.5K0.8149.61N/AN/A2,3911,9344,5222,248
2014-10-28$55.54$52.5024.9%7.4%54.1%29.6%26.0%4.3%-0.3%744.4K-13.9M-42.2K1.6059.00N/AN/A6351,0194,9623,476
2014-10-29$55.81$52.5025.2%7.4%53.0%30.4%25.3%2.7%-0.5%740.9K-14.8M-40.2K2.8168.56N/AN/A3761,0584,9343,624
2014-10-30$55.89$52.5025.5%7.2%49.2%31.3%26.3%0.9%-0.6%717.5K-15.1M-40.6K2.9471.44N/AN/A3911,1494,9183,722
2014-10-31$57.20$52.5025.7%7.1%48.9%32.0%26.0%3.1%-0.6%590.5K-17.7M-39.3K5.3363.32N/AN/A4642,4745,0023,838