AN Options History — February 2016

In February 2016, AN traded between $43.38 and $51.90. ATM implied volatility averaged 35.6%, placing in the 58.2% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 13.9% (HV 20d: 49.5%). Max pain ranged from $44.00 to $47.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.82.

Notable Days

  • 2016-02-03: Highest Volume — 5,604 contracts
  • 2016-02-08: Largest IV spike — 17.6% change
  • 2016-02-09: Highest IV Rank — 81.9%
  • 2016-02-11: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.07$43.38$51.90$45.12$51.52
Max Pain$45.40$44.00$47.00$45.00$47.00
ATM IV35.6%31.5%43.8%32.2%32.9%
Expected Move10.1%9.0%11.6%9.2%9.4%
HV 20d49.5%41.4%58.8%56.9%41.5%
HV 60d40.9%38.7%42.3%38.7%42.2%
IV Rank58.2%46.5%81.9%48.5%50.6%
IV Percentile90.7%83.3%99.6%90.5%85.3%
Term Structure-0.9%-3.0%0.7%-1.9%-2.1%
VWIV37.5%32.8%44.8%32.8%35.2%
Skew 25d6.9%4.9%8.6%5.8%4.9%
Skew 10d16.6%4.8%30.0%19.0%4.8%
Call IV 25d32.3%29.2%37.3%29.8%31.8%
Put IV 25d39.2%35.6%44.9%35.6%36.7%
Bid-Ask Spread %60.8644.3084.5475.1677.95
Gamma HHI0.160.120.240.140.24
Net GEX426.3K-17.6K680.2K156.3K608.9K
Net DEX-7.8M-14.5M3.7M167.6K-13.5M
Net VEX-35.7K-44.6K-17.5K-17.5K-36.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.261.920.651.07
Total Volume2,870.151,0525,6043,5551,142
Total OI10,017.26,22911,9536,2299,877

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$45.12$45.0032.2%9.2%56.9%48.5%32.8%5.8%-1.9%156.3K167.6K-17.5K0.6575.16N/AN/A2,1561,3994,4231,806
2016-02-02$43.38$45.0036.4%10.4%57.6%60.6%35.3%6.7%-2.4%-17.6K3.7M-20.8K0.4279.16N/AN/A1,6596945,0462,638
2016-02-03$44.44$45.0035.2%10.1%58.8%57.2%34.7%6.1%-1.0%46.4K1.6M-24.2K0.4984.54N/AN/A3,7511,8535,2542,779
2016-02-04$46.39$44.0035.6%9.8%48.5%58.3%35.2%8.4%-0.0%421.7K-5.4M-43.3K0.8044.30N/AN/A2,3041,8387,3933,858
2016-02-05$45.69$44.0035.8%10.1%47.7%58.9%36.1%7.2%-1.2%330.3K-3.6M-42.5K0.8249.67N/AN/A2,5112,0477,3033,880
2016-02-08$44.78$44.0042.1%11.1%48.0%77.0%37.8%8.4%-0.7%224.8K-1.0M-40.9K0.4944.47N/AN/A2,0771,0097,4044,044
2016-02-09$46.45$45.0043.8%11.4%50.1%81.9%38.8%7.1%-1.5%333.4K-5.2M-43.3K0.3947.96N/AN/A2,1638477,3704,073
2016-02-10$46.79$45.0038.6%11.1%50.1%66.9%39.0%8.6%0.7%398.4K-6.9M-44.4K0.3951.31N/AN/A2,0317887,6034,191
2016-02-11$46.91$45.0040.6%11.6%49.5%72.7%39.9%7.6%-3.0%401.7K-7.0M-44.6K0.3150.98N/AN/A2,0936587,6294,190
2016-02-12$48.14$45.0036.4%10.4%50.1%60.6%40.8%8.4%0.6%596.7K-10.9M-42.6K0.8148.03N/AN/A1,9751,5997,7464,207
2016-02-16$49.19$45.0035.6%10.2%49.9%58.4%44.1%8.5%-0.1%643.3K-12.6M-32.9K1.3046.88N/AN/A1,2411,6127,1503,618
2016-02-17$49.63$45.0033.7%9.7%47.0%52.8%44.8%7.6%-0.4%645.6K-13.8M-32.1K1.3052.67N/AN/A1,1461,4877,0943,702
2016-02-18$49.93$45.0034.0%9.8%46.0%53.8%41.2%7.4%-0.9%680.2K-14.5M-30.9K1.7362.23N/AN/A1,0311,7837,1113,719
2016-02-19$47.91$46.0034.2%9.8%48.7%54.2%38.6%6.4%0.2%418.9K-8.9M-31.7K1.9257.08N/AN/A1,0982,1117,1624,094
2016-02-22$49.78$46.0032.1%9.2%50.2%48.2%34.6%5.4%-0.9%420.5K-8.7M-32.0K0.8868.37N/AN/A5594935,2502,247
2016-02-23$50.40$46.0034.6%9.9%49.9%55.3%34.0%6.1%-1.1%428.4K-10.1M-32.4K0.4963.14N/AN/A2,0521,0015,3642,267
2016-02-24$51.31$47.0033.7%9.7%50.1%52.8%33.4%5.9%-1.4%566.1K-12.1M-39.8K0.2665.31N/AN/A2,0975456,6532,713
2016-02-25$51.90$47.0032.4%9.3%48.0%49.1%37.5%6.3%-1.1%609.3K-13.6M-41.4K0.9169.01N/AN/A6595986,7632,910
2016-02-26$51.70$47.0031.5%9.0%41.4%46.5%35.9%5.7%-0.9%612.4K-13.6M-40.0K1.0778.93N/AN/A6276696,7933,020
2016-02-29$51.52$47.0032.9%9.4%41.5%50.6%35.2%4.9%-2.1%608.9K-13.5M-36.3K1.0777.95N/AN/A5515916,8073,070