AN Options History — April 2016

In April 2016, AN traded between $44.00 and $51.36. ATM implied volatility averaged 31.1%, placing in the 45.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 3.4% (HV 20d: 27.7%). Max pain ranged from $47.00 to $50.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.97.

Notable Days

  • 2016-04-22: Highest Volume — 7,950 contracts
  • 2016-04-11: Largest IV spike — 24.9% change
  • 2016-04-11: Highest IV Rank — 57.6%
  • 2016-04-21: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.52$44.00$51.36$45.91$50.64
Max Pain$47.62$47.00$50.00$50.00$49.00
ATM IV31.1%27.2%35.4%30.9%29.8%
Expected Move9.1%7.8%10.1%8.9%8.6%
HV 20d27.7%23.9%33.0%32.7%26.6%
HV 60d37.9%32.8%45.3%45.3%32.8%
IV Rank45.2%34.1%57.6%44.7%41.7%
IV Percentile74.8%57.5%88.9%77.0%67.9%
Term Structure-2.4%-4.1%1.5%1.5%-1.3%
VWIV32.7%30.0%37.1%32.6%30.4%
Skew 25d4.8%2.9%6.1%6.1%4.3%
Skew 10d11.2%6.1%16.9%10.6%10.0%
Call IV 25d29.9%27.2%33.4%27.7%27.2%
Put IV 25d34.7%30.9%37.4%33.8%31.5%
Bid-Ask Spread %36.6522.5471.2839.8350.99
Gamma HHI0.150.120.270.130.15
Net GEX-347.0K-1.6M699.7K-798.1K-322.8K
Net DEX4.4M-12.5M23.2M14.3M-6.2M
Net VEX-78.9K-110.2K-51.4K-60.0K-110.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.970.577.352.891.34
Total Volume3,650.3811,6827,9501,6823,178
Total OI19,525.38114,55125,70615,47725,706

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$45.91$50.0030.9%8.9%32.7%44.7%32.6%6.1%1.5%-798.1K14.3M-60.0K2.8939.83N/AN/A4321,2506,9178,560
2016-04-04$45.33$47.0033.3%9.7%32.7%51.6%31.7%6.0%-3.1%-848.5K16.3M-54.8K0.7630.45N/AN/A1,8001,3746,9278,641
2016-04-05$45.62$47.0028.9%9.4%33.0%39.1%31.2%5.4%-2.9%-764.2K14.0M-61.9K0.5727.83N/AN/A2,2471,2848,3088,810
2016-04-06$46.01$47.0029.9%9.5%25.8%41.9%31.9%5.9%-3.9%-721.2K12.6M-64.2K1.3431.65N/AN/A9561,2858,8168,667
2016-04-07$45.08$47.0030.9%9.5%26.0%44.7%32.2%5.3%-2.7%-703.0K16.7M-58.7K1.4126.20N/AN/A8971,2688,8518,762
2016-04-08$44.58$47.0028.3%9.5%26.1%37.3%34.2%5.8%-3.6%-656.0K18.9M-53.7K2.5226.53N/AN/A7972,0108,8298,760
2016-04-11$44.00$47.0035.4%9.7%23.9%57.6%34.8%4.8%-3.6%-751.3K23.2M-51.4K1.0322.54N/AN/A8979208,8379,780
2016-04-12$44.85$47.0030.5%9.4%25.1%43.6%33.5%4.8%-2.6%-827.2K20.2M-55.4K0.9024.71N/AN/A1,0789688,9029,971
2016-04-13$46.44$47.0033.1%9.5%26.9%51.0%32.6%4.8%-2.9%-1.1M10.3M-62.1K1.2627.92N/AN/A8501,0679,2349,623
2016-04-14$47.26$47.0032.1%9.2%27.7%48.1%33.0%4.3%-2.5%-1.6M4.4M-64.4K1.0036.21N/AN/A2,1252,1319,2939,703
2016-04-15$47.08$47.0031.8%9.1%27.1%47.3%36.4%5.4%-2.5%-10.2K5.6M-66.2K7.3541.21N/AN/A4893,5959,59010,093
2016-04-18$47.91$47.0031.7%9.1%26.2%47.2%33.6%4.2%-2.4%346.1K-2.6M-78.4K1.2531.80N/AN/A2,7373,4186,9397,612
2016-04-19$48.17$47.0032.1%9.2%25.9%48.3%33.1%4.6%-2.7%699.7K-7.0M-99.9K0.7631.32N/AN/A2,1611,6489,3569,910
2016-04-20$48.76$47.0033.9%9.7%26.2%53.5%33.8%4.1%-3.5%533.4K-7.0M-95.5K3.9838.02N/AN/A6572,6178,46610,193
2016-04-21$48.02$48.0035.2%10.1%26.2%57.2%37.1%4.0%-4.1%191.8K-906.5K-102.0K2.2744.10N/AN/A2,0074,5578,52211,274
2016-04-22$49.53$48.0028.7%8.2%28.4%38.3%31.0%4.0%-1.3%414.6K-6.7M-97.5K2.3341.37N/AN/A2,3915,5598,08211,665
2016-04-25$49.56$48.0028.6%8.2%27.9%38.3%32.8%5.3%-1.6%-178.9K-2.6M-107.4K2.9236.34N/AN/A1,1163,2547,81114,969
2016-04-26$51.16$48.0030.0%8.6%29.4%42.0%30.0%3.5%-1.3%155.5K-12.5M-97.6K2.1341.84N/AN/A1,8613,9698,01514,838
2016-04-27$51.36$49.0027.2%7.8%29.4%34.1%30.8%2.9%-0.9%-54.3K-11.8M-106.3K1.6571.28N/AN/A1,1021,8238,62816,482
2016-04-28$50.58$49.0029.7%8.5%27.7%41.4%30.3%4.6%-2.0%-306.2K-6.6M-110.2K1.6247.57N/AN/A1,1001,7838,63717,054
2016-04-29$50.64$49.0029.8%8.6%26.6%41.7%30.4%4.3%-1.3%-322.8K-6.2M-110.2K1.3450.99N/AN/A1,3561,8228,64917,057