AN Options History — August 2015

In August 2015, AN traded between $58.23 and $62.53. ATM implied volatility averaged 25.1%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 0.8% (HV 20d: 24.4%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.72.

Notable Days

  • 2015-08-18: Highest Volume — 2,132 contracts
  • 2015-08-24: Largest IV spike — 40.8% change
  • 2015-08-24: Highest IV Rank — 68.2%
  • 2015-08-24: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.51$58.23$62.53$61.21$59.95
Max Pain$62.26$60.00$65.00$65.00$60.00
ATM IV25.1%19.6%38.9%21.7%28.9%
Expected Move7.2%5.6%11.1%6.2%8.3%
HV 20d24.4%21.7%28.7%28.7%21.7%
HV 60d22.0%21.2%22.6%21.2%22.6%
IV Rank29.2%14.7%68.2%20.5%39.2%
IV Percentile59.4%28.2%98.4%44.0%86.5%
Term Structure-0.9%-7.7%1.0%-0.2%-1.0%
VWIV24.1%19.6%33.5%21.3%32.7%
Skew 25d3.9%0.9%10.5%1.7%5.3%
Skew 10d8.7%0.5%24.5%0.5%11.0%
Call IV 25d23.2%19.1%33.3%20.9%28.1%
Put IV 25d27.1%20.9%43.8%22.6%33.4%
Bid-Ask Spread %66.0332.6184.7732.8775.18
Gamma HHI0.200.160.260.170.21
Net GEX-13.7K-146.3K214.9K-40.0K181.0K
Net DEX3.9M-410.0K9.1M4.1M151.1K
Net VEX-34.4K-39.7K-30.7K-34.1K-37.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.720.822.971.231.94
Total Volume1,252.476542,1324221,441
Total OI6,531.5244,7807,5706,3275,887

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$61.21$65.0021.7%6.2%28.7%20.5%21.3%1.7%-0.2%-40.0K4.1M-34.1K1.2332.87N/AN/A1892333,4102,917
2015-08-04$61.09$65.0021.0%6.0%28.7%18.5%19.6%2.1%0.3%-89.5K4.3M-34.5K2.1333.23N/AN/A3938363,4513,044
2015-08-05$61.79$65.0020.0%5.7%28.1%15.7%19.9%0.9%-0.4%-14.3K3.2M-35.7K2.3332.61N/AN/A3979253,5103,070
2015-08-06$60.88$62.5021.3%6.2%28.4%19.5%21.0%3.5%0.5%-120.5K5.0M-33.9K2.1848.28N/AN/A3657943,5103,141
2015-08-07$60.54$62.5021.4%6.1%28.3%19.9%20.6%3.5%0.4%-146.3K5.8M-33.1K1.5053.95N/AN/A5097613,5913,233
2015-08-10$61.26$62.5019.6%5.6%23.7%14.7%20.1%2.6%0.7%-53.6K4.2M-33.9K1.2852.49N/AN/A6348113,6563,249
2015-08-11$60.60$62.5022.4%6.2%23.5%22.7%22.0%2.5%0.4%-107.5K5.8M-32.4K2.9763.62N/AN/A1043093,5893,283
2015-08-12$60.42$62.5021.9%6.3%23.4%21.2%20.8%3.5%0.4%-130.9K6.2M-33.2K1.5865.71N/AN/A4847673,6113,372
2015-08-13$60.72$62.5021.6%6.2%23.4%18.1%20.6%2.7%0.7%-113.9K5.6M-34.0K1.9968.15N/AN/A3787513,6163,417
2015-08-14$60.60$62.5021.9%6.3%23.2%19.0%21.2%2.2%0.6%-127.0K6.0M-32.9K2.2678.77N/AN/A3327513,6233,416
2015-08-17$60.88$62.5021.8%6.2%23.4%18.5%22.1%2.3%-1.4%-144.6K5.8M-30.7K2.0879.02N/AN/A3707683,6233,416
2015-08-18$62.53$62.5020.9%6.0%24.7%16.1%21.1%2.7%1.0%37.5K1.8M-33.6K1.0980.81N/AN/A1,0201,1123,6453,433
2015-08-19$61.88$62.5021.7%6.2%23.0%18.4%23.1%3.0%0.2%93.0K3.1M-34.8K1.0076.96N/AN/A27273,9223,569
2015-08-20$60.86$62.5024.3%7.0%23.5%25.8%22.6%2.4%-0.1%-8.4K4.8M-34.1K2.0580.68N/AN/A4879963,9403,562
2015-08-21$58.97$62.5027.6%7.9%23.8%35.4%20.7%5.1%-1.1%-3.7K9.1M-31.8K1.9879.57N/AN/A5481,0844,0073,563
2015-08-24$58.23$62.5038.9%11.1%22.9%68.2%32.0%10.5%-7.3%-11.3K3.5M-34.2K1.3284.77N/AN/A5607412,5672,213
2015-08-25$58.31$60.0037.7%10.8%22.3%64.7%27.2%9.0%-7.7%17.3K2.3M-33.6K0.8283.44N/AN/A9838102,7912,205
2015-08-26$59.21$60.0034.6%9.9%22.1%55.7%30.6%3.5%-3.3%104.5K1.6M-36.2K1.0779.11N/AN/A8258823,2722,220
2015-08-27$60.22$60.0029.2%8.4%22.5%40.2%33.5%7.0%-0.9%175.9K93.6K-39.5K1.5769.29N/AN/A5739013,4422,333
2015-08-28$60.47$60.0029.3%8.4%22.4%40.5%32.5%6.0%-1.2%214.9K-410.0K-39.7K1.7868.17N/AN/A5139113,5082,335
2015-08-31$59.95$60.0028.9%8.3%21.7%39.2%32.7%5.3%-1.0%181.0K151.1K-37.4K1.9475.18N/AN/A4909513,5522,335