AN Options History — March 2018

In March 2018, AN traded between $45.86 and $51.42. ATM implied volatility averaged 33.6%, placing in the 50.4% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 7.4% (HV 20d: 26.2%). Max pain ranged from $52.50 to $60.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 3.82.

Notable Days

  • 2018-03-20: Highest Volume — 3,892 contracts
  • 2018-03-09: Largest IV spike — 9.2% change
  • 2018-03-28: Highest IV Rank — 63.0%
  • 2018-03-28: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.18$45.86$51.42$49.18$46.87
Max Pain$54.52$52.50$60.00$60.00$52.50
ATM IV33.6%29.4%36.1%33.7%33.7%
Expected Move9.3%8.2%10.3%9.7%9.7%
HV 20d26.2%22.2%31.0%30.6%28.5%
HV 60d28.7%27.2%29.8%28.4%29.8%
IV Rank50.4%29.1%63.0%51.0%50.9%
IV Percentile84.4%54.8%95.2%88.1%83.7%
Term Structure0.3%-1.1%1.6%-0.4%0.6%
VWIV33.6%30.9%36.7%33.4%34.3%
Skew 25d5.2%3.0%7.4%7.4%5.9%
Skew 10d10.9%8.2%14.3%9.1%11.3%
Call IV 25d30.4%27.1%34.3%31.4%31.6%
Put IV 25d35.6%31.5%39.5%38.8%37.5%
Bid-Ask Spread %25.7214.1278.3619.0018.71
Gamma HHI0.160.100.340.140.12
Net GEX-181.4K-445.9K5.1K-113.8K-297.0K
Net DEX7.7M4.5M10.1M9.4M8.8M
Net VEX-49.2K-54.4K-38.7K-49.3K-54.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.821.295.513.561.29
Total Volume2,432.4291,6563,8922,0912,235
Total OI11,435.8579,80612,81710,96012,817

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$49.18$60.0033.7%9.7%30.6%51.0%33.4%7.4%-0.4%-113.8K9.4M-49.3K3.5619.00N/AN/A4591,6325,6055,355
2018-03-02$49.72$60.0033.6%9.6%30.0%50.3%33.0%7.1%-1.1%-107.2K8.8M-49.9K4.1514.84N/AN/A3861,6005,6285,389
2018-03-05$50.52$55.0033.7%9.2%31.0%50.9%32.9%5.9%0.9%-109.9K7.9M-50.7K4.4424.54N/AN/A3501,5535,6305,412
2018-03-06$51.25$55.0034.0%9.3%24.4%52.4%33.3%5.1%-0.4%-61.7K6.0M-52.2K4.9022.82N/AN/A3291,6125,6715,308
2018-03-07$50.81$55.0035.5%9.3%24.2%59.8%35.3%5.0%0.1%-85.1K6.6M-51.3K4.3578.36N/AN/A3681,5995,6725,344
2018-03-08$50.29$55.0032.4%9.0%24.2%44.6%33.1%6.2%0.7%-150.6K7.6M-48.5K4.6738.52N/AN/A3561,6635,7075,346
2018-03-09$51.42$55.0035.4%8.2%25.4%59.7%32.3%5.4%1.6%-120.0K6.0M-51.4K3.6645.56N/AN/A4131,5125,7385,480
2018-03-12$51.02$55.0035.2%9.0%24.1%58.6%31.0%3.0%0.7%-188.4K6.4M-48.2K3.1823.00N/AN/A4761,5165,7965,476
2018-03-13$50.88$55.0034.2%9.1%23.5%53.5%33.1%4.6%-0.2%-232.6K7.2M-45.3K3.6621.52N/AN/A4181,5295,8125,478
2018-03-14$51.13$55.0031.7%9.1%22.4%40.7%32.6%3.9%-0.5%-209.5K6.1M-47.5K3.3924.76N/AN/A4651,5785,8375,489
2018-03-15$50.27$55.0030.3%8.7%22.6%34.1%31.4%4.2%1.1%-445.9K8.0M-43.5K3.5019.21N/AN/A4661,6305,8995,466
2018-03-16$50.65$55.0029.4%8.4%22.9%29.1%30.9%4.4%1.6%5.1K6.9M-42.8K5.5123.85N/AN/A3882,1365,9035,524
2018-03-19$50.25$55.0031.4%9.0%22.2%39.4%32.5%5.2%1.0%-65.1K4.5M-42.7K3.3722.25N/AN/A3791,2775,1834,623
2018-03-20$47.74$52.5033.6%9.6%27.3%50.5%36.7%4.9%-0.3%-168.3K7.5M-38.7K5.3924.30N/AN/A6093,2835,1974,696
2018-03-21$48.09$52.5032.6%9.4%27.6%45.6%34.3%4.2%0.8%-170.5K7.1M-53.6K4.0823.82N/AN/A6932,8295,4626,205
2018-03-22$47.17$52.5033.4%9.6%28.1%49.5%34.7%6.0%0.3%-194.2K8.2M-54.4K4.2926.92N/AN/A7013,0065,7956,362
2018-03-23$46.40$52.5035.2%10.1%27.7%58.3%34.8%4.8%-0.6%-256.2K9.1M-53.1K3.6319.91N/AN/A6722,4385,8166,483
2018-03-26$47.08$52.5034.0%9.8%28.6%52.6%33.9%5.4%0.1%-260.6K8.4M-53.0K3.6914.12N/AN/A7002,5835,8566,515
2018-03-27$46.11$52.5036.1%10.3%27.7%63.0%35.4%4.5%-0.3%-290.4K10.1M-51.5K3.6918.27N/AN/A6902,5485,9056,686
2018-03-28$45.86$52.5036.1%10.3%27.7%63.0%35.8%5.6%-0.2%-286.9K10.1M-50.9K1.7515.85N/AN/A7291,2755,9206,667
2018-03-29$46.87$52.5033.7%9.7%28.5%50.9%34.3%5.9%0.6%-297.0K8.8M-54.0K1.2918.71N/AN/A9751,2606,0466,771