AN Options History — February 2015

In February 2015, AN traded between $59.34 and $64.48. ATM implied volatility averaged 24.4%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 3.5% (HV 20d: 27.9%). Max pain ranged from $57.50 to $60.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.91.

Notable Days

2015-02-23: Highest Volume — 4,051 contracts
2015-02-03: Largest IV drop — 38.4% change
2015-02-02: Highest IV Rank — 77.5%
2015-02-02: Largest Expected Move — 12.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$62.67	$59.34	$64.48	$59.34	$61.52
Max Pain	$59.61	$57.50	$60.00	$57.50	$60.00
ATM IV	24.4%	20.9%	41.8%	41.8%	20.9%
Expected Move	7.0%	6.0%	12.0%	12.0%	6.0%
HV 20d	27.9%	22.2%	30.8%	22.2%	25.8%
HV 60d	22.9%	19.5%	23.4%	19.5%	23.0%
IV Rank	28.1%	18.4%	77.5%	77.5%	18.4%
IV Percentile	58.4%	32.5%	98.8%	98.8%	32.5%
Term Structure	2.2%	-9.3%	4.9%	-9.3%	3.9%
VWIV	24.7%	21.0%	43.4%	43.4%	21.8%
Skew 25d	4.2%	2.4%	7.6%	7.6%	3.0%
Skew 10d	8.9%	4.3%	13.1%	11.3%	8.5%
Call IV 25d	22.8%	20.1%	40.1%	40.1%	20.5%
Put IV 25d	27.1%	23.3%	47.8%	47.8%	23.6%
Bid-Ask Spread %	54.70	23.78	80.08	23.78	27.76
Gamma HHI	0.31	0.25	0.57	0.34	0.32
Net GEX	2.5M	1.6M	6.2M	1.9M	2.3M
Net DEX	-54.2M	-74.0M	-23.1M	-32.1M	-23.3M
Net VEX	-97.6K	-119.3K	-79.8K	-112.2K	-117.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.91	0.03	3.33	1.11	0.46
Total Volume	1,982.789	596	4,051	2,428	2,062
Total OI	19,958.895	12,800	23,668	17,412	16,227

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2015-02-02	$59.34	$57.50	41.8%	12.0%	22.2%	77.5%	43.4%	7.6%	-9.3%	1.9M	-32.1M	-112.2K	1.11	23.78	N/A	N/A	1,148	1,280	12,651	4,761
2015-02-03	$63.11	$57.50	25.8%	7.4%	30.6%	32.1%	25.3%	5.0%	-0.9%	2.3M	-61.6M	-86.7K	0.45	38.46	N/A	N/A	1,647	739	13,529	5,824
2015-02-04	$62.77	$57.50	25.7%	7.4%	30.8%	31.9%	25.2%	6.8%	-0.5%	2.4M	-59.0M	-89.0K	0.78	41.77	N/A	N/A	938	730	13,667	5,935
2015-02-05	$63.34	$60.00	25.5%	7.1%	30.8%	31.3%	24.3%	4.7%	2.2%	2.2M	-62.4M	-86.7K	0.95	41.50	N/A	N/A	726	690	13,828	6,150
2015-02-06	$63.27	$60.00	25.2%	7.2%	30.8%	30.4%	25.6%	4.3%	2.1%	2.2M	-62.5M	-84.3K	0.53	47.81	N/A	N/A	1,404	742	13,949	6,224
2015-02-09	$63.58	$60.00	26.1%	7.3%	30.3%	32.9%	25.9%	4.7%	1.4%	2.5M	-65.8M	-89.5K	0.78	53.34	N/A	N/A	828	644	14,991	6,246
2015-02-10	$64.48	$60.00	22.5%	6.8%	29.7%	22.9%	25.8%	4.9%	3.5%	1.9M	-74.0M	-79.8K	0.41	56.19	N/A	N/A	1,434	581	15,308	6,261
2015-02-11	$63.88	$60.00	23.3%	6.7%	29.5%	25.2%	24.4%	3.3%	2.2%	2.2M	-73.6M	-91.6K	0.41	57.85	N/A	N/A	2,123	872	16,233	6,341
2015-02-12	$63.38	$60.00	24.1%	6.9%	29.6%	27.4%	24.7%	4.4%	4.1%	2.3M	-72.2M	-101.2K	0.54	62.19	N/A	N/A	1,614	864	16,647	6,733
2015-02-13	$63.70	$60.00	23.7%	6.8%	28.3%	26.3%	23.2%	4.3%	3.0%	2.3M	-73.2M	-97.5K	2.70	62.90	N/A	N/A	336	906	16,710	6,748
2015-02-17	$63.13	$60.00	24.1%	6.9%	26.7%	27.5%	24.8%	4.0%	3.1%	2.2M	-71.0M	-95.1K	2.55	62.57	N/A	N/A	314	802	16,679	6,822
2015-02-18	$62.35	$60.00	23.2%	6.7%	27.2%	25.0%	24.2%	3.3%	4.2%	2.6M	-65.9M	-92.5K	3.33	74.50	N/A	N/A	274	913	16,650	6,971
2015-02-19	$62.28	$60.00	22.9%	6.6%	26.9%	24.0%	23.3%	4.2%	1.8%	2.6M	-63.9M	-90.3K	0.03	70.85	N/A	N/A	578	18	16,602	7,066
2015-02-20	$62.63	$60.00	21.7%	6.2%	26.2%	20.5%	21.5%	3.9%	4.1%	6.2M	-68.4M	-88.0K	0.13	76.75	N/A	N/A	2,295	303	16,542	7,055
2015-02-23	$62.50	$60.00	22.2%	6.4%	25.9%	22.1%	21.9%	3.6%	4.1%	1.6M	-23.1M	-98.3K	0.23	80.08	N/A	N/A	3,281	770	9,352	3,448
2015-02-24	$62.03	$60.00	21.0%	6.0%	26.0%	18.6%	21.0%	3.2%	4.6%	2.2M	-26.9M	-117.0K	0.59	58.00	N/A	N/A	1,287	753	11,697	3,531
2015-02-25	$62.00	$60.00	21.8%	6.2%	26.0%	20.9%	21.3%	2.8%	4.9%	2.4M	-26.3M	-117.7K	0.78	52.35	N/A	N/A	960	746	12,204	3,608
2015-02-26	$61.53	$60.00	21.3%	6.1%	26.2%	19.5%	22.3%	2.4%	4.1%	2.4M	-24.6M	-119.3K	0.59	50.60	N/A	N/A	1,304	767	12,388	3,641
2015-02-27	$61.52	$60.00	20.9%	6.0%	25.8%	18.4%	21.8%	3.0%	3.9%	2.3M	-23.3M	-117.3K	0.46	27.76	N/A	N/A	1,414	648	12,387	3,840