AN Options History — October 2016

In October 2016, AN traded between $43.91 and $50.32. ATM implied volatility averaged 30.9%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 7.1% (HV 20d: 23.8%). Max pain ranged from $48.00 to $49.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.64.

Notable Days

  • 2016-10-04: Highest Volume — 2,425 contracts
  • 2016-10-12: Largest IV spike — 16.0% change
  • 2016-10-27: Highest IV Rank — 49.9%
  • 2016-10-27: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.71$43.91$50.32$48.85$43.91
Max Pain$48.71$48.00$49.00$49.00$48.00
ATM IV30.9%25.3%35.5%25.3%31.4%
Expected Move9.2%7.3%10.2%7.3%9.0%
HV 20d23.8%19.2%29.0%26.1%28.9%
HV 60d24.5%22.8%26.1%24.0%24.1%
IV Rank33.9%14.7%49.9%14.7%35.8%
IV Percentile59.4%17.5%88.9%17.5%61.5%
Term Structure-1.8%-4.7%6.1%5.5%-1.5%
VWIV32.8%27.5%36.7%27.5%31.5%
Skew 25d4.6%3.1%6.2%4.9%4.3%
Skew 10d10.5%5.7%20.4%8.0%14.7%
Call IV 25d30.4%23.5%34.5%24.5%30.6%
Put IV 25d35.0%29.0%39.1%29.4%34.9%
Bid-Ask Spread %57.8632.0272.9342.7043.09
Gamma HHI0.150.110.370.140.15
Net GEX58.8K-269.7K497.7K108.9K-269.7K
Net DEX2.8M-3.5M9.2M1.1M9.2M
Net VEX-44.7K-53.5K-37.7K-50.1K-37.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.640.522.751.800.60
Total Volume1,425.6198422,4252,0982,342
Total OI10,309.5716,84012,30010,5278,808

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$48.85$49.0025.3%7.3%26.1%14.7%27.5%4.9%5.5%108.9K1.1M-50.1K1.8042.70N/AN/A7481,3505,8704,657
2016-10-04$48.94$49.0026.0%7.5%25.9%17.3%28.0%3.9%5.8%129.9K715.0K-51.3K2.0632.57N/AN/A7931,6325,9774,712
2016-10-05$49.80$49.0025.4%7.3%25.4%15.1%27.7%5.6%6.1%257.1K-1.5M-51.8K2.2332.02N/AN/A6291,4056,0794,793
2016-10-06$50.32$49.0025.4%9.0%25.6%15.0%33.1%4.4%-2.8%388.2K-3.5M-53.5K2.7546.84N/AN/A4981,3696,3134,855
2016-10-07$49.32$49.0026.1%9.1%21.7%17.6%31.9%4.0%-1.8%237.9K-729.1K-53.1K2.7560.14N/AN/A4941,3596,4214,861
2016-10-10$49.13$49.0025.7%9.3%19.2%15.9%33.1%3.8%-2.4%193.6K-120.4K-49.8K1.4958.05N/AN/A4606866,4994,849
2016-10-11$48.35$49.0027.5%9.5%20.0%22.1%33.4%3.8%-2.9%31.7K2.4M-47.5K1.6957.94N/AN/A4016766,5254,885
2016-10-12$48.48$49.0031.8%9.1%19.9%37.3%34.1%5.0%-1.9%55.4K2.0M-47.0K2.1768.56N/AN/A3076676,5394,896
2016-10-13$48.15$49.0033.0%9.5%19.7%41.2%35.6%5.6%-2.7%-11.5K3.3M-45.1K1.9364.59N/AN/A3055886,5494,898
2016-10-14$48.41$49.0032.9%9.4%19.7%40.8%30.7%3.9%-2.0%39.1K2.4M-45.0K2.0871.67N/AN/A2906026,5394,888
2016-10-17$47.97$49.0033.9%9.7%19.8%44.3%32.1%5.0%-3.2%-23.1K3.4M-41.9K1.5860.78N/AN/A3265166,5374,900
2016-10-18$47.90$49.0033.8%9.7%19.7%44.1%32.8%3.7%-4.7%-17.6K3.4M-41.5K1.0766.88N/AN/A5065426,5774,872
2016-10-19$48.84$49.0032.3%9.3%20.5%38.9%33.2%5.5%-3.8%30.6K1.2M-40.7K1.0670.40N/AN/A5005286,5954,875
2016-10-20$46.80$49.0033.6%9.6%25.1%43.3%34.3%3.8%-3.4%4.4K6.4M-38.9K0.9966.82N/AN/A6446357,4184,882
2016-10-21$46.86$49.0033.5%9.6%25.0%42.9%35.0%4.7%-4.2%497.7K6.5M-38.8K0.6065.98N/AN/A1,3448066,7394,892
2016-10-24$47.20$48.0034.5%9.9%24.7%46.5%34.8%6.2%-4.0%-14.5K2.3M-40.4K0.5271.08N/AN/A8514393,6973,143
2016-10-25$45.80$48.0035.1%10.1%26.8%48.4%36.7%3.1%-3.9%-35.2K4.0M-39.3K2.4256.68N/AN/A3528533,8893,254
2016-10-26$46.85$48.0033.6%9.6%28.2%43.4%34.8%5.0%-3.3%-45.0K3.6M-44.3K1.6452.28N/AN/A3345493,9333,667
2016-10-27$45.91$48.0035.5%10.2%29.0%49.9%35.3%4.7%-4.5%-71.0K4.6M-43.0K1.3053.04N/AN/A4966453,9443,727
2016-10-28$44.17$48.0032.0%9.2%29.0%37.9%32.0%5.7%-2.3%-252.5K8.6M-39.0K1.7672.93N/AN/A5339384,0874,460
2016-10-31$43.91$48.0031.4%9.0%28.9%35.8%31.5%4.3%-1.5%-269.7K9.2M-37.7K0.6043.09N/AN/A1,4628804,2354,573