AN Options History — June 2017

In June 2017, AN traded between $39.38 and $42.81. ATM implied volatility averaged 28.7%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 0.2% (HV 20d: 28.5%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.94.

Notable Days

  • 2017-06-27: Highest Volume — 3,421 contracts
  • 2017-06-12: Largest IV spike — 16.4% change
  • 2017-06-12: Highest IV Rank — 60.2%
  • 2017-06-20: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.73$39.38$42.81$40.52$42.33
Max Pain$42.73$40.00$43.00$40.00$43.00
ATM IV28.7%27.1%32.6%27.5%27.7%
Expected Move8.1%7.6%8.6%7.9%7.9%
HV 20d28.5%21.8%34.6%22.3%33.2%
HV 60d29.7%27.8%32.0%27.9%30.5%
IV Rank32.7%21.9%60.2%24.3%25.7%
IV Percentile51.2%29.0%78.2%35.7%39.3%
Term Structure2.1%0.3%4.0%0.3%4.0%
VWIV27.7%26.2%29.3%27.1%27.1%
Skew 25d3.2%1.7%4.3%1.7%3.1%
Skew 10d7.9%3.9%16.8%4.9%5.1%
Call IV 25d26.7%25.1%28.3%27.1%26.1%
Put IV 25d30.0%28.4%32.3%28.8%29.3%
Bid-Ask Spread %23.4416.2752.8922.1738.00
Gamma HHI0.100.090.130.100.13
Net GEX-46.1K-275.8K281.2K-33.2K133.7K
Net DEX3.3M-3.0M7.5M2.5M151.4K
Net VEX-57.3K-63.2K-49.1K-49.1K-63.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.941.353.132.212.34
Total Volume2,143.3641,5333,4211,7452,217
Total OI13,295.81811,96614,29411,96614,251

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$40.52$40.0027.5%7.9%22.3%24.3%27.1%1.7%0.3%-33.2K2.5M-49.1K2.2122.17N/AN/A5441,2016,3645,602
2017-06-02$39.89$40.0027.6%7.9%23.0%24.8%26.3%3.7%0.3%-166.9K4.9M-51.4K2.2518.85N/AN/A5361,2046,1426,111
2017-06-05$39.83$43.0028.8%8.0%22.9%33.5%27.0%3.0%1.3%-183.0K5.0M-49.3K1.6521.06N/AN/A6071,0016,1746,138
2017-06-06$40.15$43.0028.2%8.0%23.1%29.4%27.8%4.2%1.3%-139.0K4.2M-51.6K2.3838.65N/AN/A5961,4196,2716,244
2017-06-07$40.23$43.0028.0%8.0%22.4%27.9%27.1%2.5%1.9%-166.1K4.5M-56.9K2.8118.31N/AN/A5541,5586,2826,930
2017-06-08$39.66$43.0029.1%8.1%23.0%35.6%28.0%3.7%0.9%-275.8K6.4M-56.7K1.7622.15N/AN/A5831,0256,3777,153
2017-06-09$40.54$43.0028.0%7.9%24.2%28.1%28.0%4.0%0.8%-124.8K3.9M-58.7K1.5223.39N/AN/A6489866,5097,235
2017-06-12$42.04$43.0032.6%8.0%26.5%60.2%28.4%3.3%1.4%157.7K-1.1M-60.0K1.3518.09N/AN/A8491,1456,5667,259
2017-06-13$42.01$43.0031.2%7.6%24.8%49.9%26.3%3.6%3.1%142.5K-351.3K-60.4K1.7523.24N/AN/A5721,0006,5737,406
2017-06-14$42.16$43.0027.6%7.9%24.8%24.7%26.2%4.3%2.6%165.8K-807.0K-58.9K1.8152.89N/AN/A5571,0076,6017,447
2017-06-15$42.81$43.0027.1%7.8%21.8%21.9%26.8%2.5%1.9%281.2K-3.0M-62.0K1.8218.36N/AN/A5449896,6737,547
2017-06-16$40.13$43.0029.4%8.4%32.8%37.7%29.3%4.0%1.8%-84.0K4.9M-56.5K3.1327.91N/AN/A5691,7816,6847,610
2017-06-19$40.24$43.0028.9%8.3%32.7%34.2%28.7%3.9%2.5%-142.0K5.8M-59.8K1.6819.86N/AN/A5819755,7666,721
2017-06-20$39.50$43.0029.9%8.6%33.4%41.1%29.1%3.4%2.1%-207.1K7.1M-58.5K1.8319.15N/AN/A5501,0065,9016,832
2017-06-21$39.38$43.0028.8%8.3%32.8%33.3%27.6%3.5%2.5%-228.7K7.5M-57.7K1.5416.27N/AN/A1,1901,8305,9436,906
2017-06-22$39.60$43.0028.8%8.3%32.7%33.7%28.2%2.8%2.0%-136.9K5.9M-54.6K1.4517.95N/AN/A1,2131,7536,5536,293
2017-06-23$39.50$43.0029.3%8.4%32.5%37.1%27.3%2.9%2.2%-152.5K6.4M-55.0K1.4018.74N/AN/A1,2081,6936,6656,346
2017-06-26$40.92$43.0027.7%7.9%34.6%25.9%28.6%4.1%3.2%21.2K3.0M-57.5K1.3822.37N/AN/A1,3011,7926,6836,371
2017-06-27$41.13$43.0028.4%8.2%34.6%30.9%28.5%2.2%3.3%1.6K2.7M-58.3K1.6917.65N/AN/A1,2702,1516,7446,671
2017-06-28$41.44$43.0028.7%8.2%34.6%32.6%28.2%2.7%3.4%14.0K2.4M-61.4K2.5917.04N/AN/A6721,7426,8097,101
2017-06-29$42.03$43.0027.9%8.0%33.8%27.1%28.8%2.5%3.8%109.1K738.6K-62.7K2.4623.67N/AN/A7331,8026,8537,201
2017-06-30$42.33$43.0027.7%7.9%33.2%25.7%27.1%3.1%4.0%133.7K151.4K-63.2K2.3438.00N/AN/A6641,5536,9127,339