AN Options History — December 2015

In December 2015, AN traded between $59.25 and $64.48. ATM implied volatility averaged 24.6%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 2.3% (HV 20d: 22.4%). Max pain ranged from $62.50 to $65.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.54.

Notable Days

  • 2015-12-22: Highest Volume — 1,260 contracts
  • 2015-12-11: Largest IV spike — 19.7% change
  • 2015-12-14: Highest IV Rank — 53.8%
  • 2015-12-14: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.45$59.25$64.48$64.48$59.73
Max Pain$62.61$62.50$65.00$62.50$62.50
ATM IV24.6%22.1%29.6%22.1%23.9%
Expected Move7.0%6.3%8.5%6.3%6.9%
HV 20d22.4%17.1%27.3%27.3%19.6%
HV 60d25.1%21.8%26.5%26.2%21.8%
IV Rank35.0%25.4%53.8%25.4%32.2%
IV Percentile61.1%39.3%90.1%39.3%57.5%
Term Structure1.9%-1.1%4.2%0.3%3.5%
VWIV24.9%22.4%28.2%22.4%26.6%
Skew 25d4.2%2.5%6.0%4.0%2.5%
Skew 10d7.4%0.6%11.0%11.0%0.8%
Call IV 25d22.6%20.8%26.6%21.2%22.9%
Put IV 25d26.9%24.9%31.3%25.2%25.4%
Bid-Ask Spread %88.0081.8391.9384.5487.99
Gamma HHI0.420.170.730.690.17
Net GEX1.1M35.0K2.7M2.7M236.0K
Net DEX-3.9M-16.6M3.4M-16.6M165.5K
Net VEX-33.4K-55.5K-21.0K-55.5K-25.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.250.890.260.42
Total Volume673.773351,260152609
Total OI7,695.5914,4449,5328,9255,325

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$64.48$62.5022.1%6.3%27.3%25.4%22.4%4.0%0.3%2.7M-16.6M-55.5K0.2684.54N/AN/A121317,2611,664
2015-12-02$64.28$62.5022.3%6.4%27.3%26.0%22.9%3.7%-0.5%2.7M-15.5M-54.1K0.3588.57N/AN/A4331507,3101,658
2015-12-03$62.87$65.0025.2%6.8%27.1%37.1%23.1%5.4%1.9%2.0M-9.1M-47.4K0.3091.06N/AN/A5591697,3101,658
2015-12-04$63.48$62.5023.9%6.6%27.1%32.1%22.9%4.4%2.8%2.5M-11.5M-49.5K0.5090.87N/AN/A4092047,4371,677
2015-12-07$63.17$62.5026.0%6.7%27.1%40.0%22.4%4.9%1.5%2.4M-9.2M-43.0K0.2591.93N/AN/A2877,4191,704
2015-12-08$62.59$62.5026.0%6.8%27.2%40.0%23.8%4.8%2.0%2.0M-6.7M-39.8K0.8587.97N/AN/A2442077,4471,708
2015-12-09$63.02$62.5024.2%6.9%27.2%33.1%24.1%4.4%1.5%2.3M-8.0M-40.6K0.5590.08N/AN/A3692047,4701,731
2015-12-10$62.72$62.5024.0%6.9%27.1%32.4%23.7%3.2%2.3%2.1M-6.6M-38.2K0.5288.83N/AN/A3882037,4461,755
2015-12-11$61.21$62.5028.7%8.2%25.1%50.3%27.1%5.5%-1.1%1.1M-2.4M-32.2K0.8988.41N/AN/A2492227,4441,761
2015-12-14$61.02$62.5029.6%8.5%21.0%53.8%28.2%4.7%-1.0%732.5K-577.4K-27.1K0.4588.89N/AN/A4832157,4341,768
2015-12-15$61.09$62.5027.2%7.8%18.6%44.8%26.6%5.1%0.5%668.6K-790.0K-28.7K0.4890.71N/AN/A4872327,6731,753
2015-12-16$61.54$62.5024.2%6.9%17.1%33.3%26.3%4.8%0.9%399.4K-698.7K-26.7K0.5791.44N/AN/A4962827,6891,728
2015-12-17$59.88$62.5025.4%7.3%18.7%37.7%27.4%4.3%1.1%35.0K1.5M-23.5K0.6390.23N/AN/A4352767,7211,742
2015-12-18$59.25$62.5025.3%7.3%18.8%37.5%25.8%6.0%0.3%140.1K3.4M-21.0K0.5490.68N/AN/A6833717,7231,809
2015-12-21$59.36$62.5023.6%6.8%18.6%31.2%26.1%4.2%4.0%150.6K872.3K-22.2K0.6891.22N/AN/A6114133,1791,265
2015-12-22$60.56$62.5023.2%6.7%20.4%29.6%24.6%2.9%3.9%253.0K-294.6K-24.3K0.4083.91N/AN/A9003603,2451,388
2015-12-23$60.72$62.5023.1%6.6%20.2%29.2%23.6%3.6%4.2%325.8K-1.0M-27.2K0.7581.83N/AN/A4353273,5661,417
2015-12-24$60.20$62.5023.0%6.6%18.8%28.7%23.9%3.6%3.6%290.6K-655.2K-28.5K0.7382.84N/AN/A4403233,7411,497
2015-12-28$59.73$62.5023.9%6.8%18.9%32.1%27.2%3.8%3.6%224.0K153.9K-26.2K0.6882.06N/AN/A4673183,7361,495
2015-12-29$60.64$62.5023.9%6.8%20.0%32.1%23.3%3.7%3.8%338.2K-1.1M-27.0K0.7184.20N/AN/A4753393,7521,505
2015-12-30$60.31$62.5023.6%6.8%19.5%31.1%25.4%3.7%3.5%308.2K-744.8K-26.4K0.4687.82N/AN/A4462033,7751,517
2015-12-31$59.73$62.5023.9%6.9%19.6%32.2%26.6%2.5%3.5%236.0K165.5K-25.4K0.4287.99N/AN/A4301793,7941,531