AN Options History — November 2015

In November 2015, AN traded between $59.78 and $65.23. ATM implied volatility averaged 23.4%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 0.1% (HV 20d: 23.4%). Max pain ranged from $60.00 to $62.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.87.

Notable Days

  • 2015-11-03: Highest Volume — 1,827 contracts
  • 2015-11-09: Largest IV spike — 20.9% change
  • 2015-11-13: Highest IV Rank — 41.8%
  • 2015-11-13: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.42$59.78$65.23$63.32$63.92
Max Pain$62.13$60.00$62.50$60.00$62.50
ATM IV23.4%21.0%26.4%24.1%22.9%
Expected Move6.7%6.1%7.6%6.9%6.6%
HV 20d23.4%16.5%28.2%18.5%27.2%
HV 60d26.3%25.2%27.2%25.3%26.2%
IV Rank30.3%21.3%41.8%32.8%28.2%
IV Percentile50.6%25.4%75.4%58.3%46.0%
Term Structure-0.2%-1.2%1.0%-1.0%-1.2%
VWIV23.5%21.1%25.6%22.0%25.1%
Skew 25d4.2%3.1%5.9%4.4%4.2%
Skew 10d8.6%4.4%13.0%6.9%4.9%
Call IV 25d21.7%19.8%24.1%21.2%22.4%
Put IV 25d25.9%24.2%29.9%25.6%26.6%
Bid-Ask Spread %59.6244.2089.6457.2089.64
Gamma HHI0.660.550.700.650.68
Net GEX1.9M808.6K2.4M1.9M2.4M
Net DEX-14.3M-22.7M-1.5M-14.9M-14.2M
Net VEX-61.4K-73.7K-47.0K-69.7K-54.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.022.820.321.21
Total Volume766.8641,8271,51064
Total OI9,693.558,40810,6169,5848,911

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$63.32$60.0024.1%6.9%18.5%32.8%22.0%4.4%-1.0%1.9M-14.9M-69.7K0.3257.20N/AN/A1,1463647,3862,198
2015-11-03$63.80$60.0021.2%6.1%16.5%22.1%21.1%3.9%0.1%2.2M-17.4M-73.7K0.2544.20N/AN/A1,4633647,8012,202
2015-11-04$65.23$60.0021.8%6.2%17.7%24.0%22.3%4.7%-0.1%2.0M-22.7M-72.5K0.7348.50N/AN/A7725647,3692,214
2015-11-05$64.45$62.5021.8%6.2%18.1%24.3%23.3%3.8%0.2%1.9M-19.6M-72.7K1.1360.90N/AN/A3634107,4742,372
2015-11-06$64.00$62.5021.0%6.2%18.4%21.3%23.5%4.2%0.1%1.9M-17.2M-69.9K0.4166.38N/AN/A64267,4782,397
2015-11-09$63.66$62.5025.4%6.7%18.5%37.9%21.6%4.3%-0.4%1.9M-15.8M-67.9K2.8270.14N/AN/A601697,4932,413
2015-11-10$64.13$62.5022.3%6.3%17.8%26.0%23.4%4.7%0.1%2.0M-17.7M-67.7K1.7264.76N/AN/A2985127,4862,438
2015-11-11$64.45$62.5021.6%6.2%17.8%23.3%23.4%4.0%1.0%2.1M-18.8M-66.6K1.7063.69N/AN/A3015127,4862,451
2015-11-12$62.06$62.5024.1%6.9%21.5%32.9%25.1%3.9%-0.5%1.5M-8.8M-57.6K1.4362.76N/AN/A3565087,5022,444
2015-11-13$59.78$62.5026.4%7.6%25.4%41.8%25.6%5.9%-0.3%808.6K-1.5M-47.0K1.2570.93N/AN/A4165207,5152,445
2015-11-16$61.44$62.5025.0%7.2%26.8%36.3%24.4%4.0%-0.5%1.2M-5.9M-50.5K0.2645.57N/AN/A235627,5662,463
2015-11-17$62.73$62.5025.4%7.3%27.8%37.7%25.3%5.3%-0.3%1.7M-11.4M-55.8K0.5551.06N/AN/A9054977,6672,493
2015-11-18$63.54$62.5025.0%7.2%27.9%36.4%24.5%4.4%0.0%2.0M-15.9M-60.8K0.7847.77N/AN/A6364968,0242,575
2015-11-19$63.03$62.5024.4%7.0%28.1%34.0%25.4%3.9%-0.3%1.8M-13.6M-58.3K0.6348.56N/AN/A4873088,0172,577
2015-11-20$63.38$62.5024.0%6.9%28.2%32.4%23.5%3.4%-0.3%1.9M-14.4M-56.6K0.7365.83N/AN/A3812778,0162,600
2015-11-23$63.07$62.5023.7%6.8%28.2%31.4%23.5%4.1%-0.2%1.9M-10.7M-53.1K0.4652.38N/AN/A103476,8671,541
2015-11-24$63.50$62.5023.6%6.8%27.8%30.8%21.2%4.5%-0.1%2.1M-11.9M-53.9K0.0248.70N/AN/A12826,9391,564
2015-11-25$64.65$62.5022.4%6.4%27.4%26.6%22.3%3.1%-0.3%2.4M-17.1M-57.9K0.5063.43N/AN/A5152587,0171,564
2015-11-27$64.33$62.5022.1%6.3%27.5%25.5%23.4%3.4%0.2%2.3M-16.3M-60.6K0.5470.02N/AN/A4862617,2561,650
2015-11-30$63.92$62.5022.9%6.6%27.2%28.2%25.1%4.2%-1.2%2.4M-14.2M-54.8K1.2189.64N/AN/A29357,2541,657