AN Options History — March 2017

In March 2017, AN traded between $41.95 and $46.69. ATM implied volatility averaged 27.5%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 6.8% (HV 20d: 20.7%). Max pain ranged from $48.00 to $52.50. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.96.

Notable Days

  • 2017-03-28: Highest Volume — 2,639 contracts
  • 2017-03-31: Largest IV drop — 14.7% change
  • 2017-03-29: Highest IV Rank — 42.0%
  • 2017-03-29: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.21$41.95$46.69$46.69$42.31
Max Pain$49.46$48.00$52.50$48.00$49.00
ATM IV27.5%25.6%30.0%26.3%25.6%
Expected Move8.0%7.3%8.6%7.5%7.3%
HV 20d20.7%19.0%24.9%24.9%21.0%
HV 60d22.1%20.7%25.2%25.2%20.7%
IV Rank24.4%10.8%42.0%15.9%10.8%
IV Percentile30.6%6.3%63.1%14.3%6.3%
Term Structure0.5%-1.1%3.7%1.0%3.7%
VWIV27.1%24.4%31.0%27.5%24.8%
Skew 25d3.0%0.8%5.1%2.3%3.1%
Skew 10d7.0%-0.5%16.3%3.1%6.5%
Call IV 25d26.6%23.8%28.8%26.2%23.8%
Put IV 25d29.6%27.0%32.0%28.5%27.0%
Bid-Ask Spread %73.3326.6491.5432.7266.56
Gamma HHI0.180.130.250.160.13
Net GEX-318.4K-536.6K-37.0K-289.8K-120.0K
Net DEX10.2M6.7M13.0M8.0M9.9M
Net VEX-37.1K-43.0K-27.2K-42.8K-34.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.362.531.920.98
Total Volume1,684.2619262,6399262,447
Total OI9,891.3048,83011,1438,99111,143

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$46.69$48.0026.3%7.5%24.9%15.9%27.5%2.3%1.0%-289.8K8.0M-42.8K1.9232.72N/AN/A3176094,0604,931
2017-03-02$46.45$48.0027.0%7.7%24.7%20.7%27.2%2.5%0.8%-326.2K8.3M-43.0K1.9226.64N/AN/A3196114,0995,068
2017-03-03$45.85$48.0025.7%7.4%24.7%11.7%25.3%3.0%2.0%-386.5K9.8M-42.9K2.2945.46N/AN/A2946744,1805,234
2017-03-06$45.46$52.5026.8%8.1%21.4%19.3%28.8%3.9%0.8%-458.8K11.1M-41.9K2.5383.01N/AN/A3137914,1865,522
2017-03-07$45.27$50.0026.6%8.0%19.3%17.9%27.8%4.6%0.6%-506.9K12.2M-40.8K1.4447.40N/AN/A4987184,2985,627
2017-03-08$45.53$50.0025.8%7.9%19.5%12.4%28.1%3.4%0.6%-496.2K11.1M-41.4K1.5183.86N/AN/A4827294,3065,624
2017-03-09$44.68$50.0026.0%7.8%20.2%13.8%29.1%1.3%1.1%-531.1K13.0M-39.1K1.5589.90N/AN/A4476944,3275,664
2017-03-10$44.81$50.0026.0%7.8%20.3%13.9%26.3%3.0%0.3%-536.6K13.0M-37.5K0.3839.52N/AN/A1,4005334,3345,644
2017-03-13$44.73$50.0028.6%7.8%19.7%31.9%24.4%2.8%0.5%-469.6K12.6M-39.4K0.4182.02N/AN/A1,3135345,2655,588
2017-03-14$44.82$50.0027.1%7.9%19.4%21.8%25.1%2.6%0.4%-486.5K12.4M-38.0K0.3780.94N/AN/A1,3284935,2715,519
2017-03-15$45.48$50.0027.0%7.7%20.3%21.1%26.6%4.7%0.0%-439.2K9.5M-40.4K0.3890.37N/AN/A1,2924955,2965,324
2017-03-16$45.21$50.0027.4%7.9%20.3%23.8%27.1%2.9%0.2%-442.7K9.3M-40.7K0.3688.95N/AN/A1,3184815,3275,334
2017-03-17$44.52$50.0026.4%7.6%20.5%17.0%27.3%2.2%1.9%-188.3K12.1M-35.4K0.8684.11N/AN/A1,0148715,3425,351
2017-03-20$43.99$50.0026.9%7.7%19.0%20.3%28.0%2.7%0.2%-205.9K9.7M-30.4K0.5375.36N/AN/A9905234,6384,199
2017-03-21$42.50$49.0028.4%8.1%20.9%30.4%24.4%5.1%0.5%-218.3K11.0M-27.2K0.7763.45N/AN/A9887564,6544,176
2017-03-22$42.35$49.0028.1%8.1%20.7%28.7%25.8%2.5%1.3%-224.4K9.9M-29.2K0.6481.52N/AN/A1,0907024,7414,151
2017-03-23$41.95$49.0028.5%8.2%20.2%31.6%27.9%0.8%0.0%-212.1K10.0M-29.6K0.5091.54N/AN/A1,1885944,8734,255
2017-03-24$42.18$49.0029.5%8.4%20.5%38.0%24.9%3.8%-0.7%-204.9K9.8M-30.3K0.6484.49N/AN/A1,1607465,0264,269
2017-03-27$42.24$49.0029.4%8.4%20.2%37.6%27.6%3.1%-0.7%-222.3K9.9M-33.0K0.6487.12N/AN/A1,2027755,0154,536
2017-03-28$43.01$49.0029.8%8.5%20.3%40.3%31.0%4.6%-0.6%-212.0K8.8M-34.7K0.3683.04N/AN/A1,9406995,0984,532
2017-03-29$43.38$49.0030.0%8.6%19.2%42.0%29.3%1.5%-0.6%-109.1K7.3M-39.0K0.3991.15N/AN/A1,7626925,8374,550
2017-03-30$43.51$49.0030.0%8.6%19.3%41.6%29.4%2.0%-1.1%-37.0K6.7M-41.9K0.5987.40N/AN/A1,2067106,5144,572
2017-03-31$42.31$49.0025.6%7.3%21.0%10.8%24.8%3.1%3.7%-120.0K9.9M-34.3K0.9866.56N/AN/A1,2331,2146,5594,584