AN Options History — April 2017

In April 2017, AN traded between $39.46 and $43.93. ATM implied volatility averaged 28.9%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 0.1% (HV 20d: 29.0%). Max pain ranged from $41.00 to $47.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.09.

Notable Days

  • 2017-04-20: Highest Volume — 9,161 contracts
  • 2017-04-12: Largest IV spike — 29.0% change
  • 2017-04-21: Highest IV Rank — 72.9%
  • 2017-04-21: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.56$39.46$43.93$40.84$42.06
Max Pain$42.42$41.00$47.00$47.00$43.00
ATM IV28.9%24.2%34.5%27.8%26.7%
Expected Move8.6%7.4%9.9%8.0%7.6%
HV 20d29.0%23.7%37.1%23.7%37.1%
HV 60d24.1%21.7%27.7%21.7%27.7%
IV Rank34.1%1.4%72.9%26.7%18.6%
IV Percentile43.5%0.4%89.3%36.9%23.0%
Term Structure-1.4%-4.6%4.1%2.2%-0.5%
VWIV27.4%22.1%34.2%30.1%26.4%
Skew 25d3.5%2.0%5.3%4.3%2.4%
Skew 10d6.3%-2.2%13.8%4.0%4.7%
Call IV 25d28.7%24.8%33.1%26.2%25.8%
Put IV 25d32.2%27.9%35.7%30.5%28.3%
Bid-Ask Spread %43.2127.3571.3850.0433.59
Gamma HHI0.310.110.570.110.19
Net GEX-96.6K-1.3M1.1M-137.7K86.0K
Net DEX6.8M-8.5M20.9M11.3M2.5M
Net VEX-49.6K-75.6K-32.1K-32.1K-65.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.164.654.650.54
Total Volume3,372.2631,4459,1617,6101,791
Total OI16,118.05311,65924,79211,65918,318

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$40.84$47.0027.8%8.0%23.7%26.7%30.1%4.3%2.2%-137.7K11.3M-32.1K4.6550.04N/AN/A1,3476,2636,6565,003
2017-04-04$40.31$47.0028.6%8.2%23.9%32.4%28.4%2.1%2.8%-1.1M18.8M-43.9K1.3128.53N/AN/A1,3581,7826,8538,951
2017-04-05$39.64$46.0025.9%7.4%23.8%13.4%25.9%2.0%4.1%-1.3M20.9M-42.2K0.9371.38N/AN/A1,2991,2026,9719,173
2017-04-06$40.27$41.0024.4%8.7%24.6%2.8%24.4%2.2%-1.5%-1.3M18.2M-44.1K4.2031.63N/AN/A1,3845,8097,2179,156
2017-04-07$40.14$41.0024.2%8.6%24.4%1.4%24.6%4.0%-2.4%-650.0K14.5M-35.7K0.5633.63N/AN/A1,1476457,2676,900
2017-04-10$40.61$41.0025.1%8.9%25.2%7.6%24.0%3.5%-2.5%-634.4K12.9M-35.4K0.5427.35N/AN/A1,4087677,2686,812
2017-04-11$40.76$41.0024.7%8.9%25.2%5.1%26.5%5.3%-2.2%-566.0K12.1M-37.4K0.5149.99N/AN/A1,1806057,4056,819
2017-04-12$40.06$41.0031.9%9.1%24.5%55.0%23.2%4.1%-1.9%-665.9K13.6M-36.8K0.5029.54N/AN/A1,0825437,4736,803
2017-04-13$39.46$41.0032.8%9.4%24.7%61.3%24.1%4.0%-2.3%-732.8K15.6M-33.8K0.7332.50N/AN/A1,0757827,4806,759
2017-04-17$39.51$41.0032.1%9.2%24.7%56.5%25.0%3.2%-3.0%-718.8K14.9M-33.0K0.5031.98N/AN/A1,0495287,5226,681
2017-04-18$41.51$41.0031.2%8.9%31.4%49.9%22.1%4.4%-3.1%-385.8K9.2M-36.0K0.8038.38N/AN/A1,0988767,6306,679
2017-04-19$43.29$41.0033.8%9.7%32.9%68.3%33.8%4.0%-3.9%432.0K522.5K-41.7K0.1669.95N/AN/A5,8609278,4896,848
2017-04-20$43.68$41.0033.6%9.6%33.0%67.0%34.0%3.6%-4.0%1.1M-8.5M-60.4K0.8562.93N/AN/A4,9514,21012,1026,983
2017-04-21$42.85$42.0034.5%9.9%33.6%72.9%34.2%2.5%-4.6%1.1M-2.3M-74.9K0.8552.92N/AN/A1,3021,10214,76510,027
2017-04-24$43.88$42.0032.9%9.4%34.5%62.1%33.2%4.5%-3.5%925.4K-8.5M-75.6K1.1239.88N/AN/A9281,0439,8136,771
2017-04-25$43.93$43.0026.1%7.5%34.5%14.6%26.1%4.8%0.5%1.1M-8.1M-74.7K0.1761.88N/AN/A4,60680310,4007,339
2017-04-26$43.23$43.0026.8%7.7%34.5%19.1%26.9%2.2%0.4%683.5K-3.1M-69.4K1.2536.07N/AN/A6428039,9997,377
2017-04-27$43.67$43.0026.0%7.5%34.6%14.0%27.8%3.1%-0.6%889.3K-5.0M-70.8K0.5738.81N/AN/A1,19468210,0137,521
2017-04-28$42.06$43.0026.7%7.6%37.1%18.6%26.4%2.4%-0.5%86.0K2.5M-65.3K0.5433.59N/AN/A1,16462710,7177,601