AN Options History — July 2016

In July 2016, AN traded between $45.68 and $53.44. ATM implied volatility averaged 33.5%, placing in the 47.0% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 2.0% (HV 20d: 35.5%). Max pain ranged from $48.00 to $50.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.13.

Notable Days

  • 2016-07-28: Highest Volume — 2,436 contracts
  • 2016-07-29: Largest IV drop — 23.9% change
  • 2016-07-05: Highest IV Rank — 55.8%
  • 2016-07-28: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.62$45.68$53.44$47.75$53.44
Max Pain$48.30$48.00$50.00$48.00$50.00
ATM IV33.5%27.4%36.0%29.9%27.4%
Expected Move9.7%7.8%10.3%8.6%7.8%
HV 20d35.5%30.0%42.8%34.3%30.4%
HV 60d31.3%29.7%32.3%29.7%30.9%
IV Rank47.0%26.0%55.8%38.1%26.0%
IV Percentile78.8%35.7%90.9%59.5%35.7%
Term Structure-2.7%-5.6%3.7%3.7%-0.8%
VWIV34.8%27.5%38.1%31.6%27.5%
Skew 25d4.8%3.6%6.2%4.2%4.4%
Skew 10d11.9%5.9%17.6%10.3%10.1%
Call IV 25d32.0%24.8%34.2%28.9%24.8%
Put IV 25d36.8%29.2%39.4%33.1%29.2%
Bid-Ask Spread %62.7933.9095.2995.2974.68
Gamma HHI0.300.200.470.360.36
Net GEX148.4K-1.0M642.9K-809.6K642.9K
Net DEX-3.0M-11.1M15.5M8.3M-11.1M
Net VEX-38.4K-46.7K-31.1K-46.7K-45.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.291.901.310.57
Total Volume1,345.28802,4362,1811,787
Total OI10,775.64,96815,90914,7488,301

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$47.75$48.0029.9%8.6%34.3%38.1%31.6%4.2%3.7%-809.6K8.3M-46.7K1.3195.29N/AN/A9431,2385,8158,933
2016-07-05$45.68$48.0035.7%10.3%37.3%55.8%33.8%5.8%-3.5%-1.0M15.5M-38.9K1.3640.63N/AN/A4005446,3548,625
2016-07-06$46.88$48.0033.9%10.2%37.5%50.4%35.5%5.8%-2.7%-956.7K10.8M-41.2K1.2633.90N/AN/A3944976,3438,496
2016-07-07$48.70$48.0032.7%10.1%40.0%46.5%36.5%5.3%-2.7%-296.9K2.2M-43.5K1.7838.78N/AN/A3446126,3798,530
2016-07-08$50.78$48.0029.8%9.8%42.8%35.2%34.9%5.4%-2.7%545.9K-7.0M-38.7K0.9448.68N/AN/A8267776,4718,663
2016-07-11$50.88$48.0034.5%10.0%37.5%50.3%36.8%6.2%-3.7%539.4K-7.5M-36.4K1.8356.85N/AN/A4007316,5328,962
2016-07-12$50.94$48.0034.6%9.9%37.3%50.7%38.1%5.0%-3.3%535.9K-7.8M-35.1K1.6358.61N/AN/A3465656,5739,221
2016-07-13$50.70$48.0034.4%9.8%37.2%49.8%35.8%5.0%-3.4%522.2K-7.0M-33.4K1.4063.58N/AN/A4596416,5839,219
2016-07-14$50.86$48.0034.0%9.8%37.2%48.7%35.6%4.5%-2.5%522.7K-7.8M-32.8K1.9064.85N/AN/A3186056,6009,254
2016-07-15$50.77$48.0033.8%9.7%37.2%48.0%34.7%4.9%-3.3%109.2K-8.9M-31.1K0.4867.68N/AN/A8984276,6279,282
2016-07-18$51.47$48.0032.1%9.2%37.2%42.4%32.5%4.5%-1.2%164.0K-2.9M-33.3K0.5561.93N/AN/A5663142,6222,346
2016-07-19$50.68$48.0034.9%10.0%36.7%51.5%35.9%3.6%-2.4%142.3K-2.1M-33.6K0.7761.40N/AN/A5844482,7192,370
2016-07-20$51.32$48.0032.3%9.3%35.1%43.1%33.3%4.2%-2.6%173.0K-2.7M-34.3K0.7060.88N/AN/A6424522,7922,456
2016-07-21$51.58$48.0033.5%9.6%34.9%47.0%35.0%4.2%-2.5%195.5K-3.5M-36.1K0.7265.33N/AN/A7195162,9112,541
2016-07-22$52.10$48.0033.8%9.7%34.3%48.0%34.2%4.3%-3.7%222.5K-4.0M-37.2K0.2969.77N/AN/A1,8715383,0222,550
2016-07-25$51.95$48.0035.1%10.1%31.9%51.3%36.4%4.5%-3.5%433.6K-6.8M-42.2K0.6075.42N/AN/A8955354,0572,560
2016-07-26$52.18$48.0035.1%10.1%30.0%51.4%35.5%5.0%-3.8%474.8K-7.0M-42.0K1.5674.89N/AN/A5087944,1152,560
2016-07-27$51.54$50.0035.5%10.2%30.3%52.6%36.0%4.8%-4.5%394.8K-5.2M-42.7K1.7875.08N/AN/A4808544,1882,824
2016-07-28$52.12$50.0036.0%10.3%30.3%54.1%37.5%5.1%-5.6%416.9K-6.2M-43.1K1.1667.49N/AN/A1,1261,3104,2062,910
2016-07-29$53.44$50.0027.4%7.8%30.4%26.0%27.5%4.4%-0.8%642.9K-11.1M-45.1K0.5774.68N/AN/A1,1376504,7663,535