AN Options History — December 2017

In December 2017, AN traded between $51.38 and $56.42. ATM implied volatility averaged 27.1%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 3.1% (HV 20d: 24.1%). Max pain ranged from $50.00 to $52.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.88.

Notable Days

  • 2017-12-29: Highest Volume — 4,890 contracts
  • 2017-12-13: Largest IV drop — 18.2% change
  • 2017-12-12: Highest IV Rank — 52.4%
  • 2017-12-01: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.50$51.38$56.42$55.06$51.41
Max Pain$50.13$50.00$52.50$52.50$50.00
ATM IV27.1%23.8%31.8%27.5%26.3%
Expected Move7.4%6.8%7.9%7.9%7.5%
HV 20d24.1%20.3%27.1%24.8%21.7%
HV 60d35.9%35.0%36.8%35.0%36.0%
IV Rank21.4%0.0%52.4%23.7%16.3%
IV Percentile28.4%0.0%81.3%28.6%14.3%
Term Structure3.9%-0.1%6.0%-0.1%3.5%
VWIV27.2%24.2%28.7%28.0%27.7%
Skew 25d3.1%-0.7%4.3%2.8%-0.7%
Skew 10d7.8%3.4%12.9%3.4%6.3%
Call IV 25d25.0%23.2%27.7%26.6%27.7%
Put IV 25d28.1%26.4%29.4%29.4%27.0%
Bid-Ask Spread %22.2811.9242.8228.9029.61
Gamma HHI0.260.200.320.310.21
Net GEX1.2M1.1M1.4M1.4M1.3M
Net DEX-15.4M-37.3M-946.9K-29.4M-3.3M
Net VEX-101.8K-120.8K-87.0K-120.8K-91.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.880.733.282.310.84
Total Volume2,288.11,5474,8901,5804,890
Total OI24,928.5523,32427,02123,85727,021

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$55.06$52.5027.5%7.9%24.8%23.7%28.0%2.8%-0.1%1.4M-29.4M-120.8K2.3128.90N/AN/A4771,10314,1919,666
2017-12-04$56.42$50.0029.4%7.6%25.2%36.7%28.7%3.3%3.2%1.4M-37.3M-116.6K2.2931.24N/AN/A4701,07714,1879,798
2017-12-05$55.87$50.0030.1%7.5%25.1%41.1%27.4%3.1%3.6%1.4M-33.4M-112.2K0.7739.88N/AN/A1,3381,03014,0439,868
2017-12-06$55.23$50.0029.2%7.6%22.6%35.2%27.7%2.7%3.6%1.3M-28.4M-107.6K2.9119.20N/AN/A4961,44313,4519,873
2017-12-07$55.36$50.0028.4%7.4%21.5%30.0%28.5%3.4%3.5%1.3M-26.8M-106.7K2.8215.96N/AN/A4991,40913,44910,114
2017-12-08$55.60$50.0028.1%7.5%21.1%27.6%28.1%3.9%2.9%1.3M-28.5M-107.8K3.0023.33N/AN/A4741,42113,41210,091
2017-12-11$55.42$50.0031.2%7.5%20.3%48.8%26.9%3.2%3.8%1.3M-27.6M-99.3K0.7321.66N/AN/A1,6411,19313,38910,141
2017-12-12$54.40$50.0031.8%7.6%21.6%52.4%27.3%3.9%3.3%1.4M-22.7M-110.0K2.6924.72N/AN/A7291,96314,35010,158
2017-12-13$54.27$50.0026.0%7.4%21.5%13.3%27.5%3.7%3.9%1.2M-19.6M-113.9K3.2842.82N/AN/A4961,62614,46111,047
2017-12-14$52.39$50.0026.6%7.6%25.0%17.6%27.1%3.0%4.0%1.1M-7.1M-104.2K1.2224.49N/AN/A9271,13514,45811,033
2017-12-15$52.48$50.0026.6%7.6%23.9%17.5%28.0%3.9%3.1%1.1M-7.4M-102.7K1.4720.47N/AN/A1,0381,52914,79110,972
2017-12-18$53.80$50.0025.1%7.2%25.3%7.2%27.2%3.0%4.6%1.2M-15.0M-99.5K2.2718.41N/AN/A5861,33013,94210,386
2017-12-19$52.64$50.0026.1%7.5%26.7%14.4%25.4%2.9%4.7%1.1M-7.6M-94.8K0.8816.23N/AN/A1,4651,28213,91110,442
2017-12-20$52.18$50.0025.7%7.4%26.8%11.5%27.5%3.2%4.8%1.2M-5.4M-95.1K2.6117.44N/AN/A4681,22214,72710,499
2017-12-21$51.56$50.0025.4%7.3%27.1%9.5%26.5%2.4%4.7%1.1M-1.9M-90.9K1.4115.67N/AN/A9221,30314,76110,500
2017-12-22$51.52$50.0024.6%7.1%26.9%4.2%25.9%4.3%5.5%1.1M-946.9K-92.8K1.3414.65N/AN/A9841,31615,16210,572
2017-12-26$51.59$50.0026.1%7.5%26.9%13.8%27.7%3.7%4.2%1.1M-2.0M-87.0K0.9113.40N/AN/A1,4561,32515,24810,630
2017-12-27$51.44$50.0025.0%7.2%26.2%7.0%26.6%2.9%5.4%1.2M-2.6M-95.4K2.2711.92N/AN/A5391,22416,12610,749
2017-12-28$51.38$50.0023.8%6.8%21.6%0.0%24.2%3.0%6.0%1.2M-973.5K-87.0K1.6215.58N/AN/A7401,19616,16910,783
2017-12-29$51.41$50.0026.3%7.5%21.7%16.3%27.7%-0.7%3.5%1.3M-3.3M-91.8K0.8429.61N/AN/A2,6642,22616,20110,820