AN Options History — May 2017

In May 2017, AN traded between $38.88 and $41.84. ATM implied volatility averaged 28.1%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 2.7% (HV 20d: 30.8%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.97.

Notable Days

  • 2017-05-09: Highest Volume — 2,746 contracts
  • 2017-05-22: Largest IV drop — 5.9% change
  • 2017-05-17: Highest IV Rank — 42.2%
  • 2017-05-17: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.91$38.88$41.84$41.84$39.48
Max Pain$41.27$40.00$43.00$43.00$40.00
ATM IV28.1%26.6%30.1%27.5%28.8%
Expected Move8.0%7.7%8.6%7.9%8.3%
HV 20d30.8%20.2%36.1%35.8%20.2%
HV 60d27.4%27.0%27.8%27.6%27.3%
IV Rank28.6%18.1%42.2%24.5%33.5%
IV Percentile44.3%22.2%69.0%36.1%56.0%
Term Structure0.2%-1.0%1.7%-0.5%0.0%
VWIV27.9%26.4%29.5%28.1%28.8%
Skew 25d3.4%1.8%4.3%1.8%3.3%
Skew 10d6.9%3.5%9.2%3.5%7.5%
Call IV 25d26.8%25.5%28.5%27.2%27.4%
Put IV 25d30.2%29.0%32.0%29.0%30.7%
Bid-Ask Spread %21.0116.6629.2927.5620.12
Gamma HHI0.320.080.700.210.12
Net GEX-790.3K-2.0M-16.3K-90.1K-176.1K
Net DEX10.3M4.1M19.7M4.1M5.4M
Net VEX-48.9K-61.6K-41.8K-61.6K-46.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.392.570.391.29
Total Volume1,850.8641,2582,7462,4511,334
Total OI17,638.72710,35622,90918,33911,857

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$41.84$43.0027.5%7.9%35.8%24.5%28.1%1.8%-0.5%-90.1K4.1M-61.6K0.3927.56N/AN/A1,76968210,6977,642
2017-05-02$40.28$43.0028.7%8.2%36.1%32.9%29.0%2.0%-1.0%-739.0K10.9M-56.9K0.8429.29N/AN/A1,08991111,3837,787
2017-05-03$40.32$43.0028.7%8.2%35.8%33.1%27.7%4.0%-0.8%-843.8K11.6M-55.9K0.8427.28N/AN/A1,11893911,4948,179
2017-05-04$40.43$43.0028.0%7.9%35.3%27.6%27.7%4.0%-0.2%-931.8K11.7M-55.3K0.5919.77N/AN/A1,08164311,5238,256
2017-05-05$40.65$42.0026.6%7.7%34.9%18.1%27.3%4.0%0.2%-936.5K10.6M-55.3K0.6018.91N/AN/A1,05663111,5688,300
2017-05-08$40.69$42.0027.9%7.8%34.9%27.2%27.6%3.3%0.5%-1.0M10.3M-52.7K0.4118.88N/AN/A1,72570411,5758,303
2017-05-09$40.06$42.0028.3%7.9%35.1%30.1%27.3%3.6%0.7%-1.2M12.9M-53.0K0.4722.83N/AN/A1,86987712,2618,336
2017-05-10$40.20$41.0027.6%7.9%35.1%25.2%27.6%3.6%-0.2%-1.3M12.7M-52.3K0.5517.85N/AN/A1,26469112,4208,535
2017-05-11$39.98$41.0027.5%7.9%34.6%24.0%27.3%3.8%0.1%-1.4M13.9M-50.3K0.6820.91N/AN/A1,11375312,5578,536
2017-05-12$39.38$41.0028.1%8.1%34.6%28.7%27.1%2.4%0.7%-1.5M16.4M-47.7K0.5118.10N/AN/A1,20660912,6138,624
2017-05-15$40.52$41.0027.2%7.8%36.0%22.4%28.3%3.4%0.7%-1.5M10.1M-48.8K0.7420.13N/AN/A93469312,7198,561
2017-05-16$40.44$41.0028.8%8.2%31.2%33.2%28.7%3.6%-0.1%-1.7M9.4M-48.8K0.7520.02N/AN/A95872013,0508,606
2017-05-17$39.20$41.0030.1%8.6%28.5%42.2%29.4%3.5%0.2%-1.6M17.6M-45.4K0.7527.52N/AN/A1,01376413,2808,726
2017-05-18$39.35$41.0029.9%8.6%28.2%40.8%28.9%3.7%-0.8%-2.0M17.8M-43.4K0.4417.98N/AN/A1,54668513,3518,787
2017-05-19$39.70$41.0028.8%8.3%28.1%33.7%29.5%2.9%-0.1%-16.3K19.7M-43.5K0.6422.64N/AN/A1,44892214,0828,827
2017-05-22$39.64$41.0027.2%7.8%26.2%21.9%26.4%4.3%0.1%-49.9K4.6M-42.9K0.7619.43N/AN/A1,1388615,8874,469
2017-05-23$38.96$41.0028.2%8.1%26.4%29.0%26.8%3.8%0.5%-98.5K5.9M-41.8K1.5218.04N/AN/A5728726,0074,746
2017-05-24$39.31$40.0027.8%8.0%26.6%26.3%26.8%2.7%1.0%-81.0K5.2M-43.5K2.2219.52N/AN/A4008886,0504,780
2017-05-25$38.88$40.0027.4%7.9%26.1%23.9%27.5%3.1%1.1%-111.4K6.1M-41.8K2.5716.66N/AN/A3529066,0764,831
2017-05-26$39.24$40.0026.9%7.7%23.7%20.4%28.2%4.1%1.7%-102.4K5.5M-43.3K2.4518.68N/AN/A4691,1486,0974,934
2017-05-30$39.54$40.0028.2%8.1%24.1%29.6%28.9%3.6%-0.1%-165.1K5.2M-45.7K1.3620.09N/AN/A5787886,2835,457
2017-05-31$39.48$40.0028.8%8.3%20.2%33.5%28.8%3.3%0.0%-176.1K5.4M-46.0K1.2920.12N/AN/A5827526,3435,514