AN Options History — November 2016

In November 2016, AN traded between $40.35 and $45.83. ATM implied volatility averaged 30.4%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 4.5% (HV 20d: 34.9%). Max pain ranged from $42.00 to $48.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2016-11-11: Highest Volume — 2,154 contracts
  • 2016-11-09: Largest IV drop — 19.2% change
  • 2016-11-04: Highest IV Rank — 53.9%
  • 2016-11-01: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.38$40.35$45.83$42.96$44.73
Max Pain$43.33$42.00$48.00$48.00$43.00
ATM IV30.4%26.4%36.6%35.4%27.5%
Expected Move8.5%7.6%10.2%10.2%7.9%
HV 20d34.9%28.2%42.4%29.3%34.0%
HV 60d27.9%24.5%30.1%24.5%30.0%
IV Rank30.5%15.2%53.9%49.7%19.3%
IV Percentile50.4%19.0%93.3%88.5%27.4%
Term Structure-0.6%-4.3%2.1%-4.3%0.2%
VWIV30.1%26.2%34.4%33.8%30.0%
Skew 25d4.8%2.9%7.3%7.3%3.9%
Skew 10d8.6%4.7%24.8%7.5%12.6%
Call IV 25d28.0%24.7%31.4%31.4%27.3%
Put IV 25d32.8%29.3%38.7%38.7%31.2%
Bid-Ask Spread %57.9229.3373.2141.5163.79
Gamma HHI0.140.090.340.140.10
Net GEX-104.7K-710.0K167.0K-234.6K144.2K
Net DEX6.4M532.0K13.3M9.4M1.1M
Net VEX-38.3K-45.7K-31.0K-39.1K-39.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.411.380.870.95
Total Volume1,555.5248162,1542,0541,206
Total OI10,003.6198,29512,1499,5629,027

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$42.96$48.0035.4%10.2%29.3%49.7%33.8%7.3%-4.3%-234.6K9.4M-39.1K0.8741.51N/AN/A1,1019534,9374,625
2016-11-02$42.05$48.0033.8%9.7%28.4%44.0%34.4%6.2%-3.2%-302.2K11.3M-35.9K1.1958.59N/AN/A9241,0974,9704,881
2016-11-03$40.88$43.0034.7%9.0%28.3%47.0%31.1%5.9%-1.2%-251.8K12.0M-31.5K0.9332.87N/AN/A9849144,9924,648
2016-11-04$40.79$43.0036.6%9.2%28.2%53.9%31.4%5.4%-1.2%-278.5K12.6M-32.4K0.7661.65N/AN/A9897525,0434,882
2016-11-07$41.17$43.0035.4%8.5%28.9%49.7%29.2%5.5%-0.6%-317.7K12.4M-31.5K0.6329.33N/AN/A1,1907525,0884,894
2016-11-08$40.35$43.0035.9%9.2%29.1%50.3%27.2%4.8%-1.0%-304.7K13.3M-31.0K0.6154.78N/AN/A1,0706505,2765,090
2016-11-09$41.53$43.0029.0%8.3%31.8%26.1%26.2%5.2%-0.5%-340.5K12.1M-33.2K0.5752.65N/AN/A1,1426485,3205,148
2016-11-10$42.37$42.0029.8%8.6%33.3%29.1%28.5%4.4%-0.4%-272.6K9.9M-36.7K0.6651.91N/AN/A1,1187335,4055,122
2016-11-11$43.08$42.0028.4%8.1%34.1%22.6%27.7%5.5%-0.1%-295.2K9.3M-37.5K0.4861.38N/AN/A1,4527025,4475,271
2016-11-14$45.83$42.0029.2%8.4%41.6%25.4%30.3%3.8%-0.9%64.0K1.6M-45.7K0.6348.98N/AN/A1,0506645,9465,294
2016-11-15$44.74$43.0029.9%8.6%42.4%27.8%31.9%5.5%-1.2%85.5K4.3M-44.4K0.6860.94N/AN/A9256326,3385,425
2016-11-16$44.06$43.0029.6%8.5%41.7%26.9%29.7%5.0%-0.1%-25.2K5.9M-41.6K0.4764.69N/AN/A1,2115756,1995,419
2016-11-17$44.10$43.0029.3%8.4%39.3%25.6%29.0%5.1%-0.0%2.0K6.0M-42.4K0.4162.80N/AN/A1,2395116,6915,421
2016-11-18$43.96$43.0028.3%8.1%39.2%22.1%28.8%3.9%1.1%-710.0K6.5M-41.3K0.4565.95N/AN/A1,1545196,7035,446
2016-11-21$44.99$43.0027.4%7.9%40.2%18.9%29.2%2.9%0.2%150.7K532.0K-41.7K0.6466.03N/AN/A5893774,5593,736
2016-11-22$44.81$43.0027.4%7.9%38.8%19.0%31.2%4.6%1.0%155.4K760.3K-41.3K0.7871.12N/AN/A5154004,6873,765
2016-11-23$44.95$43.0026.6%7.6%37.9%16.0%30.2%4.9%0.8%157.0K1.1M-40.7K0.9773.21N/AN/A4154014,7283,742
2016-11-25$44.79$43.0026.4%7.6%37.3%15.2%30.3%3.6%2.1%167.0K703.2K-39.6K1.3869.57N/AN/A4155724,7243,742
2016-11-28$44.75$43.0028.8%8.3%34.5%24.0%30.9%3.7%-0.9%129.5K1.2M-38.1K1.1559.62N/AN/A4435114,7243,919
2016-11-29$44.19$43.0029.8%8.5%34.8%27.5%31.7%4.0%-1.5%78.4K2.0M-38.8K0.8965.03N/AN/A6205514,8593,943
2016-11-30$44.73$43.0027.5%7.9%34.0%19.3%30.0%3.9%0.2%144.2K1.1M-39.5K0.9563.79N/AN/A6185884,9704,057