AN Options History — July 2017

In July 2017, AN traded between $40.36 and $43.10. ATM implied volatility averaged 33.5%, placing in the 66.0% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 0.6% (HV 20d: 32.9%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.40.

Notable Days

  • 2017-07-24: Highest Volume — 4,331 contracts
  • 2017-07-10: Largest IV spike — 19.9% change
  • 2017-07-31: Highest IV Rank — 100.0%
  • 2017-07-31: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.15$40.36$43.10$43.02$42.43
Max Pain$42.10$42.00$43.00$43.00$42.00
ATM IV33.5%26.8%38.8%26.8%38.8%
Expected Move9.8%7.7%11.1%7.7%11.1%
HV 20d32.9%28.5%39.4%33.5%28.5%
HV 60d30.4%28.1%32.4%30.5%28.2%
IV Rank66.0%19.3%100.0%19.3%100.0%
IV Percentile82.3%23.8%100.0%23.8%100.0%
Term Structure-2.6%-6.0%4.8%4.8%-6.0%
VWIV34.8%27.1%38.5%27.1%38.5%
Skew 25d4.1%2.6%5.3%2.6%4.9%
Skew 10d8.4%3.6%11.4%8.0%11.1%
Call IV 25d32.5%25.6%35.4%25.6%35.4%
Put IV 25d36.6%28.2%40.4%28.2%40.4%
Bid-Ask Spread %25.3416.7553.5826.3625.60
Gamma HHI0.170.110.670.140.14
Net GEX-397.4K-3.5M375.4K323.6K-350.1K
Net DEX2.2M-3.2M8.0M-2.7M3.6M
Net VEX-63.9K-76.0K-54.1K-59.9K-73.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.533.332.650.66
Total Volume2,341.71,2744,3312,1262,017
Total OI16,167.0511,59119,89414,30916,199

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$43.02$43.0026.8%7.7%33.5%19.3%27.1%2.6%4.8%323.6K-2.7M-59.9K2.6526.36N/AN/A5821,5446,9577,352
2017-07-05$42.07$43.0029.5%8.4%34.7%38.0%28.5%3.9%3.2%78.1K890.6K-59.5K2.3448.05N/AN/A7111,6636,9887,428
2017-07-06$40.97$42.0029.4%9.6%36.2%37.3%33.4%4.2%-2.0%-242.0K5.7M-61.8K1.6721.04N/AN/A5549257,1058,122
2017-07-07$41.90$42.0027.0%9.1%36.5%20.9%32.7%3.8%-1.4%-117.3K3.1M-61.3K1.4423.07N/AN/A5227527,1698,168
2017-07-10$40.36$42.0032.4%10.2%38.4%58.3%35.0%3.8%-3.5%-371.4K8.0M-57.1K3.3320.33N/AN/A5721,9027,1848,039
2017-07-11$40.60$42.0031.0%9.8%36.0%48.9%33.2%3.9%-2.6%-289.9K6.3M-54.1K0.7224.87N/AN/A1,2438907,1927,649
2017-07-12$41.23$42.0033.9%9.7%36.5%68.8%34.2%3.6%-2.7%-126.9K3.9M-57.4K0.6724.67N/AN/A1,2978657,9047,700
2017-07-13$42.90$42.0033.2%9.5%39.2%64.0%35.4%3.8%-2.6%375.4K-3.2M-62.7K2.1620.40N/AN/A6261,3558,6847,759
2017-07-14$42.09$42.0034.4%9.9%39.4%72.4%35.3%3.7%-3.0%9.6K827.8K-63.6K1.3522.32N/AN/A5677688,7438,304
2017-07-17$42.13$42.0034.6%9.9%31.4%74.1%36.3%4.0%-3.6%-14.3K884.8K-60.5K2.2420.48N/AN/A1,2132,7158,7988,400
2017-07-18$42.14$42.0035.0%10.0%31.4%76.3%36.4%4.2%-3.9%-966.4K5.4M-63.8K1.5118.59N/AN/A1,1661,7659,45710,201
2017-07-19$42.43$42.0035.0%10.0%30.5%76.8%35.4%3.9%-3.8%-1.0M3.5M-64.4K0.5321.10N/AN/A1,4367589,44610,234
2017-07-20$43.10$42.0033.8%9.7%30.7%68.0%35.2%3.8%-3.3%-749.7K-2.2M-63.1K0.6021.84N/AN/A1,2527559,57110,232
2017-07-21$42.92$42.0034.2%9.8%30.8%71.0%34.9%5.0%-3.9%-3.5M-627.1K-61.4K0.8416.75N/AN/A1,2731,0739,59610,298
2017-07-24$42.74$42.0035.4%10.1%30.9%79.2%36.1%3.9%-3.3%89.8K-946.6K-60.4K2.0417.90N/AN/A1,4262,9055,2036,388
2017-07-25$42.70$42.0035.5%10.2%28.6%80.3%36.8%4.4%-3.5%-250.0K2.3M-70.8K0.9422.03N/AN/A1,2761,2045,5648,693
2017-07-26$42.45$42.0036.7%10.5%28.7%88.3%36.5%4.1%-3.7%-265.1K3.1M-74.0K0.7437.31N/AN/A1,3039676,3008,952
2017-07-27$42.22$42.0037.5%10.8%28.7%94.0%37.4%5.3%-4.2%-308.6K4.4M-73.6K0.7620.51N/AN/A1,4311,0886,3699,082
2017-07-28$42.69$42.0036.1%10.4%28.5%84.6%37.6%4.6%-4.0%-238.4K2.7M-76.0K0.8253.58N/AN/A1,3561,1176,5379,374
2017-07-31$42.43$42.0038.8%11.1%28.5%100.0%38.5%4.9%-6.0%-350.1K3.6M-73.5K0.6625.60N/AN/A1,2138046,6519,548