AN Options History — August 2016

In August 2016, AN traded between $47.32 and $51.77. ATM implied volatility averaged 27.2%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 2.1% (HV 20d: 29.2%). Max pain ranged from $50.00 to $52.50. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.06.

Notable Days

  • 2016-08-02: Highest Volume — 2,530 contracts
  • 2016-08-02: Largest IV spike — 15.2% change
  • 2016-08-02: Highest IV Rank — 39.7%
  • 2016-08-02: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.73$47.32$51.77$51.77$47.32
Max Pain$50.11$50.00$52.50$50.00$50.00
ATM IV27.2%24.6%31.7%27.5%27.4%
Expected Move7.7%7.1%9.1%7.9%7.9%
HV 20d29.2%15.1%36.3%33.0%15.1%
HV 60d32.4%30.8%34.0%31.5%30.8%
IV Rank22.3%12.5%39.7%26.4%22.0%
IV Percentile31.7%13.1%66.7%36.9%35.3%
Term Structure0.9%-2.0%2.8%-0.7%0.8%
VWIV26.8%22.0%32.4%30.2%26.9%
Skew 25d3.8%2.6%5.8%3.6%4.5%
Skew 10d7.7%-3.5%16.5%4.3%4.6%
Call IV 25d26.1%24.1%30.9%27.3%25.5%
Put IV 25d29.8%27.1%33.4%30.9%29.9%
Bid-Ask Spread %62.1642.8881.9869.0474.75
Gamma HHI0.180.120.420.420.15
Net GEX-189.9K-877.2K668.8K668.8K-46.6K
Net DEX4.4M-7.4M9.9M-7.4M4.1M
Net VEX-37.3K-49.1K-29.3K-47.7K-32.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.354.281.281.71
Total Volume1,159.4782122,530998814
Total OI9,530.9135,98012,3709,0567,346

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$51.77$50.0027.5%7.9%33.0%26.4%30.2%3.6%-0.7%668.8K-7.4M-47.7K1.2869.04N/AN/A4375615,3023,754
2016-08-02$48.77$50.0031.7%9.1%36.3%39.7%32.4%2.6%-2.0%180.6K2.0M-42.8K4.2881.49N/AN/A4792,0515,3403,829
2016-08-03$49.29$50.0030.3%8.7%35.4%35.3%31.6%3.5%-1.9%-101.6K4.5M-48.8K1.4852.05N/AN/A4807125,3145,146
2016-08-04$49.46$52.5028.8%7.9%32.8%30.3%29.0%5.8%0.9%-101.9K4.2M-48.2K1.2750.32N/AN/A1,0931,3855,3405,171
2016-08-05$50.02$50.0027.1%7.7%29.3%24.7%27.6%3.6%1.4%27.4K1.7M-49.1K2.4665.50N/AN/A4811,1825,4815,432
2016-08-08$49.80$50.0028.5%7.8%29.4%29.1%26.9%3.5%0.7%-47.9K2.4M-46.4K1.3942.88N/AN/A7119865,5275,430
2016-08-09$49.01$50.0028.2%7.7%29.8%28.2%27.0%4.0%1.5%-372.2K6.2M-42.9K0.8644.03N/AN/A6465535,8325,430
2016-08-10$48.58$50.0027.1%7.8%29.9%21.1%26.9%3.5%1.4%-523.0K8.1M-39.9K0.7450.57N/AN/A6124515,8285,451
2016-08-11$49.48$50.0026.9%7.7%30.7%20.6%25.8%4.2%1.5%-330.4K4.6M-41.9K0.5345.12N/AN/A5693025,8415,474
2016-08-12$48.87$50.0027.9%8.0%31.0%23.8%27.9%3.2%0.4%-569.4K7.2M-39.1K0.8162.24N/AN/A5154155,9005,472
2016-08-15$49.22$50.0026.6%7.6%30.6%19.6%25.4%3.9%1.0%-616.3K6.2M-35.1K0.6249.73N/AN/A8405205,9175,444
2016-08-16$48.87$50.0026.8%7.7%30.3%20.0%27.2%2.7%1.5%-672.8K7.1M-35.3K0.5655.47N/AN/A8394736,3595,513
2016-08-17$48.27$50.0027.6%7.9%30.0%22.9%28.1%4.4%1.2%-815.0K9.9M-34.2K0.4574.38N/AN/A146666,7735,597
2016-08-18$48.77$50.0026.8%7.7%30.3%19.7%27.0%5.5%0.2%-877.2K8.3M-34.0K1.9945.90N/AN/A921836,7375,600
2016-08-19$48.44$50.0026.3%7.5%29.9%18.1%24.9%4.1%0.9%-18.9K9.8M-31.4K0.4346.09N/AN/A8963826,7725,547
2016-08-22$47.98$50.0025.9%7.4%30.0%16.8%25.9%3.3%1.4%-48.1K3.1M-29.3K0.4054.50N/AN/A7072823,2922,688
2016-08-23$48.34$50.0026.1%7.5%30.1%17.6%25.2%3.0%1.7%5.9K2.4M-29.6K0.4672.35N/AN/A5972773,4622,713
2016-08-24$47.84$50.0026.0%7.4%30.0%17.1%26.2%4.2%1.8%-28.3K3.0M-29.7K0.6678.34N/AN/A1611063,5122,787
2016-08-25$47.61$50.0025.6%7.3%29.5%15.9%23.9%3.8%1.8%-41.6K3.5M-29.8K0.5672.84N/AN/A6503643,6322,855
2016-08-26$47.58$50.0025.6%7.3%27.4%15.9%23.9%2.8%0.8%-39.9K3.5M-29.8K0.5681.98N/AN/A5963353,7192,887
2016-08-29$47.93$50.0024.6%7.1%26.0%12.5%23.5%2.9%2.8%-8.9K3.0M-30.9K0.3580.52N/AN/A9113213,7582,945
2016-08-30$47.65$50.0025.6%7.3%15.6%15.6%22.0%3.8%2.0%9.5K3.1M-30.9K0.5379.51N/AN/A9715184,1172,945
2016-08-31$47.32$50.0027.4%7.9%15.1%22.0%26.9%4.5%0.8%-46.6K4.1M-32.0K1.7174.75N/AN/A3005144,1343,212