AN Options History — January 2018

In January 2018, AN traded between $52.55 and $61.80. ATM implied volatility averaged 30.7%, placing in the 46.5% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 6.2% (HV 20d: 24.5%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.56.

Notable Days

  • 2018-01-19: Highest Volume — 4,239 contracts
  • 2018-01-10: Largest IV spike — 25.7% change
  • 2018-01-31: Highest IV Rank — 98.6%
  • 2018-01-31: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.96$52.55$61.80$52.55$60.16
Max Pain$52.86$50.00$55.00$50.00$55.00
ATM IV30.7%23.6%38.6%26.5%38.6%
Expected Move9.1%7.6%11.1%7.6%11.1%
HV 20d24.5%22.7%26.4%23.5%25.3%
HV 60d36.1%24.9%37.4%36.3%24.9%
IV Rank46.5%0.0%98.6%18.0%98.6%
IV Percentile63.1%0.0%99.6%16.7%99.6%
Term Structure-2.7%-6.6%4.5%4.5%-6.4%
VWIV31.9%27.0%39.5%28.1%39.5%
Skew 25d3.7%2.7%4.7%3.2%2.9%
Skew 10d9.8%2.3%19.0%2.3%3.3%
Call IV 25d30.2%24.1%37.0%26.2%37.0%
Put IV 25d34.0%27.9%39.9%29.4%39.9%
Bid-Ask Spread %25.6911.9345.8312.7437.81
Gamma HHI0.330.230.590.230.23
Net GEX1.7M363.6K3.1M1.4M721.3K
Net DEX-32.9M-61.2M-6.5M-6.5M-16.9M
Net VEX-75.8K-99.3K-58.3K-94.5K-75.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.463.591.032.18
Total Volume2,195.6191,3344,2392,3912,592
Total OI21,955.2867,97430,02429,49410,566

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$52.55$50.0026.5%7.6%23.5%18.0%28.1%3.2%4.5%1.4M-6.5M-94.5K1.0312.74N/AN/A1,1801,21117,67911,815
2018-01-03$53.66$50.0027.3%7.8%23.0%23.2%27.0%3.8%4.2%2.1M-23.0M-99.3K1.5813.76N/AN/A9951,56918,00911,983
2018-01-04$54.72$52.5024.3%8.5%24.1%3.5%30.1%3.9%-0.8%2.4M-32.1M-98.6K1.6426.28N/AN/A7821,27918,17511,849
2018-01-05$55.63$52.5024.3%8.7%24.5%2.9%30.2%4.0%-1.7%2.7M-40.1M-93.1K1.6624.07N/AN/A8441,40518,11311,697
2018-01-08$56.77$52.5023.6%8.5%25.5%0.0%30.0%4.6%-1.5%2.7M-51.8M-86.5K1.4626.27N/AN/A8571,24917,99811,689
2018-01-09$56.41$52.5024.3%8.3%25.6%4.3%28.3%3.6%-0.7%2.7M-46.8M-85.8K1.9331.20N/AN/A6441,24117,74311,872
2018-01-10$56.05$52.5030.5%8.7%25.7%45.5%29.8%4.3%-1.7%2.7M-42.5M-82.0K2.4521.80N/AN/A5271,29017,64211,942
2018-01-11$57.63$52.5029.3%8.4%26.4%37.4%28.9%4.4%-1.6%2.7M-56.7M-77.5K0.9724.45N/AN/A1,1841,15217,58812,035
2018-01-12$57.94$52.5029.7%8.5%26.3%40.3%29.6%2.8%-1.4%2.6M-58.3M-73.2K1.4745.83N/AN/A9111,34017,26412,075
2018-01-16$57.28$52.5031.3%9.0%22.8%50.4%31.4%4.3%-3.2%3.1M-50.4M-71.1K1.0725.72N/AN/A1,2651,35217,36412,337
2018-01-17$56.31$52.5032.2%9.2%24.1%56.8%32.4%2.7%-3.1%2.9M-40.1M-67.9K0.7426.10N/AN/A1,8541,36717,18212,351
2018-01-18$56.43$52.5032.5%9.3%22.7%58.5%32.2%3.9%-4.3%3.0M-40.3M-64.9K2.2411.93N/AN/A5871,31717,04312,370
2018-01-19$59.00$52.5031.4%9.0%25.4%51.2%32.2%3.3%-3.4%365.9K-61.2M-60.1K0.4617.38N/AN/A2,9041,33516,78812,374
2018-01-22$60.04$52.5033.1%9.5%25.1%62.2%32.3%3.1%-4.2%363.6K-14.1M-58.3K0.7219.86N/AN/A1,2909344,4373,537
2018-01-23$60.21$52.5032.9%9.4%24.2%61.2%33.4%4.2%-4.1%583.3K-15.9M-63.2K1.9126.07N/AN/A4598755,2953,618
2018-01-24$61.07$52.5033.4%9.6%24.0%64.5%34.0%4.1%-4.8%582.4K-17.5M-63.5K1.6118.67N/AN/A5458785,2903,695
2018-01-25$61.28$55.0032.7%9.4%24.0%60.0%32.5%3.6%-4.9%611.3K-17.9M-64.6K0.9333.25N/AN/A9769115,5083,837
2018-01-26$61.80$55.0032.6%9.4%23.6%59.5%34.6%4.3%-4.5%714.3K-19.7M-66.9K1.0732.14N/AN/A9279955,8793,854
2018-01-29$61.15$55.0036.8%10.6%24.4%86.9%36.3%3.1%-6.1%765.3K-19.6M-71.3K2.0936.91N/AN/A4781,0016,3293,825
2018-01-30$61.12$55.0037.5%10.7%24.4%91.3%37.5%4.7%-6.6%789.4K-19.5M-73.4K3.5927.35N/AN/A3501,2566,4973,917
2018-01-31$60.16$55.0038.6%11.1%25.3%98.6%39.5%2.9%-6.4%721.3K-16.9M-75.6K2.1837.81N/AN/A8151,7776,5194,047