AN Options History — July 2015

In July 2015, AN traded between $59.23 and $66.21. ATM implied volatility averaged 20.6%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 2.6% (HV 20d: 23.2%). Max pain ranged from $62.50 to $65.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.63.

Notable Days

  • 2015-07-21: Highest Volume — 1,867 contracts
  • 2015-07-22: Largest IV drop — 22.1% change
  • 2015-07-21: Highest IV Rank — 30.3%
  • 2015-07-21: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.11$59.23$66.21$63.89$62.33
Max Pain$63.64$62.50$65.00$65.00$65.00
ATM IV20.6%17.5%25.1%17.8%19.4%
Expected Move6.3%5.1%7.2%5.1%5.6%
HV 20d23.2%16.8%28.8%16.9%28.1%
HV 60d19.2%17.3%20.9%17.7%20.9%
IV Rank17.6%8.9%30.3%9.7%14.2%
IV Percentile35.5%5.6%75.0%7.5%25.0%
Term Structure-0.4%-3.1%4.9%4.5%0.1%
VWIV23.1%17.7%27.8%17.7%21.3%
Skew 25d3.5%1.4%5.1%3.3%1.4%
Skew 10d6.0%-3.3%13.5%10.0%8.1%
Call IV 25d20.5%16.6%23.8%16.6%19.5%
Put IV 25d24.1%19.9%27.8%19.9%20.8%
Bid-Ask Spread %65.4240.9689.9989.9940.96
Gamma HHI0.340.150.740.370.20
Net GEX354.6K-355.1K1.8M518.5K75.0K
Net DEX-1.5M-15.2M5.6M-3.1M2.0M
Net VEX-35.3K-40.7K-27.8K-40.7K-37.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.402.681.081.81
Total Volume1,103.8187751,8677851,244
Total OI7,104.1363,6469,3288,0236,306

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$63.89$65.0017.8%5.1%16.9%9.7%17.7%3.3%4.5%518.5K-3.1M-40.7K1.0889.99N/AN/A3774084,8363,187
2015-07-02$63.44$65.0018.7%5.4%17.0%12.1%18.2%4.6%4.9%375.9K-1.7M-39.1K1.8380.13N/AN/A2745014,8383,189
2015-07-06$63.07$62.5020.3%6.9%16.8%16.7%24.5%3.4%-1.5%189.4K-19.6K-38.0K1.7060.71N/AN/A3055184,8483,348
2015-07-07$62.72$62.5018.9%6.9%16.9%12.7%24.3%3.5%-1.4%-15.0K1.1M-36.3K1.3563.76N/AN/A3755064,8963,364
2015-07-08$61.43$62.5017.5%6.9%18.2%8.9%25.1%5.1%-0.5%-310.7K4.6M-33.6K1.0670.25N/AN/A5035344,9023,390
2015-07-09$61.93$62.5020.5%6.9%18.5%17.1%26.8%4.3%-1.3%-254.1K3.6M-34.8K1.6863.75N/AN/A3415724,9253,460
2015-07-10$62.27$62.5018.9%6.8%18.5%12.7%25.9%3.8%-1.0%-355.1K2.9M-34.6K1.6162.43N/AN/A3225184,9123,552
2015-07-13$64.98$62.5019.5%6.8%23.8%14.5%24.3%4.8%-1.2%1.2M-6.9M-34.6K0.4066.59N/AN/A1,1444534,9193,555
2015-07-14$65.54$62.5020.7%6.6%23.7%17.7%25.6%3.7%-0.9%1.7M-12.0M-35.9K2.0561.68N/AN/A3647465,3953,585
2015-07-15$65.62$62.5023.4%6.7%23.3%25.3%25.6%3.5%-1.1%1.8M-11.8M-35.9K2.5064.06N/AN/A2927305,3873,743
2015-07-16$65.97$62.5023.0%6.6%23.4%24.4%22.4%3.6%-1.4%1.5M-12.8M-34.9K1.7763.45N/AN/A4127295,4003,737
2015-07-17$66.21$62.5023.2%6.7%23.4%25.0%22.4%3.5%-2.2%362.2K-15.2M-34.7K1.3369.23N/AN/A5637515,5743,754
2015-07-20$66.18$62.5023.9%6.8%23.1%26.8%24.1%3.9%-2.9%387.8K-5.1M-35.0K1.0464.22N/AN/A5155352,2601,386
2015-07-21$64.68$62.5025.1%7.2%24.8%30.3%24.9%3.6%-3.1%374.2K-3.8M-36.9K1.2363.60N/AN/A8371,0302,4891,480
2015-07-22$62.90$65.0019.6%5.6%26.7%14.6%18.6%4.4%-0.3%154.6K1.6M-35.7K0.8270.34N/AN/A7025763,0302,029
2015-07-23$62.39$65.0018.8%5.4%26.5%12.5%18.4%2.8%0.6%182.8K1.6M-36.4K1.2873.93N/AN/A4415663,1872,069
2015-07-24$60.55$65.0021.7%6.2%28.3%20.6%18.6%2.5%-0.3%77.1K4.2M-31.6K1.2467.73N/AN/A3884813,2342,116
2015-07-27$59.23$65.0021.1%6.1%28.8%19.0%24.0%3.5%-0.2%34.4K5.6M-27.8K2.4659.23N/AN/A3859463,2952,138
2015-07-28$60.08$65.0021.5%6.2%27.4%20.0%24.4%3.0%-0.5%-50.8K5.4M-32.5K2.4261.04N/AN/A3979613,3372,720
2015-07-29$61.08$65.0020.4%5.8%28.0%16.8%23.4%2.4%1.3%-41.9K4.5M-34.1K2.4272.53N/AN/A3137573,3842,828
2015-07-30$61.87$65.0019.7%5.7%28.0%15.0%27.8%3.2%0.2%-10.3K3.3M-36.6K2.6849.61N/AN/A2647083,3972,910
2015-07-31$62.33$65.0019.4%5.6%28.1%14.2%21.3%1.4%0.1%75.0K2.0M-37.5K1.8140.96N/AN/A4428023,4052,901