AN Options History — March 2015

In March 2015, AN traded between $60.10 and $64.51. ATM implied volatility averaged 21.3%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 2.8% (HV 20d: 18.6%). Max pain ranged from $60.00 to $62.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.46.

Notable Days

  • 2015-03-05: Highest Volume — 5,161 contracts
  • 2015-03-11: Largest IV spike — 11.9% change
  • 2015-03-11: Highest IV Rank — 28.8%
  • 2015-03-11: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.30$60.10$64.51$62.57$64.40
Max Pain$60.34$60.00$62.50$60.00$60.00
ATM IV21.3%17.8%24.6%21.4%19.1%
Expected Move6.3%5.1%7.0%6.1%5.5%
HV 20d18.6%12.6%25.5%25.4%21.9%
HV 60d22.5%22.0%23.2%23.2%22.9%
IV Rank19.5%9.7%28.8%19.8%13.2%
IV Percentile37.7%12.7%67.5%36.1%20.6%
Term Structure2.7%0.3%6.8%3.7%6.4%
VWIV21.6%18.0%23.9%22.2%19.6%
Skew 25d3.8%0.4%6.3%3.0%2.6%
Skew 10d9.5%-2.5%16.4%11.7%5.7%
Call IV 25d20.6%17.2%23.3%20.0%18.9%
Put IV 25d24.4%19.3%28.1%23.0%21.5%
Bid-Ask Spread %51.3426.9889.9426.9827.08
Gamma HHI0.340.240.570.320.39
Net GEX1.8M636.6K3.9M2.4M1.5M
Net DEX-17.0M-28.4M-4.7M-28.4M-15.5M
Net VEX-77.3K-108.4K-55.7K-108.4K-58.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.031.241.190.84
Total Volume1,040.409695,1611,419687
Total OI13,385.8649,72318,99515,82210,058

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$62.57$60.0021.4%6.1%25.4%19.8%22.2%3.0%3.7%2.4M-28.4M-108.4K1.1926.98N/AN/A64877111,9203,902
2015-03-03$62.25$60.0021.5%6.2%25.5%20.0%21.7%2.7%3.4%2.4M-25.7M-106.9K0.5450.51N/AN/A1,36272911,9714,140
2015-03-04$62.09$60.0020.2%5.8%12.6%16.3%21.1%2.7%3.8%2.4M-25.8M-106.0K0.6633.73N/AN/A1,03868511,9624,218
2015-03-05$61.55$60.0018.7%6.5%12.8%12.1%23.1%4.0%2.8%2.5M-20.8M-100.2K0.1465.74N/AN/A4,53163011,8594,274
2015-03-06$60.10$60.0020.7%7.0%14.6%17.9%23.2%3.4%1.9%3.9M-20.4M-106.1K0.3764.22N/AN/A1,65561214,6604,335
2015-03-09$60.78$60.0021.5%6.8%15.4%19.9%22.0%4.6%2.2%2.3M-13.5M-84.1K0.1352.84N/AN/A4756411,0864,357
2015-03-10$60.16$60.0022.0%7.0%15.5%21.4%23.1%4.9%1.2%2.3M-9.4M-79.7K0.0744.38N/AN/A4332910,8814,361
2015-03-11$60.80$60.0024.6%7.0%15.0%28.8%23.9%4.7%0.3%2.3M-13.8M-80.6K1.2468.63N/AN/A30437810,6374,355
2015-03-12$62.17$60.0023.6%6.8%17.2%26.0%23.5%3.6%1.5%1.6M-16.9M-78.2K0.1138.04N/AN/A589659,2404,300
2015-03-13$61.53$60.0024.6%7.0%17.4%28.7%23.4%4.1%0.3%1.6M-14.1M-79.5K0.4379.34N/AN/A3641569,3984,353
2015-03-16$62.80$60.0023.7%6.8%18.9%26.4%22.9%6.3%0.4%1.8M-20.9M-76.8K0.2180.40N/AN/A5511159,5844,250
2015-03-17$62.21$60.0023.2%6.7%19.0%24.9%23.2%4.0%1.3%1.6M-18.5M-73.5K0.0374.27N/AN/A6729,3724,335
2015-03-18$62.88$60.0022.9%6.6%18.9%24.1%23.2%5.6%0.4%1.4M-21.9M-71.2K0.2089.94N/AN/A262539,3734,334
2015-03-19$63.39$60.0022.6%6.5%19.0%23.3%21.5%4.5%1.4%1.4M-25.2M-70.9K0.5667.30N/AN/A2371329,3314,328
2015-03-20$63.49$60.0021.5%6.2%19.0%20.0%21.2%4.2%1.9%1.2M-26.1M-68.6K0.0854.33N/AN/A630519,2054,302
2015-03-23$63.20$62.5021.0%6.0%19.0%18.6%21.5%3.2%1.9%1.1M-10.9M-61.1K0.8348.34N/AN/A1331116,2703,453
2015-03-24$62.97$62.5021.3%6.1%18.9%19.6%19.5%5.3%1.1%1.0M-9.9M-61.3K0.6638.65N/AN/A1641096,2813,495
2015-03-25$62.04$62.5019.0%5.5%19.7%13.0%18.9%2.2%5.1%734.5K-6.5M-56.7K0.4630.93N/AN/A7353416,3213,584
2015-03-26$61.60$60.0018.9%5.4%19.6%12.7%19.2%0.4%6.2%636.6K-4.7M-55.7K1.0336.97N/AN/A5745946,4593,652
2015-03-27$63.00$60.0019.2%5.5%21.2%13.5%18.0%3.8%5.5%1.1M-9.4M-57.8K0.1327.79N/AN/A402526,4633,670
2015-03-30$64.51$60.0017.8%5.1%22.0%9.7%18.9%3.0%6.8%1.6M-15.6M-58.4K0.3029.16N/AN/A1,0533166,5223,638
2015-03-31$64.40$60.0019.1%5.5%21.9%13.2%19.6%2.6%6.4%1.5M-15.5M-58.8K0.8427.08N/AN/A3733146,4193,639