AN Options History — September 2017

In September 2017, AN traded between $44.72 and $48.77. ATM implied volatility averaged 28.7%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 1.6% (HV 20d: 27.0%). Max pain ranged from $42.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 4.58.

Notable Days

  • 2017-09-14: Highest Volume — 5,938 contracts
  • 2017-09-05: Largest IV spike — 8.6% change
  • 2017-09-05: Highest IV Rank — 51.0%
  • 2017-09-06: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.49$44.72$48.77$45.56$47.46
Max Pain$44.85$42.00$45.00$42.00$45.00
ATM IV28.7%27.2%31.6%29.0%27.4%
Expected Move8.2%7.8%8.9%8.3%7.9%
HV 20d27.0%19.9%29.3%28.0%19.9%
HV 60d31.5%29.8%34.2%34.2%29.8%
IV Rank31.4%21.8%51.0%34.0%22.9%
IV Percentile47.4%24.2%75.0%58.3%25.4%
Term Structure2.3%0.5%3.7%2.4%3.3%
VWIV28.4%24.0%33.3%29.4%26.5%
Skew 25d3.6%2.5%4.7%3.0%3.8%
Skew 10d8.0%4.1%11.2%4.1%6.2%
Call IV 25d27.4%25.2%29.3%27.4%25.3%
Put IV 25d31.0%29.1%33.5%30.4%29.1%
Bid-Ask Spread %23.1512.3568.2626.0738.81
Gamma HHI0.130.100.160.130.14
Net GEX353.6K58.1K653.9K516.7K579.5K
Net DEX-6.0M-17.2M3.2M-4.5M-8.6M
Net VEX-111.4K-120.5K-100.4K-114.1K-100.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.581.367.583.106.56
Total Volume4,240.953,1995,9385,4693,366
Total OI27,688.725,09330,36925,09327,649

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$45.56$42.0029.0%8.3%28.0%34.0%29.4%3.0%2.4%516.7K-4.5M-114.1K3.1026.07N/AN/A1,3354,13410,96714,126
2017-09-05$46.03$45.0031.6%8.7%27.7%51.0%29.5%4.5%0.5%512.7K-6.3M-110.7K4.1326.01N/AN/A9503,92711,16714,842
2017-09-06$44.78$45.0030.4%8.9%29.3%43.2%32.5%4.1%0.8%274.7K1.4M-113.2K5.7017.29N/AN/A7784,43711,38715,501
2017-09-07$44.72$45.0030.6%8.7%29.0%44.2%24.0%3.5%1.5%126.7K3.2M-112.5K7.5816.91N/AN/A5273,99611,47516,618
2017-09-08$44.94$45.0030.1%8.8%28.8%41.0%30.0%4.7%0.6%58.1K2.4M-116.2K4.5920.69N/AN/A8293,80911,51317,345
2017-09-11$45.54$45.0029.6%8.4%28.6%38.2%29.2%4.3%1.7%217.2K-2.4M-112.6K5.8116.57N/AN/A6573,82011,83317,351
2017-09-12$45.79$45.0028.8%8.4%28.2%32.7%27.5%4.0%1.6%219.4K-3.7M-112.2K4.5415.89N/AN/A7233,28011,73717,370
2017-09-13$46.52$45.0027.7%7.9%28.3%25.1%27.7%3.6%2.4%456.5K-9.1M-105.8K4.3212.35N/AN/A8023,46211,66517,397
2017-09-14$45.97$45.0028.1%8.0%29.0%27.4%28.2%3.6%1.7%221.5K-5.1M-105.0K1.3613.46N/AN/A2,5193,41911,65417,484
2017-09-15$46.30$45.0028.2%8.1%27.4%28.2%28.1%3.5%1.0%149.9K-9.4M-112.7K3.7816.67N/AN/A1,1384,30312,93017,439
2017-09-18$46.13$45.0028.8%8.3%27.4%32.7%33.3%3.2%3.5%90.3K-116.3K-114.8K2.7119.53N/AN/A1,0922,95810,56415,732
2017-09-19$46.90$45.0028.2%8.1%27.2%28.6%28.1%3.3%2.9%282.2K-6.1M-120.5K3.0419.45N/AN/A9993,03211,14215,859
2017-09-20$46.84$45.0028.4%8.2%27.3%29.9%28.2%2.8%3.6%253.5K-5.5M-115.7K5.3532.22N/AN/A5162,75911,13016,004
2017-09-21$46.97$45.0027.3%7.8%27.1%22.5%25.4%3.6%3.1%332.4K-6.2M-116.1K5.8419.11N/AN/A4682,73111,14515,987
2017-09-22$47.41$45.0027.9%8.0%26.3%26.2%26.1%3.4%2.8%401.1K-9.1M-111.9K4.0414.91N/AN/A6952,80811,16015,970
2017-09-25$47.65$45.0027.7%7.9%25.8%25.1%32.4%2.9%3.7%489.1K-10.4M-113.9K5.2168.26N/AN/A5863,05311,28015,980
2017-09-26$48.77$45.0027.2%7.8%25.0%21.8%26.4%4.5%2.4%653.9K-17.2M-111.9K4.3829.11N/AN/A6762,96111,31916,216
2017-09-27$48.28$45.0027.9%8.0%25.4%26.3%28.2%4.0%2.8%644.1K-14.4M-106.0K4.7422.02N/AN/A6262,96711,16216,227
2017-09-28$47.25$45.0028.0%8.0%25.0%27.0%26.4%2.5%3.4%593.5K-8.7M-100.4K4.8717.63N/AN/A6273,05411,19916,248
2017-09-29$47.46$45.0027.4%7.9%19.9%22.9%26.5%3.8%3.3%579.5K-8.6M-100.9K6.5638.81N/AN/A4452,92111,29016,359