AN Options History — November 2014

In November 2014, AN traded between $56.00 and $59.44. ATM implied volatility averaged 23.8%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 6.9% (HV 20d: 30.7%). Max pain ranged from $52.50 to $52.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 2.33.

Notable Days

  • 2014-11-17: Highest Volume — 2,024 contracts
  • 2014-11-05: Largest IV drop — 8.3% change
  • 2014-11-04: Highest IV Rank — 37.2%
  • 2014-11-19: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.80$56.00$59.44$56.43$59.44
Max Pain$52.50$52.50$52.50$52.50$52.50
ATM IV23.8%21.7%27.6%26.3%21.7%
Expected Move7.3%7.1%7.4%7.1%7.1%
HV 20d30.7%13.6%49.1%49.1%14.0%
HV 60d33.6%33.5%33.7%33.5%33.5%
IV Rank26.5%20.5%37.2%33.5%20.5%
IV Percentile65.1%41.3%89.7%87.3%41.7%
Term Structure-0.1%-1.1%0.6%-0.6%0.5%
VWIV26.0%24.2%27.0%26.0%24.6%
Skew 25d2.6%1.4%4.1%2.1%2.0%
Skew 10d7.3%0.2%11.6%2.0%7.9%
Call IV 25d23.3%20.3%26.4%26.4%21.7%
Put IV 25d25.9%23.6%30.3%28.6%23.7%
Bid-Ask Spread %63.6256.9172.7972.7963.82
Gamma HHI0.310.220.490.490.26
Net GEX289.1K27.1K477.0K402.2K135.6K
Net DEX-15.7M-22.4M-4.3M-14.3M-5.6M
Net VEX-33.0K-48.3K-22.6K-46.1K-22.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.330.183.752.600.36
Total Volume1,122.368852,0241,966227
Total OI9,631.2115,61910,85710,3905,852

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$56.43$52.5026.3%7.1%49.1%33.5%26.0%2.1%-0.6%402.2K-14.3M-46.1K2.6072.79N/AN/A5461,4205,0825,308
2014-11-04$56.00$52.5027.6%7.3%47.4%37.2%26.1%4.1%-1.1%477.0K-12.7M-48.3K3.1567.35N/AN/A4261,3435,1745,334
2014-11-05$56.79$52.5025.3%7.4%47.2%30.7%26.8%4.1%-0.2%430.8K-15.1M-46.3K2.9056.91N/AN/A3991,1585,2065,461
2014-11-06$57.80$52.5025.1%7.3%46.8%30.1%26.5%2.8%-0.2%374.0K-18.1M-41.7K2.9365.13N/AN/A3631,0655,2195,454
2014-11-07$57.50$52.5023.9%7.3%46.9%26.8%27.0%2.4%-0.4%393.9K-17.8M-40.9K3.1663.55N/AN/A3281,0385,2155,468
2014-11-10$57.84$52.5024.9%7.2%27.9%29.8%26.8%2.3%-0.7%369.3K-18.9M-37.6K3.4562.38N/AN/A3101,0695,2215,480
2014-11-11$57.83$52.5025.0%7.3%28.2%29.9%26.9%2.8%-0.4%386.2K-19.4M-34.2K3.3057.64N/AN/A3211,0595,1774,995
2014-11-12$57.94$52.5023.1%7.1%28.3%24.5%26.2%2.0%-0.6%333.9K-20.0M-34.5K3.6663.75N/AN/A2861,0465,2465,510
2014-11-13$57.78$52.5023.6%7.3%28.5%26.1%26.4%2.5%-0.2%346.2K-19.7M-33.7K3.7562.95N/AN/A2619795,2585,512
2014-11-14$57.38$52.5022.7%7.2%28.6%23.5%24.2%2.9%0.4%418.9K-18.8M-32.9K0.1861.86N/AN/A72135,2595,526
2014-11-17$57.31$52.5023.9%7.3%28.5%26.9%25.5%2.8%-0.6%396.7K-19.0M-31.5K0.9660.06N/AN/A1,0339915,3095,532
2014-11-18$57.66$52.5023.5%7.2%28.4%25.6%25.4%2.0%-0.0%313.8K-20.3M-29.4K3.1057.98N/AN/A3209925,3115,541
2014-11-19$57.92$52.5023.3%7.4%27.8%25.1%26.0%2.0%0.1%189.9K-21.6M-27.2K0.8163.39N/AN/A73595,3085,549
2014-11-20$58.16$52.5022.9%7.4%26.4%24.0%25.4%2.9%0.5%142.8K-21.6M-26.3K2.5565.14N/AN/A3971,0115,2005,417
2014-11-21$58.28$52.5022.8%7.3%26.4%23.8%25.9%1.4%0.4%152.3K-22.4M-24.3K2.2565.77N/AN/A4461,0025,2175,433
2014-11-24$58.61$52.5022.4%7.3%25.8%22.7%0.0%1.9%0.6%27.1K-4.3M-23.5K0.2765.86N/AN/A145391,9353,684
2014-11-25$58.77$52.5021.7%7.2%13.6%20.5%25.4%3.1%-0.3%87.6K-4.7M-24.0K2.0261.50N/AN/A3276622,0763,701
2014-11-26$58.73$52.5022.1%7.3%13.6%21.7%27.0%4.0%0.4%115.1K-4.9M-22.8K2.8170.86N/AN/A26732,1083,715
2014-11-28$59.44$52.5021.7%7.1%14.0%20.5%24.6%2.0%0.5%135.6K-5.6M-22.6K0.3663.82N/AN/A167602,1083,744