AN Options History — September 2016

In September 2016, AN traded between $47.32 and $49.33. ATM implied volatility averaged 27.2%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 5.4% (HV 20d: 21.9%). Max pain ranged from $49.00 to $50.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.58.

Notable Days

  • 2016-09-30: Highest Volume — 3,075 contracts
  • 2016-09-09: Largest IV spike — 23.0% change
  • 2016-09-13: Highest IV Rank — 47.7%
  • 2016-09-13: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.29$47.32$49.33$47.98$48.88
Max Pain$49.29$49.00$50.00$49.00$49.00
ATM IV27.2%24.3%34.9%25.1%24.4%
Expected Move7.8%7.0%8.8%7.2%7.0%
HV 20d21.9%15.7%26.2%16.0%26.2%
HV 60d28.9%25.6%30.8%30.8%25.6%
IV Rank21.4%11.2%47.7%14.1%11.7%
IV Percentile33.7%12.3%85.7%15.5%13.9%
Term Structure2.8%0.6%5.7%1.4%5.7%
VWIV27.9%24.9%31.3%26.2%27.2%
Skew 25d4.7%3.2%6.0%5.4%5.3%
Skew 10d11.0%4.7%18.9%14.9%10.7%
Call IV 25d25.5%22.8%27.7%23.0%23.3%
Put IV 25d30.2%26.7%32.9%28.3%28.7%
Bid-Ask Spread %78.0945.9689.8482.2945.96
Gamma HHI0.140.120.170.140.14
Net GEX70.5K-154.6K267.2K-6.3K-2.9K
Net DEX2.2M-1.3M5.5M3.3M2.6M
Net VEX-38.3K-43.6K-32.7K-32.7K-43.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.580.485.510.990.83
Total Volume1,800.7149563,0751,0903,075
Total OI8,427.5717,3329,5347,4199,534

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$47.98$49.0025.1%7.2%16.0%14.1%26.2%5.4%1.4%-6.3K3.3M-32.7K0.9982.29N/AN/A5495414,1753,244
2016-09-02$48.33$49.0024.3%7.0%15.7%11.3%25.4%3.9%2.1%82.8K1.7M-36.6K0.7589.84N/AN/A6905184,5093,260
2016-09-06$47.96$50.0026.4%7.8%15.8%18.4%25.1%5.3%2.2%102.4K1.8M-35.1K0.8076.31N/AN/A6184974,9143,262
2016-09-07$49.05$50.0025.2%7.6%17.1%14.3%24.9%5.7%1.6%221.0K-105.0K-36.3K0.7386.25N/AN/A6524744,9303,265
2016-09-08$49.33$50.0024.3%7.7%16.9%11.2%25.7%4.3%2.4%259.2K-1.3M-37.7K0.7580.04N/AN/A6534874,9343,282
2016-09-09$47.32$50.0029.9%8.3%21.4%30.5%26.6%4.2%1.3%39.6K2.7M-33.4K0.4881.88N/AN/A6453114,9443,296
2016-09-12$48.72$50.0029.4%8.0%23.7%28.8%28.9%5.0%1.1%187.2K724.8K-34.1K2.5585.64N/AN/A3799684,9323,322
2016-09-13$48.46$50.0034.9%8.8%23.6%47.7%29.6%5.2%0.7%129.1K1.7M-38.5K4.4984.90N/AN/A3401,5284,9723,931
2016-09-14$48.69$49.0028.5%8.2%23.6%25.8%30.3%4.8%1.6%165.5K1.2M-38.2K4.4679.69N/AN/A3551,5824,9843,680
2016-09-15$49.15$49.0029.2%8.4%23.4%28.3%30.0%5.3%0.6%267.2K266.0K-38.7K3.7583.51N/AN/A4361,6364,9953,759
2016-09-16$48.82$49.0027.9%8.0%23.2%23.6%31.3%3.2%1.6%259.2K1.4M-37.8K4.8383.36N/AN/A3261,5755,0493,974
2016-09-19$48.46$49.0027.8%8.0%23.3%23.3%29.5%4.9%3.4%77.7K1.3M-36.4K4.4989.32N/AN/A4482,0134,0843,248
2016-09-20$48.14$49.0027.9%8.0%23.1%23.7%29.4%4.2%3.2%1.7K2.7M-39.7K5.1781.49N/AN/A3141,6234,1713,714
2016-09-21$47.65$49.0027.5%7.9%23.2%22.4%29.5%6.0%4.4%-39.2K3.7M-39.2K5.5188.33N/AN/A3001,6544,1953,740
2016-09-22$48.35$49.0026.2%7.5%23.5%17.8%27.3%4.4%4.0%-3.2K2.6M-41.0K3.9384.58N/AN/A3501,3744,2633,963
2016-09-23$48.58$49.0025.6%7.3%23.5%15.6%26.2%5.2%3.9%45.3K1.9M-41.8K1.7565.95N/AN/A7721,3484,3203,977
2016-09-26$47.84$49.0027.7%7.9%24.2%22.9%29.0%4.0%3.5%13.3K2.9M-41.1K1.7961.66N/AN/A7531,3484,7863,995
2016-09-27$47.64$49.0026.9%7.7%24.1%20.1%28.1%5.2%3.8%-57.1K4.1M-40.4K1.9364.04N/AN/A7611,4724,7994,153
2016-09-28$47.43$49.0027.0%7.7%24.1%20.6%29.4%4.2%4.8%-106.5K5.0M-41.1K2.2187.47N/AN/A7011,5504,8124,315
2016-09-29$47.32$49.0026.1%7.5%23.9%17.5%26.5%3.5%5.3%-154.6K5.5M-40.6K1.9257.34N/AN/A7521,4474,8234,474
2016-09-30$48.88$49.0024.4%7.0%26.2%11.7%27.2%5.3%5.7%-2.9K2.6M-43.6K0.8345.96N/AN/A1,6811,3944,9094,625