AN Options History — December 2016

In December 2016, AN traded between $44.72 and $49.79. ATM implied volatility averaged 29.4%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 3.1% (HV 20d: 32.5%). Max pain ranged from $43.00 to $48.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2016-12-16: Highest Volume — 3,045 contracts
  • 2016-12-14: Largest IV drop — 19.5% change
  • 2016-12-12: Highest IV Rank — 56.8%
  • 2016-12-12: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.13$44.72$49.79$46.31$48.51
Max Pain$47.29$43.00$48.00$43.00$48.00
ATM IV29.4%27.0%38.4%29.5%27.3%
Expected Move8.1%7.8%8.7%8.5%7.8%
HV 20d32.5%28.9%38.0%34.7%28.9%
HV 60d31.6%30.4%32.0%30.6%31.6%
IV Rank23.3%12.8%56.8%26.2%12.8%
IV Percentile38.3%17.1%95.2%42.5%17.1%
Term Structure2.7%-1.6%4.6%-1.6%4.6%
VWIV29.2%27.1%34.3%34.3%29.6%
Skew 25d3.2%1.5%5.1%2.9%3.2%
Skew 10d8.0%0.7%22.9%10.7%7.6%
Call IV 25d27.5%25.0%30.5%29.1%27.1%
Put IV 25d30.7%28.5%32.7%32.0%30.3%
Bid-Ask Spread %59.8134.2579.8572.3734.25
Gamma HHI0.260.100.490.120.43
Net GEX634.3K166.6K1.6M336.8K801.7K
Net DEX-6.5M-13.9M388.3K-2.8M-5.7M
Net VEX-52.3K-59.4K-40.5K-43.7K-59.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.262.351.270.95
Total Volume1,536.4761,0353,0451,9651,144
Total OI10,397.4769,19411,7679,19411,313

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$46.31$43.0029.5%8.5%34.7%26.2%34.3%2.9%-1.6%336.8K-2.8M-43.7K1.2772.37N/AN/A8671,0984,9744,220
2016-12-02$44.72$43.0029.1%8.3%35.6%22.4%32.8%1.7%-0.3%166.6K388.3K-41.2K2.3557.65N/AN/A4661,0945,0794,238
2016-12-05$45.52$47.0029.0%7.9%35.8%22.2%28.1%4.3%3.4%271.6K-927.3K-40.5K2.2472.78N/AN/A4781,0695,0974,247
2016-12-06$46.99$47.0028.2%7.8%37.0%19.2%28.1%5.1%3.0%468.3K-4.5M-43.6K1.6567.15N/AN/A4707755,2284,326
2016-12-07$48.34$47.0029.5%8.1%36.4%24.0%28.0%4.1%2.9%491.8K-7.9M-44.4K0.4262.65N/AN/A1,5746655,2934,579
2016-12-08$49.79$47.0029.1%8.1%36.4%22.6%29.2%3.8%2.4%616.6K-13.9M-50.4K1.2262.00N/AN/A7449106,1224,598
2016-12-09$49.04$47.0033.1%8.3%37.1%37.5%29.2%3.2%2.9%689.2K-12.2M-53.6K0.9655.27N/AN/A7657376,3724,863
2016-12-12$48.18$48.0038.4%8.7%38.0%56.8%30.4%3.4%1.2%739.6K-9.5M-52.4K1.1148.59N/AN/A7338126,4184,890
2016-12-13$48.01$48.0035.9%8.6%31.7%47.8%30.7%3.1%1.8%758.6K-8.9M-53.3K0.8772.84N/AN/A7886856,4485,094
2016-12-14$47.56$48.0028.9%8.3%30.5%21.9%29.8%3.3%1.9%831.9K-7.7M-52.9K0.8379.85N/AN/A7516246,5075,180
2016-12-15$48.03$48.0029.5%8.5%29.8%24.1%29.9%2.6%2.3%1.0M-9.4M-52.4K0.9269.58N/AN/A6706176,5535,214
2016-12-16$47.92$48.0028.5%8.2%29.9%20.2%29.6%3.1%3.1%1.6M-9.0M-50.1K0.2675.30N/AN/A2,4206256,5495,215
2016-12-19$48.52$48.0027.8%8.0%29.9%17.8%27.5%3.9%2.9%392.2K-3.8M-57.4K0.6647.16N/AN/A6744475,4673,935
2016-12-20$49.40$48.0027.5%7.9%29.5%16.8%28.0%4.2%3.8%494.1K-5.9M-57.7K0.7640.61N/AN/A6635025,5063,902
2016-12-21$49.53$48.0027.0%7.8%29.3%15.0%27.6%2.5%3.3%513.6K-6.5M-57.9K0.6164.04N/AN/A7774775,5713,973
2016-12-22$48.90$48.0027.4%7.9%30.0%16.4%27.1%2.2%3.7%493.0K-5.0M-56.1K0.6966.88N/AN/A7004825,5984,027
2016-12-23$48.99$48.0027.9%8.0%29.9%18.3%28.5%1.5%3.7%535.9K-5.5M-57.8K0.8745.79N/AN/A5534825,8294,047
2016-12-27$49.57$48.0027.3%7.8%29.9%13.7%27.7%2.6%3.6%605.1K-6.9M-55.9K0.3060.55N/AN/A1,8055425,8524,047
2016-12-28$48.35$48.0028.5%8.2%31.2%18.5%29.0%3.8%3.6%719.8K-5.0M-57.8K0.8851.87N/AN/A6575796,7364,157
2016-12-29$48.63$48.0027.6%7.9%31.0%14.8%28.2%2.9%4.3%727.6K-5.7M-59.4K0.6948.89N/AN/A7965496,7654,318
2016-12-30$48.51$48.0027.3%7.8%28.9%12.8%29.6%3.2%4.6%801.7K-5.7M-59.3K0.9534.25N/AN/A5885566,9934,320