AN Options History — June 2016

In June 2016, AN traded between $46.08 and $50.84. ATM implied volatility averaged 30.0%, placing in the 41.7% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 1.3% (HV 20d: 31.3%). Max pain ranged from $49.00 to $50.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 2.44.

Notable Days

  • 2016-06-30: Highest Volume — 4,503 contracts
  • 2016-06-24: Largest IV spike — 20.9% change
  • 2016-06-27: Highest IV Rank — 58.9%
  • 2016-06-27: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.25$46.08$50.84$49.67$46.93
Max Pain$49.59$49.00$50.00$50.00$49.00
ATM IV30.0%26.8%35.8%27.4%31.9%
Expected Move8.6%7.6%10.3%7.9%9.1%
HV 20d31.3%25.5%34.2%27.6%34.2%
HV 60d28.4%26.4%30.0%30.0%29.8%
IV Rank41.7%32.8%58.9%34.7%44.2%
IV Percentile63.9%46.8%90.5%51.6%76.2%
Term Structure1.5%-1.5%3.9%-1.5%2.1%
VWIV30.4%25.0%35.8%26.9%31.9%
Skew 25d4.9%2.3%7.1%2.3%5.3%
Skew 10d10.5%4.2%17.1%10.9%4.2%
Call IV 25d27.9%24.8%32.5%27.2%29.6%
Put IV 25d32.8%29.2%39.6%29.5%34.9%
Bid-Ask Spread %82.5557.9692.7588.9692.75
Gamma HHI0.130.110.220.220.11
Net GEX-263.5K-593.2K117.8K-539.8K-316.5K
Net DEX5.9M-2.6M13.6M5.2M6.5M
Net VEX-46.5K-60.9K-36.3K-60.9K-36.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.440.828.108.104.22
Total Volume2,055.9551,1294,5033,2954,503
Total OI13,417.54510,69715,19214,91611,794

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$49.67$50.0027.4%7.9%27.6%34.7%26.9%2.3%-1.5%-539.8K5.2M-60.9K8.1088.96N/AN/A3622,9335,3689,548
2016-06-02$49.48$50.0028.1%8.0%27.4%36.6%26.7%4.2%1.5%-196.4K3.0M-55.8K3.4357.96N/AN/A8803,0215,3898,413
2016-06-03$48.55$50.0027.5%7.9%28.0%34.8%26.3%4.1%1.4%-301.8K6.3M-57.1K3.1579.69N/AN/A9803,0885,7768,634
2016-06-06$49.12$50.0028.6%7.9%28.3%38.1%28.5%4.3%1.7%-243.7K4.6M-54.6K5.7982.42N/AN/A4962,8705,7778,677
2016-06-07$50.29$50.0026.8%7.6%29.4%32.8%25.0%4.2%2.3%-28.5K-168.8K-55.5K1.3670.65N/AN/A6999495,7898,750
2016-06-08$50.84$50.0026.9%7.7%29.3%33.1%26.0%4.6%1.8%117.8K-2.6M-53.8K1.8085.78N/AN/A5981,0765,8628,669
2016-06-09$50.31$50.0027.6%7.9%25.5%35.1%28.8%4.1%1.2%-21.3K-706.6K-52.6K2.1675.61N/AN/A4971,0745,9208,732
2016-06-10$47.63$50.0029.9%8.6%32.7%42.0%30.2%5.1%0.5%-415.6K9.8M-49.3K2.6762.10N/AN/A4641,2395,9708,732
2016-06-13$47.23$50.0032.4%9.3%32.6%49.1%30.2%5.2%-0.5%-536.2K11.9M-48.2K2.6681.94N/AN/A4371,1626,0119,076
2016-06-14$46.99$50.0031.6%9.1%32.5%46.7%33.2%6.6%-0.5%-593.2K13.6M-44.4K2.9882.52N/AN/A4141,2346,0889,091
2016-06-15$47.49$50.0031.9%9.1%32.7%47.5%32.7%5.8%1.0%-419.5K11.4M-44.3K2.2988.06N/AN/A5251,2046,1378,973
2016-06-16$47.41$50.0030.9%8.9%32.7%44.8%33.1%6.1%-0.2%-430.3K11.8M-43.3K2.1083.92N/AN/A5751,2096,2748,906
2016-06-17$48.03$49.0030.1%8.6%33.0%42.6%31.6%5.9%0.4%-229.8K8.7M-43.0K1.8184.11N/AN/A5509966,2938,899
2016-06-20$49.34$50.0028.5%8.2%32.2%37.9%29.0%3.9%3.9%-19.6K2.1M-40.8K0.8287.56N/AN/A9447724,4936,204
2016-06-21$47.93$49.0030.0%8.6%33.1%42.2%31.6%5.1%2.3%-171.8K4.4M-41.6K1.0085.76N/AN/A7507525,0076,278
2016-06-22$47.66$49.0030.4%8.7%32.6%43.3%31.9%4.9%2.7%-215.0K5.2M-41.5K1.0787.88N/AN/A6216665,0996,280
2016-06-23$48.71$49.0028.6%8.2%31.5%38.1%29.2%5.0%3.2%-28.5K2.4M-41.4K1.0192.29N/AN/A6806885,1196,296
2016-06-24$47.21$49.0034.6%9.9%33.3%55.4%35.6%6.0%0.7%-248.9K5.9M-41.8K0.9591.08N/AN/A7467065,1966,372
2016-06-27$46.08$49.0035.8%10.3%32.9%58.9%35.8%7.1%1.6%-414.6K8.9M-39.4K0.9586.37N/AN/A7777425,2816,488
2016-06-28$46.96$49.0031.5%9.0%33.9%43.0%33.5%4.8%2.7%-327.8K6.7M-39.1K1.7184.07N/AN/A4167135,3676,372
2016-06-29$47.53$49.0029.1%8.3%34.0%35.5%30.2%4.1%3.9%-215.4K4.9M-37.3K1.5584.74N/AN/A4807435,3936,393
2016-06-30$46.93$49.0031.9%9.1%34.2%44.2%31.9%5.3%2.1%-316.5K6.5M-36.3K4.2292.75N/AN/A8623,6415,3876,407