AN Options History — December 2014

In December 2014, AN traded between $55.96 and $60.89. ATM implied volatility averaged 24.6%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 5.2% (HV 20d: 19.4%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 2.89.

Notable Days

  • 2014-12-03: Highest Volume — 1,460 contracts
  • 2014-12-10: Largest IV spike — 17.4% change
  • 2014-12-16: Highest IV Rank — 40.5%
  • 2014-12-16: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.93$55.96$60.89$58.36$60.41
Max Pain$57.14$55.00$60.00$55.00$60.00
ATM IV24.6%21.8%28.7%24.8%23.8%
Expected Move7.7%7.2%8.5%7.4%7.8%
HV 20d19.4%12.0%23.9%13.9%22.6%
HV 60d34.0%31.6%34.8%33.8%31.6%
IV Rank28.7%21.0%40.5%29.3%26.6%
IV Percentile70.5%43.3%92.1%77.0%66.3%
Term Structure1.9%-0.8%3.7%-0.4%3.4%
VWIV27.2%25.5%31.5%25.5%27.1%
Skew 25d2.7%1.5%4.3%1.9%2.3%
Skew 10d6.0%-0.2%12.0%5.5%4.1%
Call IV 25d23.9%21.8%28.6%24.9%23.4%
Put IV 25d26.6%23.9%30.7%26.9%25.7%
Bid-Ask Spread %60.5835.5477.9169.0635.54
Gamma HHI0.330.230.450.270.31
Net GEX224.5K-69.4K433.7K104.0K327.3K
Net DEX-5.0M-7.9M-449.6K-4.5M-6.5M
Net VEX-27.5K-29.9K-22.8K-22.8K-29.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.890.056.232.610.42
Total Volume937.545461,4601,171101
Total OI6,482.7274,8597,8145,9355,463

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$58.36$55.0024.8%7.4%13.9%29.3%25.5%1.9%-0.4%104.0K-4.5M-22.8K2.6169.06N/AN/A3248472,1893,746
2014-12-02$59.05$55.0023.8%7.2%13.2%26.7%26.5%4.1%-0.8%152.4K-5.3M-25.0K3.5365.61N/AN/A2408472,3103,907
2014-12-03$60.02$55.0022.7%7.3%13.6%23.5%27.1%1.9%0.1%283.0K-7.2M-23.2K2.0266.96N/AN/A4849762,4103,918
2014-12-04$59.90$55.0021.9%7.3%13.1%21.1%25.6%1.6%0.9%399.0K-7.9M-27.2K0.1571.63N/AN/A4062,8324,244
2014-12-05$59.71$55.0021.8%7.3%12.0%21.0%26.9%2.5%3.2%389.1K-7.8M-27.2K6.2368.10N/AN/A1559652,8544,254
2014-12-08$58.47$55.0025.4%7.4%14.3%31.2%27.0%2.3%1.8%260.2K-5.6M-27.1K3.4569.45N/AN/A1996862,8494,254
2014-12-09$59.97$55.0023.6%7.5%16.7%26.1%25.8%3.3%2.7%433.7K-7.6M-26.9K4.7362.32N/AN/A1547292,8694,271
2014-12-10$58.69$55.0027.7%7.8%18.6%37.7%26.6%2.7%1.8%289.3K-5.8M-27.9K5.0167.12N/AN/A1698472,8704,325
2014-12-11$58.40$57.5025.6%7.6%18.7%31.6%26.4%1.8%0.7%243.4K-4.9M-29.9K4.6077.91N/AN/A1868562,8564,526
2014-12-12$57.44$57.5026.7%8.0%19.7%34.7%28.7%1.5%1.5%95.3K-3.0M-29.6K3.8669.10N/AN/A2308872,8174,529
2014-12-15$57.24$57.5027.0%7.9%19.5%35.6%28.6%3.3%0.3%58.9K-2.2M-27.8K4.0759.83N/AN/A2491,0142,8234,559
2014-12-16$55.96$57.5028.7%8.5%21.1%40.5%28.5%2.2%1.6%-69.4K-449.6K-27.5K3.9066.27N/AN/A2369212,9064,629
2014-12-17$57.08$57.5026.5%8.0%22.3%34.3%31.5%4.3%1.5%62.4K-1.4M-27.3K2.4271.05N/AN/A4019722,9664,696
2014-12-18$57.66$57.5025.0%7.8%22.5%30.0%27.2%2.3%2.0%86.6K-2.9M-27.6K2.4560.18N/AN/A3869452,9654,736
2014-12-19$58.56$57.5024.7%7.8%23.2%29.1%25.6%3.2%2.2%321.6K-4.9M-28.5K0.4660.82N/AN/A2941343,0164,798
2014-12-22$58.58$0.0024.2%8.0%23.2%27.6%27.7%2.1%3.5%159.9K-3.3M-28.4K2.9553.40N/AN/A2417112,4892,370
2014-12-23$59.41$57.5023.1%7.5%23.6%24.7%27.0%2.9%3.4%211.5K-4.4M-28.7K2.7948.97N/AN/A2527032,5282,420
2014-12-24$59.74$60.0023.3%7.5%23.7%25.2%26.9%3.1%3.1%237.2K-5.0M-29.3K2.8950.50N/AN/A2467112,5852,450
2014-12-26$60.01$60.0022.5%7.6%23.7%23.0%26.8%2.6%3.7%244.2K-5.2M-28.9K2.5250.57N/AN/A2847162,5752,492
2014-12-29$60.89$60.0024.1%7.6%23.9%27.5%27.4%4.3%2.2%322.1K-6.7M-27.6K2.5541.35N/AN/A2636702,6402,505
2014-12-30$60.80$60.0023.5%7.7%22.8%25.6%27.0%3.0%3.1%327.2K-6.6M-27.6K0.0547.00N/AN/A332172,6582,521
2014-12-31$60.41$60.0023.8%7.8%22.6%26.6%27.1%2.3%3.4%327.3K-6.5M-29.4K0.4235.54N/AN/A71302,9252,538