AN Options History — June 2015

In June 2015, AN traded between $62.56 and $64.84. ATM implied volatility averaged 19.7%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 3.2% (HV 20d: 16.5%). Max pain ranged from $62.50 to $65.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.45.

Notable Days

  • 2015-06-11: Highest Volume — 4,258 contracts
  • 2015-06-29: Largest IV spike — 28.6% change
  • 2015-06-11: Highest IV Rank — 27.2%
  • 2015-06-11: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.55$62.56$64.84$62.87$63.07
Max Pain$64.43$62.50$65.00$62.50$65.00
ATM IV19.7%15.4%24.0%19.1%19.6%
Expected Move5.8%4.4%6.9%5.5%5.6%
HV 20d16.5%12.4%18.0%15.8%17.6%
HV 60d18.1%16.7%19.6%19.6%17.9%
IV Rank15.0%2.9%27.2%13.3%14.7%
IV Percentile26.5%0.4%65.9%21.0%26.2%
Term Structure1.9%-3.1%8.0%3.0%4.1%
VWIV20.0%15.8%22.9%19.5%19.6%
Skew 25d3.3%1.4%7.8%2.3%3.4%
Skew 10d7.9%2.2%14.6%10.9%10.2%
Call IV 25d19.0%13.3%22.3%18.2%17.7%
Put IV 25d22.3%17.3%25.4%20.5%21.1%
Bid-Ask Spread %77.0760.4491.9888.1572.63
Gamma HHI0.340.220.480.220.37
Net GEX210.9K-1.2M896.6K86.3K438.3K
Net DEX-2.7M-6.6M3.2M204.2K-1.5M
Net VEX-44.4K-55.5K-36.3K-43.9K-38.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.087.691.111.83
Total Volume1,183.1363544,2589681,263
Total OI8,471.6826,68710,1037,8237,651

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$62.87$62.5019.1%5.5%15.8%13.3%19.5%2.3%3.0%86.3K204.2K-43.9K1.1188.15N/AN/A4595094,2663,557
2015-06-02$62.70$62.5019.5%5.6%15.3%14.4%18.4%2.7%3.1%102.7K372.1K-44.2K0.0889.00N/AN/A329254,3843,575
2015-06-03$63.89$62.5017.7%5.1%16.6%9.3%18.2%4.5%4.1%362.9K-2.8M-44.8K0.8290.31N/AN/A6265114,4283,595
2015-06-04$63.68$62.5019.6%6.7%16.6%14.6%22.3%3.3%-1.1%442.3K-3.3M-47.5K0.9660.92N/AN/A5134904,6923,587
2015-06-05$64.21$62.5018.1%6.0%16.8%10.4%21.0%3.1%1.0%579.7K-4.8M-47.5K0.5866.44N/AN/A1,1126474,6893,628
2015-06-08$64.28$65.0019.1%6.0%16.7%13.2%21.5%3.3%0.8%706.0K-6.6M-55.5K0.8360.44N/AN/A5744775,2463,778
2015-06-09$63.98$65.0019.1%6.1%16.8%13.2%20.8%3.4%1.0%585.0K-5.0M-52.4K1.1768.24N/AN/A4735555,2033,793
2015-06-10$64.22$65.0020.7%5.9%16.8%17.7%21.2%3.6%0.7%723.3K-6.0M-51.7K0.8969.57N/AN/A5094515,1933,737
2015-06-11$63.69$65.0024.0%6.9%16.7%27.2%21.0%3.4%-3.1%507.0K-4.1M-50.8K7.6980.74N/AN/A4903,7685,2093,760
2015-06-12$63.05$65.0022.4%6.4%17.2%22.6%22.1%2.2%0.2%-777.6K377.1K-51.1K3.7176.54N/AN/A5261,9545,2194,884
2015-06-15$62.56$65.0023.0%6.6%17.4%24.2%22.4%3.1%-0.5%-1.2M3.2M-46.8K1.2874.55N/AN/A3814865,2254,765
2015-06-16$63.35$65.0022.1%6.3%17.9%21.9%22.3%2.1%-0.9%-730.1K-1.1M-46.9K1.2976.41N/AN/A3524535,2394,741
2015-06-17$63.46$65.0023.1%6.6%17.8%24.5%22.9%3.7%-0.5%-594.2K-1.6M-45.4K1.2885.25N/AN/A3524525,2094,764
2015-06-18$63.45$65.0021.5%6.2%17.7%20.1%20.8%3.5%0.6%-806.2K-2.5M-43.9K1.4480.11N/AN/A3334805,2094,770
2015-06-19$62.99$65.0020.3%5.8%18.0%16.8%20.5%3.1%0.6%448.1K-2.6M-38.7K1.4982.30N/AN/A3505225,2194,746
2015-06-22$63.02$65.0019.3%5.5%18.0%13.8%18.5%3.9%2.4%444.1K-2.0M-36.3K0.6078.99N/AN/A5023004,2652,422
2015-06-23$63.52$65.0019.0%5.4%17.2%12.9%19.6%1.4%2.0%561.3K-3.1M-37.1K1.3280.99N/AN/A3534674,3752,408
2015-06-24$64.25$65.0015.8%4.5%13.5%4.0%16.6%4.1%4.7%648.6K-4.3M-37.9K0.8491.98N/AN/A7426214,3222,569
2015-06-25$64.34$65.0015.7%4.5%13.5%3.6%16.1%3.0%5.3%787.1K-5.1M-39.4K0.7869.04N/AN/A5744484,5622,629
2015-06-26$64.84$65.0015.4%4.4%12.4%2.9%15.8%2.9%5.7%896.6K-6.3M-40.0K0.8673.55N/AN/A4293674,6792,758
2015-06-29$62.70$65.0019.8%5.7%17.5%15.3%18.8%7.8%8.0%452.3K-1.7M-37.0K1.1079.44N/AN/A3834214,6662,761
2015-06-30$63.07$65.0019.6%5.6%17.6%14.7%19.6%3.4%4.1%438.3K-1.5M-38.8K1.8372.63N/AN/A4478164,7762,875