AN Options History — October 2017

In October 2017, AN traded between $44.00 and $48.34. ATM implied volatility averaged 30.1%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 10.0% (HV 20d: 20.1%). Max pain ranged from $45.00 to $47.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 5.77.

Notable Days

  • 2017-10-18: Highest Volume — 13,245 contracts
  • 2017-10-11: Largest IV spike — 12.7% change
  • 2017-10-31: Highest IV Rank — 79.5%
  • 2017-10-31: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.30$44.00$48.34$47.81$47.44
Max Pain$46.73$45.00$47.00$45.00$47.00
ATM IV30.1%25.4%35.8%27.5%35.8%
Expected Move8.8%7.4%10.3%7.9%10.3%
HV 20d20.1%18.0%21.8%20.0%20.5%
HV 60d27.4%23.1%29.5%29.5%23.1%
IV Rank41.0%9.2%79.5%23.5%79.5%
IV Percentile59.2%3.6%96.0%28.2%96.0%
Term Structure-1.9%-5.8%4.6%3.5%-5.8%
VWIV31.1%23.8%38.3%30.9%38.3%
Skew 25d4.0%2.8%5.3%3.8%3.3%
Skew 10d8.7%-1.8%15.6%7.8%11.9%
Call IV 25d29.6%24.9%34.9%27.1%34.9%
Put IV 25d33.7%29.5%38.3%30.9%38.3%
Bid-Ask Spread %34.6516.5663.1029.5039.86
Gamma HHI0.250.110.530.160.32
Net GEX-96.2K-1.3M775.8K686.2K-712.8K
Net DEX3.7M-13.2M24.0M-10.9M4.7M
Net VEX-86.1K-108.6K-58.6K-99.6K-108.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.771.5218.747.435.75
Total Volume4,379.7732,41113,2454,1966,310
Total OI28,314.22722,15140,42127,63927,749

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$47.81$45.0027.5%7.9%20.0%23.5%30.9%3.8%3.5%686.2K-10.9M-99.6K7.4329.50N/AN/A4983,69811,27516,364
2017-10-03$48.34$45.0027.6%7.9%20.0%24.0%27.0%2.8%4.1%755.3K-13.2M-97.1K7.2321.29N/AN/A5183,74411,29116,913
2017-10-04$47.61$45.0026.0%7.4%18.0%13.2%23.8%4.5%4.6%679.1K-6.8M-94.1K7.0419.17N/AN/A5123,60211,30016,976
2017-10-05$47.52$47.0026.0%8.8%18.0%13.7%30.2%5.0%-1.5%738.8K-6.8M-93.2K6.7626.41N/AN/A5383,63911,34617,021
2017-10-06$47.52$47.0025.4%8.7%18.0%9.2%30.8%4.6%-1.7%775.8K-6.6M-90.5K7.4321.74N/AN/A4913,65011,33917,035
2017-10-09$46.74$47.0028.1%9.1%18.8%27.5%30.8%5.3%-2.3%623.1K-2.2M-83.0K5.2420.20N/AN/A6743,53411,34117,113
2017-10-10$46.22$47.0028.6%9.3%19.2%30.9%30.6%3.9%-2.8%539.5K580.0K-78.0K5.7716.56N/AN/A5993,45711,39117,138
2017-10-11$45.18$47.0032.2%9.2%20.0%55.5%31.5%3.9%-2.9%28.0K7.6M-74.0K5.5819.15N/AN/A6603,68211,39517,154
2017-10-12$44.80$47.0032.3%9.3%19.8%55.9%30.6%4.5%-3.1%-87.1K9.7M-70.4K6.2134.62N/AN/A5573,45711,40217,153
2017-10-13$44.00$47.0031.7%9.1%20.4%51.8%36.1%3.8%-2.3%-516.8K15.1M-64.1K3.2636.60N/AN/A6702,18111,39617,154
2017-10-16$44.16$47.0031.6%9.1%20.5%51.2%31.7%4.5%-1.8%-372.7K14.6M-58.6K4.2138.95N/AN/A6002,52411,45517,073
2017-10-17$44.85$47.0031.9%9.1%20.4%53.4%27.9%4.2%-3.8%254.7K9.1M-59.0K1.7445.16N/AN/A1,3362,31911,53117,476
2017-10-18$44.63$47.0029.5%8.4%20.4%36.9%32.6%3.5%-0.9%251.4K10.1M-59.9K18.7445.50N/AN/A67112,57412,22417,477
2017-10-19$44.49$47.0031.0%8.9%20.3%47.0%32.3%4.0%-2.9%-1.3M24.0M-98.2K3.4547.66N/AN/A7532,59512,32127,878
2017-10-20$45.48$47.0029.8%8.5%21.7%39.3%29.0%3.4%-2.5%-1.1M9.2M-94.6K3.6448.08N/AN/A6772,46612,51627,905
2017-10-23$45.76$47.0030.8%8.8%21.8%45.9%30.3%3.3%-2.9%-1.0M9.4M-88.6K3.5021.35N/AN/A6292,2015,99116,160
2017-10-24$46.32$47.0031.1%8.9%20.4%48.3%29.9%3.4%-2.6%-738.3K6.1M-87.6K2.8242.03N/AN/A6311,7806,19216,162
2017-10-25$46.68$47.0029.8%8.6%20.5%39.5%32.3%3.5%-2.7%-646.5K4.1M-82.9K1.5241.90N/AN/A2,0893,1756,21616,195
2017-10-26$47.82$47.0030.5%8.7%21.0%43.7%29.7%4.2%-3.3%-290.6K561.7K-105.4K5.9324.73N/AN/A5073,0057,87317,730
2017-10-27$47.54$47.0030.5%8.7%21.1%43.7%31.8%4.1%-2.6%-309.7K1.2M-102.3K5.6563.10N/AN/A5262,9727,95317,698
2017-10-30$47.61$47.0034.2%9.8%20.9%69.1%36.8%5.2%-5.7%-318.1K1.5M-105.1K8.0558.66N/AN/A6255,0297,96317,678
2017-10-31$47.44$47.0035.8%10.3%20.5%79.5%38.3%3.3%-5.8%-712.8K4.7M-108.6K5.7539.86N/AN/A9355,3758,03319,716