AN Options History — August 2017 In August 2017, AN traded between $38.77 and $45.37. ATM implied volatility averaged 29.1%, placing in the 34.6% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 5.2% (HV 20d: 34.4%). Max pain ranged from $42.00 to $42.00. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 1.50.
Notable Days 2017-08-01 : Highest Volume — 7,001 contracts2017-08-02 : Largest IV drop — 18.2% change2017-08-01 : Highest IV Rank — 87.0%2017-08-01 : Largest Expected Move — 10.6%Monthly Statistics Metric Avg Min Max Open Close Price $41.64 $38.77 $45.37 $42.10 $45.37 Max Pain $42.00 $42.00 $42.00 $42.00 $42.00 ATM IV 29.1% 26.7% 36.9% 36.9% 27.8% Expected Move 8.3% 7.6% 10.6% 10.6% 8.0% HV 20d 34.4% 25.7% 38.0% 28.0% 28.9% HV 60d 32.3% 28.2% 34.4% 28.2% 34.4% IV Rank 34.6% 18.0% 87.0% 87.0% 25.5% IV Percentile 53.4% 19.8% 98.4% 98.4% 36.9% Term Structure 0.5% -5.9% 1.8% -5.9% 1.1% VWIV 30.3% 27.0% 37.3% 35.6% 27.6% Skew 25d 4.7% 3.0% 6.5% 5.4% 3.0% Skew 10d 9.5% 5.9% 13.2% 8.2% 5.9% Call IV 25d 27.2% 24.5% 34.7% 34.7% 26.0% Put IV 25d 32.0% 29.0% 40.1% 40.1% 29.0% Bid-Ask Spread % 20.80 16.27 28.35 20.29 19.79 Gamma HHI 0.15 0.09 0.32 0.15 0.13 Net GEX -569.7K -1.9M 443.5K -433.0K 443.5K Net DEX 11.9M -1.9M 21.3M 5.0M -1.9M Net VEX -86.3K -109.4K -60.4K -72.3K -109.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.50 0.32 3.22 0.32 2.99 Total Volume 4,114.957 1,736 7,001 7,001 4,578 Total OI 24,581.391 16,439 31,642 16,439 24,600
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2017-08-01 $42.10 $42.00 36.9% 10.6% 28.0% 87.0% 35.6% 5.4% -5.9% -433.0K 5.0M -72.3K 0.32 20.29 N/A N/A 5,306 1,695 6,744 9,695 2017-08-02 $39.03 $42.00 30.2% 8.6% 38.0% 41.7% 29.3% 3.2% 1.3% -671.0K 18.5M -64.2K 3.22 28.35 N/A N/A 878 2,823 10,638 10,574 2017-08-03 $38.77 $42.00 30.1% 8.6% 37.1% 41.0% 28.4% 4.1% 0.8% -814.8K 21.3M -60.4K 1.35 22.01 N/A N/A 999 1,352 10,972 11,359 2017-08-04 $39.82 $42.00 28.7% 8.4% 37.5% 32.1% 28.9% 5.5% 0.3% -845.7K 16.8M -67.8K 1.19 19.10 N/A N/A 792 944 11,107 11,529 2017-08-07 $40.60 $42.00 30.4% 8.4% 35.9% 43.3% 28.1% 4.3% 0.3% -836.8K 12.8M -68.7K 0.83 18.80 N/A N/A 2,606 2,167 11,253 11,623 2017-08-08 $40.02 $42.00 30.7% 8.6% 36.2% 45.3% 28.9% 3.6% 0.5% -923.9K 18.7M -75.0K 0.89 19.99 N/A N/A 2,561 2,280 12,982 12,758 2017-08-09 $40.75 $42.00 29.8% 8.5% 36.3% 39.0% 27.9% 5.9% -0.2% -967.9K 15.0M -79.2K 0.93 20.70 N/A N/A 2,554 2,365 12,949 13,090 2017-08-10 $40.52 $42.00 31.4% 9.0% 33.1% 49.6% 32.3% 6.1% -0.5% -1.0M 17.0M -79.0K 0.77 22.90 N/A N/A 3,532 2,720 13,090 13,157 2017-08-11 $41.19 $42.00 30.7% 8.8% 33.2% 45.5% 30.7% 6.5% -0.1% -1.1M 16.5M -90.0K 1.29 22.93 N/A N/A 1,753 2,265 14,136 14,805 2017-08-14 $41.97 $42.00 27.7% 8.0% 33.9% 25.2% 37.3% 5.6% 1.6% -963.3K 10.2M -90.2K 1.60 21.63 N/A N/A 1,365 2,183 14,295 15,119 2017-08-15 $41.90 $42.00 29.4% 8.4% 33.9% 36.7% 34.7% 4.4% 0.5% -1.3M 12.2M -94.0K 1.41 21.81 N/A N/A 1,781 2,505 14,690 15,763 2017-08-16 $42.05 $42.00 28.9% 8.3% 33.8% 32.9% 33.5% 4.6% 0.7% -1.5M 9.7M -100.2K 0.96 24.18 N/A N/A 1,760 1,686 15,095 16,183 2017-08-17 $41.19 $42.00 29.7% 8.5% 34.0% 38.5% 33.9% 5.3% 0.5% -1.9M 19.1M -93.8K 1.56 20.32 N/A N/A 1,559 2,426 15,141 16,218 2017-08-18 $41.79 $42.00 28.0% 8.0% 34.5% 26.8% 31.6% 4.8% 1.1% -113.1K 17.2M -91.8K 1.35 19.96 N/A N/A 1,435 1,943 15,175 16,467 2017-08-21 $42.61 $42.00 27.0% 7.7% 35.3% 20.4% 29.8% 4.2% 1.4% -49.6K 5.9M -91.8K 1.38 18.20 N/A N/A 1,272 1,758 8,404 11,456 2017-08-22 $42.86 $42.00 27.5% 7.9% 35.3% 23.3% 27.1% 5.1% 0.1% 55.9K 4.8M -95.4K 1.38 21.94 N/A N/A 1,182 1,635 8,729 11,563 2017-08-23 $42.67 $42.00 27.1% 7.8% 35.3% 20.9% 28.7% 4.3% 0.7% 18.5K 5.7M -96.3K 1.36 16.27 N/A N/A 1,117 1,522 8,776 11,768 2017-08-24 $42.10 $42.00 27.0% 7.7% 35.6% 20.0% 28.2% 4.1% 1.7% -62.1K 8.0M -92.4K 1.59 21.38 N/A N/A 1,056 1,684 8,803 11,760 2017-08-25 $42.91 $42.00 26.7% 7.6% 36.0% 18.0% 27.0% 4.4% 1.8% 43.6K 4.5M -92.3K 1.19 19.85 N/A N/A 2,602 3,091 8,801 11,925 2017-08-28 $42.14 $42.00 28.1% 8.0% 36.5% 27.5% 30.6% 5.8% 1.3% -119.3K 14.3M -90.2K 1.23 16.84 N/A N/A 2,584 3,186 10,395 13,517 2017-08-29 $41.88 $42.00 28.2% 8.1% 36.5% 28.7% 29.5% 3.3% 1.8% -128.3K 14.8M -92.5K 2.77 22.85 N/A N/A 1,146 3,175 10,461 13,632 2017-08-30 $43.38 $42.00 28.1% 8.1% 25.7% 27.8% 28.3% 5.1% 0.5% 128.1K 8.5M -97.6K 2.95 18.36 N/A N/A 1,219 3,602 10,559 13,616 2017-08-31 $45.37 $42.00 27.8% 8.0% 28.9% 25.5% 27.6% 3.0% 1.1% 443.5K -1.9M -109.4K 2.99 19.79 N/A N/A 1,146 3,432 10,598 14,002
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