AN Options History — January 2017

In January 2017, AN traded between $49.27 and $53.27. ATM implied volatility averaged 32.0%, placing in the 37.7% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 10.4% (HV 20d: 21.6%). Max pain ranged from $48.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 2.08.

Notable Days

  • 2017-01-17: Highest Volume — 6,260 contracts
  • 2017-01-11: Largest IV spike — 5.5% change
  • 2017-01-31: Highest IV Rank — 58.4%
  • 2017-01-31: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.67$49.27$53.27$49.27$53.27
Max Pain$49.40$48.00$50.00$48.00$50.00
ATM IV32.0%28.1%35.7%28.5%35.7%
Expected Move9.4%8.2%10.2%8.2%10.2%
HV 20d21.6%17.9%27.8%25.7%18.0%
HV 60d30.9%27.7%32.4%31.7%27.7%
IV Rank37.7%14.8%58.4%16.6%58.4%
IV Percentile64.2%27.8%94.4%31.7%94.4%
Term Structure-2.4%-5.9%4.1%4.1%-5.9%
VWIV35.3%24.3%39.8%24.3%39.8%
Skew 25d3.4%1.2%5.6%3.1%5.6%
Skew 10d6.1%3.5%11.7%5.3%11.7%
Call IV 25d31.7%27.8%34.2%27.8%32.4%
Put IV 25d35.1%29.6%38.0%30.9%37.9%
Bid-Ask Spread %58.1631.9386.7731.9364.36
Gamma HHI0.360.190.460.460.19
Net GEX899.8K282.0K1.4M1.0M282.0K
Net DEX-13.8M-21.4M-7.7M-8.1M-7.7M
Net VEX-56.6K-61.8K-46.6K-57.2K-60.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.080.363.572.243.57
Total Volume2,628.351,8306,2601,8692,699
Total OI11,636.38,37914,65511,3739,676

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$49.27$48.0028.5%8.2%25.7%16.6%24.3%3.1%4.1%1.0M-8.1M-57.2K2.2431.93N/AN/A5761,2937,0374,336
2017-01-04$51.14$48.0029.3%8.4%27.8%19.3%29.0%1.7%3.8%1.1M-14.6M-60.6K2.0749.50N/AN/A7011,4537,0455,114
2017-01-05$51.06$49.0028.7%9.5%26.2%17.3%36.3%4.9%-1.6%1.1M-14.8M-61.7K1.9239.57N/AN/A8531,6347,2025,272
2017-01-06$50.31$49.0028.1%9.3%25.3%14.8%34.7%3.2%-1.2%1.0M-11.2M-61.8K1.8937.58N/AN/A8161,5417,1295,433
2017-01-09$50.50$49.0028.5%9.4%23.2%16.5%36.7%5.1%-1.5%1.1M-11.5M-59.4K1.7544.03N/AN/A7701,3507,2275,407
2017-01-10$51.24$49.0029.9%9.6%22.9%21.9%36.4%3.6%-1.6%1.1M-15.0M-56.9K1.6544.06N/AN/A8551,4147,2375,412
2017-01-11$51.42$49.0031.6%9.1%21.6%37.4%37.0%3.8%-1.6%1.2M-15.4M-55.5K1.8747.50N/AN/A7311,3677,1465,476
2017-01-12$51.61$49.0031.9%9.1%21.5%38.9%38.4%5.0%-1.8%1.2M-16.4M-53.4K2.4444.39N/AN/A5531,3487,1515,463
2017-01-13$51.36$49.0032.2%9.2%21.2%40.5%36.0%3.5%-1.4%1.3M-16.2M-51.5K3.0151.41N/AN/A4561,3747,1545,464
2017-01-17$51.65$49.0033.4%9.6%21.1%46.6%34.1%3.3%-3.5%1.3M-17.7M-46.6K0.3656.62N/AN/A4,6011,6597,1585,489
2017-01-18$51.69$50.0032.7%9.4%21.0%43.1%33.9%4.1%-3.2%1.4M-20.3M-57.6K0.6459.44N/AN/A2,5121,6028,6795,803
2017-01-19$51.57$50.0033.0%9.5%20.8%44.6%35.7%2.9%-3.0%1.1M-21.2M-56.1K3.3866.84N/AN/A4891,6548,7385,807
2017-01-20$51.66$50.0032.8%9.4%20.1%43.5%36.2%3.2%-3.0%388.5K-21.4M-55.4K3.5271.11N/AN/A4631,6288,7755,880
2017-01-23$52.12$50.0033.8%9.7%20.2%48.6%36.2%1.6%-4.3%457.4K-8.8M-53.4K2.0175.55N/AN/A6121,2284,5353,844
2017-01-24$52.97$50.0033.4%9.6%19.9%46.7%36.4%2.4%-3.9%576.2K-11.1M-53.1K1.6676.61N/AN/A9461,5684,8483,849
2017-01-25$53.01$50.0033.6%9.6%19.9%47.9%35.3%3.4%-3.6%574.8K-11.7M-57.8K2.4770.18N/AN/A6411,5825,2094,162
2017-01-26$52.84$50.0033.4%9.6%19.9%46.7%38.7%1.6%-4.0%593.1K-11.7M-58.1K2.1482.17N/AN/A7471,5955,2154,209
2017-01-27$52.21$50.0033.8%9.7%17.9%49.0%35.4%1.2%-4.4%574.9K-10.0M-58.2K2.1463.63N/AN/A7071,5145,3204,232
2017-01-30$52.54$50.0035.2%10.1%17.9%55.8%35.8%5.0%-5.9%633.4K-10.6M-56.2K0.9286.77N/AN/A2,6272,4085,3424,251
2017-01-31$53.27$50.0035.7%10.2%18.0%58.4%39.8%5.6%-5.9%282.0K-7.7M-60.8K3.5764.36N/AN/A5912,1084,4935,183