AN Options History — May 2016

In May 2016, AN traded between $46.39 and $50.47. ATM implied volatility averaged 29.1%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 2.4% (HV 20d: 26.7%). Max pain ranged from $49.00 to $50.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.23.

Notable Days

  • 2016-05-17: Highest Volume — 3,576 contracts
  • 2016-05-10: Largest IV drop — 15.6% change
  • 2016-05-09: Highest IV Rank — 55.9%
  • 2016-05-03: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.16$46.39$50.47$49.67$50.47
Max Pain$49.48$49.00$50.00$49.00$49.00
ATM IV29.1%24.4%34.8%30.2%27.3%
Expected Move8.2%7.0%8.8%8.6%7.8%
HV 20d26.7%24.6%28.2%27.3%27.3%
HV 60d30.4%28.7%32.0%32.0%29.8%
IV Rank39.7%25.9%55.9%42.6%34.5%
IV Percentile61.5%35.3%87.7%69.4%50.8%
Term Structure0.3%-2.1%1.9%-2.1%-0.5%
VWIV28.6%23.4%31.6%30.5%26.7%
Skew 25d4.2%3.2%5.0%4.4%4.5%
Skew 10d8.9%2.1%13.1%5.5%12.4%
Call IV 25d27.3%22.6%29.9%28.7%25.6%
Put IV 25d31.5%26.2%34.0%33.1%30.2%
Bid-Ask Spread %64.9752.9481.4968.4853.72
Gamma HHI0.150.110.260.150.17
Net GEX-653.9K-1.4M241.0K-512.1K241.0K
Net DEX12.1M-2.6M29.3M-479.6K-2.6M
Net VEX-76.3K-109.5K-53.4K-108.9K-53.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.230.836.940.836.94
Total Volume2,337.5711,2353,5762,3573,421
Total OI22,463.33311,94527,18426,01612,804

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$49.67$49.0030.2%8.6%27.3%42.6%30.5%4.4%-2.1%-512.1K-479.6K-108.9K0.8368.48N/AN/A1,2891,0688,84517,171
2016-05-03$49.10$49.0030.7%8.8%27.9%44.3%31.5%4.5%-1.7%-654.5K4.3M-109.5K1.8478.07N/AN/A6011,1038,97117,227
2016-05-04$48.67$49.0030.4%8.7%28.2%43.4%31.6%4.1%-1.4%-790.2K8.2M-108.0K1.8581.49N/AN/A5911,0929,02817,226
2016-05-05$48.15$50.0031.4%8.5%27.3%46.2%29.3%5.0%0.2%-919.5K11.9M-105.1K1.1659.50N/AN/A8379759,03417,244
2016-05-06$48.34$50.0030.4%8.5%26.8%43.2%29.3%4.8%0.0%-866.7K10.9M-103.0K1.1552.94N/AN/A8319529,33317,279
2016-05-09$48.36$50.0034.8%8.4%26.0%55.9%25.8%4.3%-0.1%-865.9K10.3M-95.4K1.3554.75N/AN/A8331,1279,33217,279
2016-05-10$49.03$50.0029.3%8.2%25.7%40.2%29.8%4.4%0.5%-606.8K4.0M-93.9K1.2756.80N/AN/A7961,0139,69617,326
2016-05-11$47.15$50.0030.3%8.7%27.4%42.9%28.1%4.4%0.4%-1.2M22.7M-86.8K3.3359.08N/AN/A8092,6989,70217,482
2016-05-12$46.95$50.0030.1%8.6%26.8%42.6%29.4%4.1%0.0%-938.3K22.0M-79.5K3.4457.83N/AN/A7722,6569,68316,344
2016-05-13$46.39$50.0030.5%8.7%27.1%43.6%30.3%4.2%0.9%-1.1M26.9M-73.5K3.0762.05N/AN/A7442,2879,75616,349
2016-05-16$46.75$50.0030.4%8.7%26.4%43.3%30.7%4.4%0.3%-1.1M26.8M-65.1K3.8057.82N/AN/A7432,8219,73816,288
2016-05-17$46.70$50.0030.3%8.7%26.3%43.0%30.8%4.5%0.4%-1.1M27.4M-66.6K3.7563.08N/AN/A7532,8239,72716,805
2016-05-18$46.54$50.0029.2%8.4%25.8%39.9%29.3%4.2%0.8%-1.3M28.9M-61.7K1.3963.57N/AN/A1,2021,6769,89916,783
2016-05-19$46.51$49.0029.7%8.5%25.3%41.3%27.0%4.8%0.6%-1.4M29.3M-59.2K2.1163.48N/AN/A8621,82210,02116,577
2016-05-20$48.11$49.0027.7%8.0%25.8%35.6%30.7%3.9%0.3%-253.1K11.2M-56.1K1.5264.24N/AN/A1,1321,71710,01116,514
2016-05-23$47.18$49.0027.6%7.9%26.6%35.1%27.9%3.2%1.6%-347.2K6.9M-53.8K0.9765.62N/AN/A8137864,7447,201
2016-05-24$48.03$49.0025.9%7.4%24.6%30.4%28.3%3.2%1.3%-211.8K4.9M-54.9K2.1275.78N/AN/A4148794,9297,320
2016-05-25$49.55$49.0025.6%7.3%27.4%29.3%25.5%3.6%1.1%8.3K1.2M-56.5K1.5173.14N/AN/A6129245,0237,497
2016-05-26$49.34$49.0025.7%7.4%26.9%29.7%23.4%3.8%1.0%22.6K1.3M-55.6K1.4378.24N/AN/A5678135,2197,498
2016-05-27$50.45$49.0024.4%7.0%28.2%25.9%25.4%3.6%1.9%235.9K-2.1M-56.6K1.9474.71N/AN/A4208155,3227,503
2016-05-31$50.47$49.0027.3%7.8%27.3%34.5%26.7%4.5%-0.5%241.0K-2.6M-53.4K6.9453.72N/AN/A4312,9905,3287,476