AN Options History — February 2017

In February 2017, AN traded between $45.85 and $52.46. ATM implied volatility averaged 27.1%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 5.2% (HV 20d: 21.9%). Max pain ranged from $48.00 to $52.50. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.62.

Notable Days

  • 2017-02-01: Highest Volume — 3,655 contracts
  • 2017-02-03: Largest IV drop — 27.4% change
  • 2017-02-01: Highest IV Rank — 68.5%
  • 2017-02-01: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.04$45.85$52.46$52.46$45.85
Max Pain$50.39$48.00$52.50$50.00$48.00
ATM IV27.1%24.0%37.6%37.6%27.1%
Expected Move7.6%6.9%10.8%10.8%7.8%
HV 20d21.9%14.6%24.3%18.9%24.3%
HV 60d26.4%24.9%29.1%27.1%25.9%
IV Rank16.8%0.0%68.5%68.5%21.2%
IV Percentile19.5%0.0%98.0%98.0%21.0%
Term Structure0.7%-7.2%2.1%-7.2%0.9%
VWIV26.8%24.5%38.2%38.2%25.4%
Skew 25d2.7%0.9%4.3%2.0%2.1%
Skew 10d4.2%-2.5%8.3%5.2%1.1%
Call IV 25d25.8%22.9%35.8%35.8%26.9%
Put IV 25d28.4%26.2%37.8%37.8%29.1%
Bid-Ask Spread %42.1828.2780.1963.2236.27
Gamma HHI0.180.150.220.180.17
Net GEX-542.5K-1.1M246.6K246.6K-317.1K
Net DEX8.3M-6.1M14.8M-6.1M9.4M
Net VEX-50.0K-63.1K-41.8K-61.2K-41.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.724.614.611.10
Total Volume1,294.1057363,6553,655736
Total OI10,786.5798,17212,6619,7068,947

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$52.46$50.0037.6%10.8%18.9%68.5%38.2%2.0%-7.2%246.6K-6.1M-61.2K4.6163.22N/AN/A6513,0044,5195,187
2017-02-02$51.89$52.5035.6%8.4%14.6%58.3%30.0%3.7%-1.4%110.8K-3.9M-63.1K2.7959.92N/AN/A7051,9644,6135,882
2017-02-03$49.87$52.5025.9%7.7%20.5%8.1%26.8%3.1%-0.9%-321.1K2.5M-59.6K1.2065.82N/AN/A5997184,9256,539
2017-02-06$48.44$52.5028.3%7.4%22.3%20.7%26.2%3.2%2.1%-750.6K9.1M-55.2K1.7034.49N/AN/A4307314,9856,588
2017-02-07$48.06$52.5027.9%7.7%22.3%18.6%27.9%3.8%1.6%-885.5K10.9M-54.1K1.5832.63N/AN/A4837614,9836,798
2017-02-08$47.65$52.5026.5%7.6%21.4%11.1%27.0%4.3%1.5%-966.0K12.7M-50.9K1.8029.32N/AN/A3145665,0536,902
2017-02-09$47.37$52.5026.6%7.6%21.3%14.4%27.2%2.1%1.7%-948.5K12.7M-50.6K2.5446.50N/AN/A2436175,0696,906
2017-02-10$47.87$52.5025.3%7.3%21.7%6.2%26.5%3.5%1.8%-990.9K11.7M-51.6K1.9531.54N/AN/A3566935,0756,949
2017-02-13$47.23$50.0025.9%7.4%22.0%11.1%26.0%0.9%1.2%-982.1K13.4M-47.0K2.2236.10N/AN/A4921,0935,1636,984
2017-02-14$47.39$50.0025.6%7.3%21.9%9.0%25.6%2.0%1.7%-1.1M13.1M-49.3K1.2845.93N/AN/A5386885,3237,191
2017-02-15$47.44$49.0025.2%7.2%21.9%6.1%24.9%1.8%1.4%-962.8K12.9M-48.6K0.9033.10N/AN/A5464925,3867,210
2017-02-16$46.84$49.0024.8%7.1%22.1%3.7%25.1%2.4%2.1%-954.5K14.8M-45.8K0.8334.34N/AN/A6175105,4267,197
2017-02-17$47.77$49.0024.0%6.9%23.7%0.0%24.8%3.2%1.8%-256.9K12.7M-47.0K1.2528.27N/AN/A6277815,4287,233
2017-02-21$48.33$49.0024.5%7.0%23.9%3.2%24.5%3.2%1.8%-195.8K4.2M-46.3K0.7239.92N/AN/A5694103,6074,565
2017-02-22$47.69$49.0025.7%7.4%22.9%11.8%25.9%2.3%1.5%-208.7K5.3M-45.7K0.9180.19N/AN/A4984513,7274,627
2017-02-23$46.79$49.0025.5%7.3%23.3%10.2%25.3%1.7%1.6%-283.8K7.0M-44.3K1.4737.95N/AN/A3455083,7574,701
2017-02-24$46.77$49.0026.4%7.6%23.3%16.4%26.0%2.0%0.2%-296.8K7.8M-44.4K1.0133.26N/AN/A4724773,8114,848
2017-02-27$47.07$49.0027.0%7.7%23.6%20.6%26.6%3.2%0.1%-288.7K7.4M-43.1K0.9532.67N/AN/A4634403,9094,932
2017-02-28$45.85$48.0027.1%7.8%24.3%21.2%25.4%2.1%0.9%-317.1K9.4M-41.8K1.1036.27N/AN/A3513854,0004,947