AN Options History — October 2015

In October 2015, AN traded between $57.80 and $63.27. ATM implied volatility averaged 26.8%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 2.7% (HV 20d: 29.4%). Max pain ranged from $57.50 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.07.

Notable Days

  • 2015-10-27: Highest Volume — 4,108 contracts
  • 2015-10-28: Largest IV drop — 30.5% change
  • 2015-10-27: Highest IV Rank — 68.8%
  • 2015-10-27: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.00$57.80$63.27$57.80$63.27
Max Pain$59.43$57.50$60.00$60.00$60.00
ATM IV26.8%23.1%33.6%29.5%23.4%
Expected Move8.0%6.6%9.6%8.5%6.7%
HV 20d29.4%20.2%33.1%29.9%20.2%
HV 60d26.3%25.0%28.0%27.1%25.3%
IV Rank38.2%27.3%68.8%41.0%30.3%
IV Percentile74.2%47.2%96.0%86.1%52.8%
Term Structure-2.0%-5.4%3.5%1.4%-1.4%
VWIV28.0%22.3%33.4%27.2%22.9%
Skew 25d4.7%3.7%5.8%5.8%4.0%
Skew 10d9.5%4.3%14.1%5.0%9.2%
Call IV 25d25.7%20.4%31.6%26.1%20.4%
Put IV 25d30.4%24.4%35.6%31.9%24.4%
Bid-Ask Spread %70.5555.8292.7292.7274.20
Gamma HHI0.320.180.640.180.64
Net GEX540.5K121.9K1.7M138.9K1.7M
Net DEX-2.8M-15.2M2.9M2.9M-15.2M
Net VEX-36.2K-72.4K-26.5K-28.3K-72.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.071.961.500.77
Total Volume1,3573154,1081,585963
Total OI6,334.9553,2609,5276,4709,523

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$57.80$60.0029.5%8.5%29.9%41.0%27.2%5.8%1.4%138.9K2.9M-28.3K1.5092.72N/AN/A6339524,2642,206
2015-10-02$59.32$60.0025.8%7.4%31.2%30.3%27.3%4.7%3.5%315.3K625.3K-32.2K1.3682.30N/AN/A6819234,2962,304
2015-10-05$60.81$57.5026.1%8.3%32.1%31.2%27.7%4.7%-2.5%600.3K-2.6M-34.2K0.0755.82N/AN/A294214,4362,309
2015-10-06$59.55$57.5026.5%8.4%32.3%32.2%30.1%5.0%-1.7%398.6K-333.6K-32.4K1.4262.02N/AN/A3995684,5542,320
2015-10-07$59.59$57.5025.9%8.3%32.3%30.6%31.2%5.4%-2.4%333.5K142.5K-31.1K1.5761.57N/AN/A3615664,4632,326
2015-10-08$60.56$57.5025.2%8.4%32.8%28.5%30.0%5.4%-2.8%505.5K-1.8M-31.5K1.7364.01N/AN/A3245604,4502,327
2015-10-09$60.92$57.5024.8%8.4%32.8%27.3%28.9%4.1%-3.3%628.0K-2.6M-30.7K1.6774.84N/AN/A3385634,4712,321
2015-10-12$60.68$60.0026.0%8.3%32.8%30.8%29.5%5.5%-3.0%541.7K-1.9M-28.1K1.9668.74N/AN/A3687214,4612,328
2015-10-13$59.99$60.0025.9%8.1%33.1%30.5%29.5%4.9%-2.6%278.0K-49.9K-26.9K1.1567.76N/AN/A5165914,4912,393
2015-10-14$59.92$60.0028.7%8.2%31.4%38.7%30.0%4.8%-2.7%202.2K208.9K-26.5K1.5970.86N/AN/A4917794,4802,417
2015-10-15$61.39$60.0027.1%7.8%32.5%34.0%29.6%4.5%-2.0%825.6K-2.2M-28.4K1.5665.74N/AN/A4577114,5152,606
2015-10-16$61.24$60.0028.0%8.0%32.0%47.5%26.4%4.6%-2.9%121.9K-1.4M-26.9K1.5165.58N/AN/A4767204,5032,605
2015-10-19$62.14$60.0026.7%7.7%32.1%42.9%26.4%4.7%-2.3%175.0K-1.3M-27.1K1.0469.97N/AN/A4044191,8711,389
2015-10-20$62.22$60.0026.6%7.6%31.1%42.5%26.9%5.0%-1.9%202.5K-1.8M-29.1K0.6870.33N/AN/A6404382,0211,430
2015-10-21$61.64$60.0027.1%7.8%31.3%44.1%27.6%4.7%-2.3%249.1K-1.6M-30.8K0.7067.56N/AN/A6204362,3781,469
2015-10-22$61.64$60.0027.4%7.8%30.5%45.2%28.1%4.7%-2.4%245.7K-1.7M-31.1K0.7271.15N/AN/A6494672,3751,484
2015-10-23$61.58$60.0027.4%7.9%30.2%45.4%27.5%5.0%-2.3%240.0K-1.3M-31.1K0.7371.27N/AN/A5764212,4351,528
2015-10-26$61.83$60.0031.1%8.9%21.6%59.3%29.8%4.3%-4.5%248.4K-1.6M-30.6K0.1572.01N/AN/A3,4535122,4491,532
2015-10-27$61.04$60.0033.6%9.6%22.5%68.8%33.4%4.0%-5.4%781.9K-5.4M-49.6K0.4870.27N/AN/A2,7691,3395,1481,598
2015-10-28$62.43$60.0023.4%6.7%21.8%30.1%22.9%3.7%-0.3%1.5M-11.2M-68.4K0.4282.63N/AN/A1,1764967,1702,196
2015-10-29$62.37$60.0023.1%6.6%21.4%29.0%22.3%4.0%-0.5%1.6M-11.4M-69.5K0.8270.78N/AN/A5834807,3362,191
2015-10-30$63.27$60.0023.4%6.7%20.2%30.3%22.9%4.0%-1.4%1.7M-15.2M-72.4K0.7774.20N/AN/A5434207,3402,183