AN Options History — March 2016

In March 2016, AN traded between $46.67 and $52.99. ATM implied volatility averaged 31.1%, placing in the 45.3% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 5.1% (HV 20d: 36.2%). Max pain ranged from $47.00 to $50.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 2.91.

Notable Days

  • 2016-03-15: Highest Volume — 8,468 contracts
  • 2016-03-22: Largest IV drop — 10.0% change
  • 2016-03-08: Highest IV Rank — 57.7%
  • 2016-03-15: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.52$46.67$52.99$52.54$46.67
Max Pain$49.73$47.00$50.00$47.00$50.00
ATM IV31.1%26.9%35.4%33.1%30.2%
Expected Move8.8%7.7%9.6%9.5%8.6%
HV 20d36.2%31.6%39.6%36.9%35.0%
HV 60d44.6%42.5%45.6%42.5%45.6%
IV Rank45.3%33.2%57.7%51.2%42.6%
IV Percentile78.4%63.9%89.3%85.3%74.6%
Term Structure0.8%-2.0%4.5%-2.0%1.8%
VWIV31.6%27.3%35.2%34.2%32.0%
Skew 25d5.0%1.9%6.5%5.1%5.6%
Skew 10d11.4%7.0%23.2%7.5%8.8%
Call IV 25d28.5%24.8%31.6%30.1%27.7%
Put IV 25d33.5%28.6%36.8%35.2%33.3%
Bid-Ask Spread %64.3315.6582.1875.9535.18
Gamma HHI0.270.170.460.280.19
Net GEX-256.8K-754.4K718.0K656.4K-635.9K
Net DEX2.5M-17.0M21.1M-16.2M11.3M
Net VEX-43.3K-52.3K-34.7K-35.0K-46.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.910.6610.990.691.13
Total Volume2,711.9099808,4681,4664,250
Total OI13,185.0919,87218,1019,87212,243

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$52.54$47.0033.1%9.5%36.9%51.2%34.2%5.1%-2.0%656.4K-16.2M-35.0K0.6975.95N/AN/A8705966,8103,062
2016-03-02$51.45$47.0031.4%9.0%34.3%46.3%33.2%5.5%-1.1%636.2K-13.2M-35.6K0.6682.12N/AN/A9196107,0513,073
2016-03-03$52.99$50.0032.2%8.6%34.7%48.4%30.9%5.0%0.7%718.0K-17.0M-35.9K3.3074.43N/AN/A8162,6927,1253,162
2016-03-04$52.75$50.0031.8%8.8%32.5%47.2%33.7%5.5%0.5%330.0K-14.9M-40.7K7.3277.62N/AN/A4573,3437,1935,304
2016-03-07$52.82$50.0033.1%9.0%31.6%51.0%33.2%5.3%0.4%268.6K-14.3M-40.3K1.9574.68N/AN/A9651,8787,2125,771
2016-03-08$49.57$50.0035.4%9.1%39.4%57.7%32.2%5.4%-0.8%-313.7K2.0M-43.4K2.3367.77N/AN/A1,2812,9817,6396,879
2016-03-09$50.02$50.0032.1%9.2%37.6%48.1%33.6%6.5%-0.2%-401.2K283.4K-43.7K1.6870.30N/AN/A5429117,5736,911
2016-03-10$49.95$50.0031.3%9.0%37.6%46.0%32.3%6.3%-0.0%-505.1K579.4K-41.6K1.6975.41N/AN/A5248877,5716,973
2016-03-11$51.10$50.0030.5%8.7%38.3%43.6%31.7%6.3%0.3%-594.2K-5.2M-39.8K1.3972.23N/AN/A6038387,5817,032
2016-03-14$50.05$50.0030.6%8.8%38.4%43.9%31.5%6.3%1.9%-719.0K-7.6K-35.5K1.8033.47N/AN/A4437987,5947,067
2016-03-15$48.47$50.0033.4%9.6%39.4%51.8%35.2%5.2%0.2%-201.6K7.4M-34.7K10.9915.65N/AN/A7067,7628,1967,076
2016-03-16$48.08$50.0031.8%9.1%39.3%47.4%33.4%6.0%-0.4%-451.2K18.2M-44.2K2.9482.18N/AN/A6111,7998,0619,888
2016-03-17$47.31$50.0032.0%9.2%39.6%47.9%31.8%3.7%-0.1%296.0K21.1M-42.7K2.9669.89N/AN/A5851,7348,0819,780
2016-03-18$48.54$50.0030.3%8.7%38.0%42.9%29.8%3.9%-1.6%-448.8K15.9M-42.1K5.0271.35N/AN/A8204,1188,1089,993
2016-03-21$49.10$50.0029.9%8.6%35.6%41.9%30.6%5.2%1.8%-696.9K8.1M-49.2K1.7572.73N/AN/A4097173,8176,548
2016-03-22$48.72$50.0026.9%7.7%35.3%33.2%28.9%5.5%4.5%-754.4K8.3M-50.0K2.5773.69N/AN/A1,1492,9533,8936,750
2016-03-23$48.01$50.0028.8%8.3%34.8%38.8%28.8%4.5%2.2%-657.9K9.2M-51.6K3.9979.39N/AN/A7452,9754,6007,082
2016-03-24$47.94$50.0028.9%8.3%34.4%39.0%27.3%2.8%3.4%-648.0K9.5M-52.3K4.8476.82N/AN/A3631,7564,8517,127
2016-03-28$47.30$50.0030.9%8.8%34.6%44.6%31.6%4.5%2.4%-549.9K9.2M-48.0K1.9956.67N/AN/A3607174,9116,688
2016-03-29$48.08$50.0030.8%8.8%35.3%44.4%28.9%1.9%1.1%-492.4K7.4M-50.5K1.7849.44N/AN/A3526284,9516,900
2016-03-30$48.06$50.0028.6%8.2%34.3%38.0%30.1%3.3%1.8%-485.2K7.3M-49.5K1.3028.30N/AN/A5226775,0096,936
2016-03-31$46.67$50.0030.2%8.6%35.0%42.6%32.0%5.6%1.8%-635.9K11.3M-46.2K1.1335.18N/AN/A1,9992,2515,2307,013