AN Options History — May 2015

In May 2015, AN traded between $61.38 and $63.57. ATM implied volatility averaged 19.8%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.1% (HV 20d: 17.7%). Max pain ranged from $62.50 to $65.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.62.

Notable Days

  • 2015-05-15: Highest Volume — 1,487 contracts
  • 2015-05-13: Largest IV drop — 16.6% change
  • 2015-05-11: Highest IV Rank — 24.9%
  • 2015-05-01: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.71$61.38$63.57$62.94$62.46
Max Pain$62.63$62.50$65.00$65.00$62.50
ATM IV19.8%17.2%23.2%21.4%17.9%
Expected Move5.5%4.9%6.1%6.1%5.1%
HV 20d17.7%14.1%21.1%20.9%17.6%
HV 60d18.8%18.4%19.7%19.0%19.7%
IV Rank15.3%7.8%24.9%19.8%10.0%
IV Percentile27.0%6.3%56.3%37.7%11.1%
Term Structure3.0%-0.7%4.2%-0.7%3.7%
VWIV19.8%17.7%24.6%24.6%18.0%
Skew 25d2.6%1.8%4.0%2.1%1.9%
Skew 10d5.1%1.7%12.4%5.8%2.1%
Call IV 25d18.3%15.9%21.8%21.8%17.8%
Put IV 25d20.8%18.7%24.0%24.0%19.7%
Bid-Ask Spread %44.7025.5877.9334.3240.32
Gamma HHI0.230.180.290.260.20
Net GEX347.3K-43.2K668.5K558.8K160.9K
Net DEX-196.5K-3.0M3.2M-1.1M231.8K
Net VEX-48.2K-59.6K-41.3K-59.6K-43.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.062.971.392.52
Total Volume893.21041,4871,009941
Total OI8,333.756,5779,4829,2137,623

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$62.94$65.0021.4%6.1%20.9%19.8%24.6%2.1%-0.7%558.8K-1.1M-59.6K1.3934.32N/AN/A4225875,6153,598
2015-05-04$63.57$62.5022.5%6.0%21.1%22.8%20.9%3.4%2.4%668.5K-3.0M-58.4K1.1032.01N/AN/A1681855,5753,619
2015-05-05$63.08$62.5022.0%6.1%20.2%21.5%19.3%2.7%1.6%588.6K-1.6M-56.3K1.3625.58N/AN/A4295855,5823,603
2015-05-06$63.05$62.5022.6%6.0%19.2%23.1%19.5%3.0%2.8%549.6K-869.4K-55.3K0.8633.74N/AN/A5454705,6023,630
2015-05-07$62.82$62.5021.8%5.9%19.1%21.0%19.3%1.9%2.5%498.3K-530.6K-54.1K1.0628.13N/AN/A4274515,5403,617
2015-05-08$63.12$62.5020.6%5.7%19.0%17.4%19.4%2.4%3.3%562.1K-1.3M-52.2K0.0626.72N/AN/A184115,5333,616
2015-05-11$63.06$62.5023.2%5.8%18.4%24.9%20.2%2.3%2.8%534.9K-930.8K-50.5K0.2130.64N/AN/A117255,5973,620
2015-05-12$62.99$62.5023.2%5.8%18.4%24.9%21.9%2.8%2.9%464.5K-33.8K-48.5K2.9060.40N/AN/A2888345,5853,630
2015-05-13$62.40$62.5019.4%5.6%18.5%14.0%21.5%2.6%4.0%189.6K2.5M-46.7K2.8050.67N/AN/A2978325,5923,852
2015-05-14$62.29$62.5019.0%5.4%18.4%12.9%21.0%2.7%3.7%118.4K2.9M-44.8K1.5835.48N/AN/A5468655,6063,821
2015-05-15$62.31$62.5018.8%5.4%17.8%12.3%19.8%2.3%3.5%-43.2K3.2M-44.1K2.0933.61N/AN/A4821,0055,6303,852
2015-05-18$62.69$62.5018.6%5.3%16.7%11.7%18.3%2.5%3.4%364.3K-1.1M-42.4K0.5643.51N/AN/A118663,9002,677
2015-05-19$62.48$62.5018.4%5.3%16.5%11.2%17.7%3.1%3.2%363.8K-1.2M-43.9K1.0431.83N/AN/A51533,9802,731
2015-05-20$62.26$62.5017.6%5.1%15.1%9.1%19.1%2.4%3.5%336.2K-678.6K-42.3K2.5170.27N/AN/A3819583,9912,745
2015-05-21$62.32$62.5017.2%4.9%14.5%8.0%19.3%1.8%4.2%273.7K-366.1K-45.1K2.9769.76N/AN/A3681,0944,1462,970
2015-05-22$62.27$62.5017.2%4.9%14.5%7.8%19.8%2.0%3.7%141.9K316.7K-46.5K2.5370.02N/AN/A3338444,1733,271
2015-05-26$61.38$62.5018.1%5.2%14.1%10.6%20.8%1.8%3.3%17.7K2.4M-41.3K2.7377.93N/AN/A2817684,1803,275
2015-05-27$63.40$62.5018.2%5.2%17.2%10.7%18.6%3.6%3.3%292.4K-1.4M-44.0K0.8865.48N/AN/A5424754,1873,281
2015-05-28$63.40$62.5018.6%5.3%17.1%11.8%17.7%4.0%3.5%304.0K-1.4M-44.9K1.3133.68N/AN/A3624744,2613,369
2015-05-29$62.46$62.5017.9%5.1%17.6%10.0%18.0%1.9%3.7%160.9K231.8K-43.3K2.5240.32N/AN/A2676744,2553,368