AN Options History — January 2016

In January 2016, AN traded between $41.49 and $58.66. ATM implied volatility averaged 37.7%, placing in the 69.2% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 4.9% (HV 20d: 42.6%). Max pain ranged from $46.00 to $60.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.64.

Notable Days

2016-01-06: Highest Volume — 2,444 contracts
2016-01-11: Largest IV spike — 34.9% change
2016-01-11: Highest IV Rank — 100.0%
2016-01-20: Largest Expected Move — 11.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.50	$41.49	$58.66	$58.66	$42.43
Max Pain	$52.61	$46.00	$60.00	$60.00	$46.00
ATM IV	37.7%	29.7%	50.0%	32.1%	31.7%
Expected Move	10.3%	8.5%	11.4%	8.7%	9.1%
HV 20d	42.6%	19.2%	49.5%	19.2%	49.5%
HV 60d	32.4%	22.1%	36.2%	22.1%	36.2%
IV Rank	69.2%	47.0%	100.0%	63.1%	47.0%
IV Percentile	96.1%	89.7%	100.0%	94.0%	89.7%
Term Structure	-3.3%	-5.2%	-0.5%	-2.3%	-0.5%
VWIV	35.9%	29.9%	41.1%	30.0%	33.3%
Skew 25d	6.5%	4.2%	8.2%	5.5%	5.7%
Skew 10d	11.6%	-3.0%	24.2%	8.6%	24.2%
Call IV 25d	33.3%	26.9%	36.3%	26.9%	29.3%
Put IV 25d	39.8%	32.4%	44.3%	32.4%	34.9%
Bid-Ask Spread %	61.87	53.09	84.23	54.70	84.23
Gamma HHI	0.18	0.11	0.34	0.17	0.11
Net GEX	19.6K	-47.2K	132.0K	132.0K	8.8K
Net DEX	4.5M	1.3M	7.8M	1.3M	3.4M
Net VEX	-12.9K	-23.0K	-8.5K	-23.0K	-11.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.38	1.02	0.47	0.53
Total Volume	1,296.053	624	2,444	718	1,986
Total OI	5,773.158	3,669	7,568	5,360	5,711

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-01-04	$58.66	$60.00	32.1%	8.7%	19.2%	63.1%	30.0%	5.5%	-2.3%	132.0K	1.3M	-23.0K	0.47	54.70	N/A	N/A	488	230	3,817	1,543
2016-01-05	$56.80	$60.00	29.7%	8.5%	21.1%	54.1%	29.9%	5.1%	-2.5%	-19.8K	3.2M	-19.2K	0.76	58.22	N/A	N/A	355	269	3,843	1,605
2016-01-06	$50.73	$57.50	37.4%	10.0%	43.6%	83.3%	36.1%	5.5%	-2.5%	-40.2K	6.4M	-9.1K	0.52	53.09	N/A	N/A	1,604	840	3,895	1,609
2016-01-07	$49.17	$55.00	41.7%	10.5%	44.1%	99.6%	33.2%	6.2%	-3.1%	61.9K	5.8M	-15.0K	0.84	68.23	N/A	N/A	718	600	4,873	2,108
2016-01-08	$48.74	$55.00	37.1%	10.0%	43.6%	82.1%	34.5%	7.1%	-1.0%	72.9K	6.1M	-14.7K	0.62	63.38	N/A	N/A	600	372	4,937	2,143
2016-01-11	$48.55	$55.00	50.0%	10.3%	43.6%	100.0%	35.4%	6.6%	-3.7%	71.0K	6.1M	-13.4K	0.57	55.64	N/A	N/A	661	375	4,979	2,170
2016-01-12	$48.00	$55.00	41.7%	10.2%	43.4%	75.9%	35.1%	6.7%	-4.2%	58.2K	7.1M	-11.8K	0.65	56.58	N/A	N/A	608	394	5,110	2,193
2016-01-13	$46.90	$52.50	36.7%	10.5%	43.4%	61.6%	36.6%	8.1%	-2.7%	11.1K	7.4M	-11.3K	0.91	67.93	N/A	N/A	498	451	5,187	2,285
2016-01-14	$47.56	$52.50	36.4%	10.4%	44.2%	60.7%	37.9%	4.2%	-5.2%	5.1K	7.2M	-12.6K	0.86	62.41	N/A	N/A	509	436	5,207	2,344
2016-01-15	$46.58	$52.50	39.6%	11.3%	43.7%	69.8%	40.6%	8.2%	-5.1%	5.5K	7.8M	-11.4K	0.81	62.32	N/A	N/A	530	428	5,216	2,352
2016-01-19	$44.65	$52.50	38.8%	11.1%	44.6%	67.4%	39.8%	6.7%	-4.0%	-10.9K	3.2M	-8.5K	0.67	53.92	N/A	N/A	595	400	2,544	1,125
2016-01-20	$46.10	$50.00	39.6%	11.4%	47.6%	70.0%	41.1%	7.6%	-4.2%	-117	2.5M	-11.2K	1.02	55.91	N/A	N/A	676	689	2,731	1,307
2016-01-21	$45.90	$50.00	38.9%	11.2%	47.4%	67.9%	39.7%	7.0%	-4.3%	-4.7K	2.6M	-12.5K	0.59	56.32	N/A	N/A	733	433	2,811	1,490
2016-01-22	$45.68	$50.00	36.4%	10.4%	45.9%	60.7%	37.2%	6.4%	-3.2%	-2.1K	2.7M	-11.9K	0.62	56.18	N/A	N/A	724	451	2,936	1,516
2016-01-25	$45.13	$50.00	38.7%	11.1%	45.5%	67.3%	38.4%	6.5%	-4.6%	-8.6K	2.9M	-11.7K	0.39	59.65	N/A	N/A	1,166	460	2,976	1,546
2016-01-26	$45.44	$49.00	38.2%	11.0%	46.1%	65.8%	36.4%	7.0%	-4.3%	58.7K	2.2M	-14.4K	0.38	64.92	N/A	N/A	1,158	435	3,516	1,579
2016-01-27	$43.99	$49.00	38.3%	11.0%	46.5%	66.2%	37.4%	7.0%	-4.7%	20.5K	3.0M	-12.4K	0.47	65.60	N/A	N/A	1,200	561	3,541	1,566
2016-01-28	$41.49	$48.00	33.5%	9.6%	47.4%	52.3%	30.1%	5.7%	-0.6%	-47.2K	4.7M	-8.9K	0.52	76.22	N/A	N/A	1,309	683	3,683	1,696
2016-01-29	$42.43	$46.00	31.7%	9.1%	49.5%	47.0%	33.3%	5.7%	-0.5%	8.8K	3.4M	-11.8K	0.53	84.23	N/A	N/A	1,294	692	4,005	1,706