AN Options History — November 2017

In November 2017, AN traded between $47.61 and $55.43. ATM implied volatility averaged 28.2%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 23.9% (HV 20d: 52.2%). Max pain ranged from $47.00 to $52.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.68.

Notable Days

  • 2017-11-01: Highest Volume — 13,407 contracts
  • 2017-11-02: Largest IV drop — 14.2% change
  • 2017-11-01: Highest IV Rank — 64.5%
  • 2017-11-01: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.75$47.61$55.43$47.61$55.37
Max Pain$49.98$47.00$52.50$47.00$52.50
ATM IV28.2%26.0%33.6%33.6%28.1%
Expected Move8.0%7.4%9.6%9.6%8.1%
HV 20d52.2%19.9%54.7%19.9%54.7%
HV 60d35.6%22.8%37.0%22.8%34.9%
IV Rank28.5%13.4%64.5%64.5%27.7%
IV Percentile40.2%8.3%86.5%86.5%40.9%
Term Structure-0.2%-4.7%1.7%-4.7%-1.0%
VWIV29.1%24.9%35.9%35.9%27.6%
Skew 25d3.8%2.4%5.1%5.1%3.9%
Skew 10d8.9%-9.1%15.0%-9.1%6.1%
Call IV 25d26.8%25.2%32.8%32.8%25.6%
Put IV 25d30.6%28.5%37.9%37.9%29.5%
Bid-Ask Spread %28.2015.0564.3964.3923.62
Gamma HHI0.390.230.520.300.32
Net GEX902.8K-811.8K1.4M-811.8K1.4M
Net DEX-23.9M-50.9M3.6M3.6M-34.0M
Net VEX-119.8K-140.2K-86.9K-105.7K-122.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.680.413.733.731.33
Total Volume3,672.4291,43113,40713,4071,943
Total OI34,377.95221,03545,51329,24124,031

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$47.61$47.0033.6%9.6%19.9%64.5%35.9%5.1%-4.7%-811.8K3.6M-105.7K3.7364.39N/AN/A2,83210,5758,41420,827
2017-11-02$54.67$50.0028.8%7.9%52.9%32.3%30.4%4.1%0.4%387.7K-41.4M-86.9K0.8324.71N/AN/A3,1642,64010,73827,174
2017-11-03$53.69$50.0027.3%8.1%53.6%22.3%24.9%3.9%0.9%760.8K-40.9M-97.3K0.4828.74N/AN/A3,0361,45811,93827,385
2017-11-06$54.47$50.0028.6%7.7%53.0%31.1%25.9%3.8%-0.4%1.1M-50.9M-107.0K1.1429.70N/AN/A2,8973,30213,77327,453
2017-11-07$52.80$50.0030.0%8.2%54.4%40.7%29.1%3.5%0.1%1.3M-34.3M-138.6K0.6017.03N/AN/A5,3573,23715,94829,565
2017-11-08$51.95$50.0028.2%8.1%54.0%28.3%29.7%3.6%0.0%836.5K-21.3M-140.2K0.4316.25N/AN/A2,9431,26914,45929,631
2017-11-09$51.48$50.0028.9%8.3%54.0%32.8%31.8%4.0%0.0%791.2K-18.6M-134.8K0.4919.12N/AN/A2,8931,42314,63329,601
2017-11-10$52.53$50.0027.5%7.9%53.4%23.5%28.0%4.3%0.0%1.1M-26.1M-133.9K1.9541.86N/AN/A7911,54614,70029,656
2017-11-13$52.76$50.0028.7%8.2%53.4%31.6%31.2%4.1%-0.5%1.0M-27.2M-135.5K1.1517.74N/AN/A1,3161,50714,71829,788
2017-11-14$53.24$50.0028.8%8.3%53.3%32.3%30.1%3.6%-0.5%1.0M-30.3M-127.9K1.8015.46N/AN/A7671,37914,72529,791
2017-11-15$53.13$50.0028.3%8.1%53.2%29.1%29.9%4.2%-0.0%971.4K-28.8M-128.2K2.0242.57N/AN/A6671,34514,56529,878
2017-11-16$52.07$50.0027.1%7.8%54.0%21.2%29.1%3.9%1.7%1.0M-21.8M-124.3K2.4922.72N/AN/A5421,35014,38529,898
2017-11-17$51.74$50.0027.2%7.8%54.0%21.4%29.0%3.2%0.6%850.8K-20.0M-125.9K2.7719.46N/AN/A4911,36114,36529,890
2017-11-20$51.88$50.0026.9%7.7%54.0%19.6%28.9%4.4%0.3%926.4K-10.0M-119.8K1.6715.05N/AN/A6981,16911,7989,237
2017-11-21$52.21$50.0026.1%7.5%54.0%14.3%27.2%3.7%0.9%1.0M-11.8M-116.7K1.6916.21N/AN/A7031,18912,1539,262
2017-11-22$52.14$50.0026.0%7.4%54.0%13.4%27.1%4.3%0.6%1.0M-11.4M-118.1K3.1038.10N/AN/A3531,09512,1599,330
2017-11-24$52.58$50.0026.3%7.5%53.6%15.4%27.2%3.1%1.0%1.1M-14.2M-116.5K3.2620.50N/AN/A3361,09512,1679,295
2017-11-27$52.56$50.0028.7%8.2%53.5%31.8%28.3%2.4%-0.9%1.0M-14.4M-115.2K1.3642.54N/AN/A7611,03512,1689,291
2017-11-28$53.36$50.0028.2%8.1%53.6%28.6%28.0%3.7%-1.2%1.1M-18.8M-113.9K2.6222.55N/AN/A4051,06312,2629,307
2017-11-29$55.43$50.0029.3%8.4%54.7%36.1%30.7%3.1%-1.7%1.0M-30.2M-107.0K0.4153.78N/AN/A3,6871,50112,2829,297
2017-11-30$55.37$52.5028.1%8.1%54.7%27.7%27.6%3.9%-1.0%1.4M-34.0M-122.6K1.3323.62N/AN/A8341,10914,3999,632