AN Options History — September 2015

In September 2015, AN traded between $56.25 and $61.09. ATM implied volatility averaged 28.3%, placing in the 37.4% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 3.3% (HV 20d: 25.0%). Max pain ranged from $60.00 to $62.50. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.52.

Notable Days

  • 2015-09-17: Highest Volume — 1,643 contracts
  • 2015-09-28: Largest IV spike — 41.4% change
  • 2015-09-28: Highest IV Rank — 59.5%
  • 2015-09-28: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.82$56.25$61.09$58.03$58.23
Max Pain$60.71$60.00$62.50$60.00$60.00
ATM IV28.3%25.1%35.9%34.4%28.4%
Expected Move8.0%7.2%10.3%9.9%8.1%
HV 20d25.0%22.3%30.1%24.4%29.9%
HV 60d24.4%23.4%27.4%23.4%27.4%
IV Rank37.4%28.1%59.5%55.4%37.8%
IV Percentile80.7%66.3%96.4%95.2%82.5%
Term Structure0.7%-3.9%2.8%-3.9%2.2%
VWIV26.6%22.8%33.9%32.9%27.4%
Skew 25d5.4%3.7%7.3%6.9%4.0%
Skew 10d10.7%4.4%16.2%10.1%14.5%
Call IV 25d25.6%22.2%30.7%30.7%27.3%
Put IV 25d31.0%26.8%37.6%37.6%31.4%
Bid-Ask Spread %74.5263.5787.3181.4378.08
Gamma HHI0.220.180.280.190.23
Net GEX119.8K-51.6K387.2K55.1K160.7K
Net DEX1.8M-2.4M4.1M2.8M2.3M
Net VEX-28.7K-34.2K-22.5K-32.9K-26.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.804.321.761.24
Total Volume1,229.952791,6431,4911,561
Total OI6,025.195,1896,8195,8746,053

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$58.03$60.0034.4%9.9%24.4%55.4%32.9%6.9%-3.9%55.1K2.8M-32.9K1.7681.43N/AN/A5419503,5392,335
2015-09-02$58.46$60.0031.4%9.0%24.2%46.5%33.9%5.8%-1.4%30.6K2.5M-34.2K1.4083.82N/AN/A5417583,5512,355
2015-09-03$57.98$62.5029.4%8.1%23.8%40.7%26.4%4.0%0.2%-20.4K3.7M-29.5K1.0665.79N/AN/A7237683,5522,378
2015-09-04$57.53$62.5030.6%8.5%23.9%44.1%27.6%5.6%-0.2%16.8K3.5M-31.6K1.2263.57N/AN/A6287643,7852,395
2015-09-08$58.77$62.5031.2%7.6%24.9%45.8%26.0%5.8%1.5%13.9K2.9M-29.3K2.1670.48N/AN/A25543,7762,380
2015-09-09$58.64$62.5027.8%8.0%24.6%36.0%23.7%4.5%-0.3%28.7K2.2M-30.0K1.5274.84N/AN/A4997583,7672,366
2015-09-10$58.63$62.5026.7%7.7%24.6%32.9%26.0%4.3%1.5%-17.9K2.9M-27.0K1.3369.98N/AN/A5777703,7772,365
2015-09-11$58.63$62.5028.0%8.0%24.5%36.7%27.4%5.3%-0.5%-9.4K2.8M-28.1K1.6073.67N/AN/A5649013,9122,412
2015-09-14$58.46$60.0028.4%8.1%24.5%37.8%26.5%6.2%-0.0%-23.5K2.8M-27.1K1.3771.99N/AN/A5647754,0212,503
2015-09-15$58.88$60.0025.6%7.3%24.6%29.6%26.7%5.5%1.6%-51.6K2.6M-26.8K4.3275.06N/AN/A251084,0212,518
2015-09-16$60.60$60.0025.1%7.2%25.0%28.1%25.4%5.3%1.3%193.0K-966.6K-29.3K1.3476.49N/AN/A7009354,0352,522
2015-09-17$61.09$60.0025.2%7.2%24.9%28.4%24.3%3.7%1.4%387.2K-2.4M-31.3K1.2587.31N/AN/A7299144,1322,553
2015-09-18$60.17$60.0025.1%7.2%24.8%28.3%25.1%5.3%1.4%283.9K-760.4K-29.8K1.4173.10N/AN/A5557824,1972,622
2015-09-21$60.92$60.0025.1%7.2%22.3%28.1%22.8%5.1%2.1%380.2K-949.4K-30.1K1.8368.19N/AN/A3516433,2971,892
2015-09-22$59.67$60.0025.8%7.4%23.2%30.1%26.0%5.2%2.8%263.0K494.6K-28.0K2.1569.85N/AN/A3427373,3201,871
2015-09-23$59.66$60.0025.6%7.3%23.2%29.5%24.9%5.5%2.8%257.1K651.4K-28.0K0.8077.72N/AN/A7355903,3681,917
2015-09-24$58.60$60.0028.4%8.2%23.5%37.9%25.8%5.5%1.5%206.7K1.8M-28.1K0.8575.81N/AN/A6975893,7361,931
2015-09-25$59.41$60.0025.4%7.3%23.2%28.9%25.3%5.9%2.7%287.0K715.7K-29.1K1.0269.60N/AN/A5805923,7481,931
2015-09-28$56.25$60.0035.9%10.3%30.0%59.5%26.8%7.2%-3.6%32.5K4.1M-22.5K1.0779.71N/AN/A6336773,8121,931
2015-09-29$56.61$60.0030.1%8.6%30.1%42.7%27.7%7.3%1.6%41.7K4.1M-23.9K1.2678.48N/AN/A5286663,9232,030
2015-09-30$58.23$60.0028.4%8.1%29.9%37.8%27.4%4.0%2.2%160.7K2.3M-26.2K1.2478.08N/AN/A6968654,0282,025