AN Options History — January 2015

In January 2015, AN traded between $56.12 and $60.61. ATM implied volatility averaged 30.0%, placing in the 44.0% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 9.4% (HV 20d: 20.6%). Max pain ranged from $57.50 to $60.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.45.

Notable Days

  • 2015-01-16: Highest Volume — 5,894 contracts
  • 2015-01-12: Largest IV spike — 32.6% change
  • 2015-01-30: Highest IV Rank — 63.9%
  • 2015-01-30: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.84$56.12$60.61$60.10$59.55
Max Pain$58.88$57.50$60.00$60.00$57.50
ATM IV30.0%22.2%37.0%25.2%37.0%
Expected Move8.9%7.7%10.6%7.8%10.6%
HV 20d20.6%18.1%22.6%22.0%22.2%
HV 60d23.9%19.5%30.8%30.8%19.6%
IV Rank44.0%22.1%63.9%30.5%63.9%
IV Percentile86.8%46.4%98.8%78.2%98.8%
Term Structure-2.8%-6.4%1.9%1.9%-6.4%
VWIV31.7%27.6%37.8%27.6%37.8%
Skew 25d4.7%2.4%7.2%2.4%5.5%
Skew 10d9.2%3.1%18.1%3.1%7.4%
Call IV 25d29.2%24.0%35.7%24.0%35.7%
Put IV 25d33.9%26.4%41.3%26.4%41.3%
Bid-Ask Spread %55.7642.4662.2342.4656.68
Gamma HHI0.330.170.790.290.35
Net GEX740.4K-26.1K2.0M313.9K2.0M
Net DEX-12.9M-38.5M-612.2K-5.8M-34.3M
Net VEX-55.5K-115.5K-23.5K-29.6K-115.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.012.991.421.46
Total Volume1,499.35745,8941,515906
Total OI9,153.75,53117,2175,53117,217

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$60.10$60.0025.2%7.8%22.0%30.5%27.6%2.4%1.9%313.9K-5.8M-29.6K1.4242.46N/AN/A6278882,9662,565
2015-01-05$59.21$60.0027.0%8.3%22.6%35.5%29.7%4.1%-1.1%251.6K-4.6M-29.2K0.7649.01N/AN/A127973,0122,644
2015-01-06$59.12$60.0026.8%8.2%22.6%35.1%29.1%3.1%-0.7%240.1K-4.2M-29.3K1.3858.01N/AN/A1572163,0392,691
2015-01-07$59.51$60.0025.4%8.0%21.4%31.2%29.6%3.7%-0.7%255.9K-4.6M-28.7K1.2450.24N/AN/A33412,9992,705
2015-01-08$59.83$60.0022.2%7.9%19.4%22.1%28.9%3.1%-0.9%307.3K-5.2M-27.4K2.8756.09N/AN/A2457032,9982,694
2015-01-09$59.08$60.0022.4%7.7%18.4%22.5%28.0%2.8%0.4%241.2K-4.2M-26.9K2.1154.54N/AN/A3156663,0282,704
2015-01-12$58.23$60.0029.6%8.4%19.0%43.1%29.5%2.4%-1.3%138.1K-2.8M-26.3K2.4653.10N/AN/A3057503,1012,745
2015-01-13$57.51$60.0023.4%8.1%18.6%25.5%28.8%3.0%-1.5%19.7K-1.6M-25.1K2.0258.15N/AN/A3867783,0982,843
2015-01-14$57.15$60.0029.0%8.3%18.7%41.4%29.6%4.3%-1.5%8.7K-1.4M-24.9K2.3857.97N/AN/A3337913,1222,748
2015-01-15$56.12$60.0030.5%8.7%18.1%45.5%28.3%2.6%-1.7%-20.2K-612.2K-23.5K2.9960.10N/AN/A2577693,0962,713
2015-01-16$58.07$60.0031.6%9.0%20.7%48.5%32.0%6.3%-2.7%-26.1K-3.1M-24.1K0.0162.23N/AN/A5,848463,1082,710
2015-01-20$57.80$57.5034.8%10.0%20.4%57.5%34.9%6.4%-6.4%1.3M-17.5M-61.4K1.8761.95N/AN/A1,5472,9007,1371,129
2015-01-21$57.34$57.5033.1%9.5%19.8%52.8%33.4%5.0%-4.8%1.1M-12.8M-81.6K1.0751.56N/AN/A2032178,1843,532
2015-01-22$58.57$57.5032.9%9.4%21.3%52.2%32.0%5.9%-3.9%1.3M-17.9M-81.9K1.5849.82N/AN/A5258318,2423,623
2015-01-23$59.45$57.5030.8%8.8%21.4%46.3%32.1%6.2%-3.6%1.2M-20.7M-86.4K0.8056.61N/AN/A4753808,3004,144
2015-01-26$59.91$57.5032.5%9.3%21.5%51.1%33.3%7.1%-5.3%1.2M-22.8M-81.9K1.8062.04N/AN/A701268,3284,210
2015-01-27$59.81$57.5033.2%9.5%21.4%53.0%37.8%6.9%-4.2%1.2M-22.4M-81.4K0.1059.35N/AN/A3,2253218,3374,259
2015-01-28$59.74$57.5036.0%10.3%20.7%61.0%35.4%5.3%-6.3%1.8M-32.5M-110.8K0.2960.29N/AN/A1,70548911,5234,459
2015-01-29$60.61$57.5036.4%10.4%21.4%62.2%36.9%7.2%-5.9%2.0M-38.5M-113.2K0.4054.93N/AN/A1,20748212,4974,624
2015-01-30$59.55$57.5037.0%10.6%22.2%63.9%37.8%5.5%-6.4%2.0M-34.3M-115.5K1.4656.68N/AN/A36953712,5234,694