AN Options History — April 2015

In April 2015, AN traded between $61.54 and $65.94. ATM implied volatility averaged 24.0%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 3.6% (HV 20d: 20.3%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2015-04-22: Highest Volume — 3,025 contracts
  • 2015-04-22: Largest IV drop — 31.6% change
  • 2015-04-20: Highest IV Rank — 43.0%
  • 2015-04-20: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.24$61.54$65.94$63.73$61.54
Max Pain$63.69$60.00$65.00$60.00$65.00
ATM IV24.0%18.0%29.6%20.3%21.3%
Expected Move7.2%5.8%8.5%5.8%6.1%
HV 20d20.3%18.8%22.2%22.2%19.6%
HV 60d22.2%18.4%23.3%22.8%18.4%
IV Rank27.0%10.2%43.0%16.7%19.5%
IV Percentile58.5%14.3%89.7%30.6%36.5%
Term Structure-1.8%-5.4%6.2%6.2%-1.8%
VWIV25.2%19.8%30.6%19.9%22.3%
Skew 25d3.1%-0.4%5.7%2.2%1.9%
Skew 10d6.3%-5.6%15.8%1.9%4.3%
Call IV 25d23.9%19.2%28.8%19.8%22.4%
Put IV 25d27.0%21.0%32.6%22.0%24.3%
Bid-Ask Spread %43.2927.3963.9437.2327.74
Gamma HHI0.380.220.700.400.22
Net GEX1.3M302.7K2.6M1.3M302.7K
Net DEX-12.1M-20.7M3.0M-12.6M3.0M
Net VEX-55.0K-66.4K-46.5K-56.2K-53.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.151.530.681.53
Total Volume1,137.9521473,0258131,145
Total OI9,416.5715,26811,07710,0088,942

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$63.73$60.0020.3%5.8%22.2%16.7%19.9%2.2%6.2%1.3M-12.6M-56.2K0.6837.23N/AN/A4843296,3653,643
2015-04-02$64.51$62.5018.0%7.4%22.2%10.2%25.8%2.9%-1.3%1.7M-16.3M-58.0K0.7648.83N/AN/A5033836,5343,682
2015-04-06$64.91$62.5018.3%7.6%20.0%11.0%25.7%5.0%-2.7%1.8M-17.4M-54.1K1.0652.49N/AN/A3783996,5303,756
2015-04-07$63.72$62.5021.6%7.8%21.3%20.4%26.8%3.5%-1.5%1.4M-13.1M-53.5K1.0246.10N/AN/A4684796,5793,785
2015-04-08$64.81$65.0025.5%7.3%21.3%31.4%26.1%5.7%-1.5%1.8M-17.2M-54.9K0.1563.94N/AN/A128196,7393,930
2015-04-09$64.95$65.0026.7%7.7%21.2%34.8%27.0%5.1%-2.9%1.8M-17.8M-53.8K0.8847.65N/AN/A4343836,6953,943
2015-04-10$65.47$62.5026.7%7.7%20.1%34.8%28.0%4.0%-2.4%2.0M-20.7M-53.4K0.8650.77N/AN/A4013436,7553,968
2015-04-13$64.59$62.5027.8%8.0%20.4%38.0%27.7%2.4%-3.1%1.8M-17.1M-51.6K1.2958.23N/AN/A3394366,7903,980
2015-04-14$64.62$65.0026.6%7.6%19.2%34.5%27.5%3.8%-1.7%1.8M-16.9M-51.5K0.8350.17N/AN/A5084206,8324,103
2015-04-15$64.86$65.0027.4%7.9%18.8%36.7%27.7%3.9%-3.0%2.6M-18.4M-50.7K1.0150.01N/AN/A3513536,9554,122
2015-04-16$64.38$65.0027.1%7.8%18.8%35.9%27.2%2.9%-2.6%1.9M-15.7M-48.1K0.8754.96N/AN/A4063526,8804,113
2015-04-17$63.45$62.5029.2%8.4%19.4%41.9%28.9%3.9%-3.9%401.8K-12.8M-46.5K0.8242.93N/AN/A4974086,8754,180
2015-04-20$64.56$62.5029.6%8.5%20.3%43.0%30.6%5.2%-5.4%514.1K-6.6M-47.5K1.2732.40N/AN/A7609653,6011,667
2015-04-21$64.90$62.5029.5%8.5%20.3%42.6%29.9%3.3%-4.8%666.2K-9.4M-54.8K0.5827.39N/AN/A1,8681,0814,2132,014
2015-04-22$65.94$62.5020.2%5.8%20.8%16.3%19.8%2.9%-0.8%1.3M-15.3M-62.3K0.3958.24N/AN/A2,1748515,4452,328
2015-04-23$65.00$65.0020.4%5.8%20.8%17.0%21.2%2.1%-0.2%1.1M-11.7M-65.4K1.0129.98N/AN/A6066135,5732,530
2015-04-24$64.79$65.0020.5%5.9%20.6%17.2%21.5%1.9%-0.7%1.1M-10.5M-66.4K0.9229.55N/AN/A5184755,5902,703
2015-04-27$63.66$65.0022.5%6.4%20.4%22.8%22.6%2.1%-1.6%864.1K-6.5M-61.4K1.3735.10N/AN/A4315895,5912,725
2015-04-28$62.45$65.0021.8%6.3%19.6%20.9%21.3%-0.4%-0.8%601.0K-2.3M-56.6K1.0128.34N/AN/A7567605,5072,852
2015-04-29$62.22$65.0021.9%6.3%19.6%21.3%21.8%1.4%-1.3%460.3K349.7K-56.1K1.3837.09N/AN/A4636415,5713,162
2015-04-30$61.54$65.0021.3%6.1%19.6%19.5%22.3%1.9%-1.8%302.7K3.0M-53.1K1.5327.74N/AN/A4536925,5753,367