AN Options History — February 2018

In February 2018, AN traded between $50.25 and $58.12. ATM implied volatility averaged 34.2%, placing in the 55.6% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 1.7% (HV 20d: 32.5%). Max pain ranged from $60.00 to $62.50. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 3.01.

Notable Days

  • 2018-02-06: Highest Volume — 3,737 contracts
  • 2018-02-05: Largest IV spike — 23.1% change
  • 2018-02-05: Highest IV Rank — 100.0%
  • 2018-02-08: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.24$50.25$58.12$58.12$50.25
Max Pain$60.13$60.00$62.50$62.50$60.00
ATM IV34.2%29.1%43.4%29.1%33.3%
Expected Move9.6%8.3%11.2%8.3%9.5%
HV 20d32.5%28.7%35.8%28.7%30.4%
HV 60d27.9%25.7%28.8%25.7%28.1%
IV Rank55.6%27.9%100.0%36.3%48.7%
IV Percentile86.1%58.3%100.0%63.1%86.9%
Term Structure-0.1%-2.3%1.6%1.0%-0.6%
VWIV28.6%23.3%34.5%27.4%33.2%
Skew 25d5.0%-4.7%6.7%5.0%4.2%
Skew 10d10.7%-10.3%26.7%9.2%5.8%
Call IV 25d31.4%26.7%35.9%26.7%31.3%
Put IV 25d36.4%27.6%41.3%31.6%35.5%
Bid-Ask Spread %25.6214.5958.9323.2723.90
Gamma HHI0.200.130.310.180.16
Net GEX155.2K-93.2K451.0K451.0K-69.7K
Net DEX1.2M-9.4M8.0M-9.4M8.0M
Net VEX-64.7K-76.3K-52.0K-74.2K-53.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.011.176.011.174.15
Total Volume2,692.1052,1843,7372,7382,184
Total OI12,216.7899,95714,20411,60010,964

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$58.12$62.5029.1%8.3%28.7%36.3%27.4%5.0%1.0%451.0K-9.4M-74.2K1.1723.27N/AN/A1,2631,4756,9264,674
2018-02-02$57.24$60.0032.2%8.6%28.8%56.4%29.0%4.1%0.7%352.2K-7.3M-72.7K2.1826.47N/AN/A7401,6136,8134,758
2018-02-05$53.90$60.0039.6%9.9%35.8%100.0%24.8%3.7%-0.2%114.3K716.4K-64.9K1.4058.93N/AN/A1,2351,7356,8334,902
2018-02-06$54.35$60.0043.4%10.5%35.1%100.0%33.8%5.4%-1.0%183.8K-483.8K-68.9K1.2126.92N/AN/A1,6942,0437,2835,034
2018-02-07$53.80$60.0034.8%10.0%35.1%56.7%34.5%5.8%-1.3%261.2K-486.4K-72.3K1.4123.93N/AN/A1,3931,9678,2635,243
2018-02-08$52.98$60.0039.0%11.2%35.4%78.0%25.8%6.3%-2.3%224.1K331.8K-73.9K1.3738.19N/AN/A1,2191,6668,4585,429
2018-02-09$54.06$60.0038.6%11.1%34.6%75.7%26.0%5.4%-1.4%279.9K-2.0M-76.3K1.6139.18N/AN/A9691,5598,4685,413
2018-02-12$54.68$60.0034.5%9.9%34.9%54.8%31.8%6.7%-0.9%331.0K-3.6M-73.1K1.6236.10N/AN/A9601,5548,4745,412
2018-02-13$53.38$60.0036.0%10.3%35.6%62.8%23.3%6.1%-0.6%231.0K822.2K-68.0K2.0627.20N/AN/A7731,5958,6595,415
2018-02-14$52.62$60.0033.9%9.7%35.5%51.7%28.4%6.6%0.4%76.5K3.4M-63.9K2.0916.03N/AN/A8071,6878,6725,475
2018-02-15$52.47$60.0032.6%9.4%35.4%45.5%27.6%6.3%1.4%-93.2K4.6M-60.1K2.0514.59N/AN/A9251,8938,5825,531
2018-02-16$53.20$60.0031.6%9.1%31.3%40.5%27.0%5.4%0.9%191.4K1.4M-61.5K2.0617.08N/AN/A9822,0278,5665,638
2018-02-20$51.99$60.0033.0%9.5%30.7%47.5%31.1%4.9%-0.5%112.0K3.4M-58.3K5.3616.94N/AN/A3962,1245,4044,553
2018-02-21$51.76$60.0032.6%9.4%30.5%45.5%23.8%5.2%-0.1%79.2K3.9M-58.0K6.0119.19N/AN/A3762,2585,4614,775
2018-02-22$51.81$60.0031.9%9.1%29.6%41.8%29.2%5.9%0.2%60.5K4.3M-60.3K5.6615.89N/AN/A3862,1835,4724,941
2018-02-23$52.42$60.0029.1%8.4%30.2%27.9%27.8%6.2%1.6%93.6K3.8M-59.5K5.9419.71N/AN/A3762,2345,5354,952
2018-02-26$52.05$60.0030.5%8.8%29.6%35.0%29.3%5.7%0.4%82.3K4.0M-57.4K5.1717.03N/AN/A4042,0895,5574,965
2018-02-27$50.52$60.0033.8%9.7%30.5%51.4%30.2%-4.7%0.0%-12.8K6.8M-52.0K4.6226.19N/AN/A4211,9455,5675,052
2018-02-28$50.25$60.0033.3%9.5%30.4%48.7%33.2%4.2%-0.6%-69.7K8.0M-53.6K4.1523.90N/AN/A4241,7605,6065,358