AN Options History — April 2018

In April 2018, AN traded between $45.39 and $47.77. ATM implied volatility averaged 36.1%, placing in the 63.1% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 4.5% (HV 20d: 31.6%). Max pain ranged from $47.00 to $52.50. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2018-04-16: Highest Volume — 2,882 contracts
  • 2018-04-10: Largest IV drop — 16.4% change
  • 2018-04-09: Highest IV Rank — 82.8%
  • 2018-04-02: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.52$45.39$47.77$45.39$46.37
Max Pain$47.93$47.00$52.50$52.50$47.00
ATM IV36.1%33.0%40.0%39.1%37.7%
Expected Move10.3%9.5%11.2%11.2%10.8%
HV 20d31.6%26.9%35.0%29.9%26.9%
HV 60d30.0%29.1%31.1%30.1%29.1%
IV Rank63.1%47.6%82.8%78.0%71.4%
IV Percentile91.0%75.0%99.6%99.2%96.4%
Term Structure-3.3%-5.5%-0.3%-1.6%-5.5%
VWIV34.9%29.1%38.2%38.2%37.5%
Skew 25d4.6%3.7%6.4%6.4%4.5%
Skew 10d9.9%6.4%17.6%12.2%7.5%
Call IV 25d33.7%31.5%35.9%35.9%35.3%
Put IV 25d38.3%35.9%42.3%42.3%39.7%
Bid-Ask Spread %16.9513.2137.5519.1814.66
Gamma HHI0.130.110.210.120.11
Net GEX-211.4K-469.2K30.9K-286.4K14.2K
Net DEX5.4M2.1M10.6M10.6M2.7M
Net VEX-54.6K-60.0K-50.9K-50.9K-52.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.501.701.701.11
Total Volume2,142.8571,4642,8821,9061,507
Total OI12,624.4768,49214,84513,1379,276

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$45.39$52.5039.1%11.2%29.9%78.0%38.2%6.4%-1.6%-286.4K10.6M-50.9K1.7019.18N/AN/A7051,2016,3646,773
2018-04-03$46.09$52.5036.6%10.5%29.8%65.4%37.5%5.3%-0.7%-289.4K9.8M-51.9K1.5317.46N/AN/A6199456,4076,851
2018-04-04$47.49$52.5036.1%10.4%31.6%63.1%37.9%5.7%-0.3%-268.9K7.8M-53.8K0.9137.55N/AN/A1,0059186,4316,899
2018-04-05$47.77$48.0035.7%10.0%31.7%61.2%32.8%4.9%-3.5%-250.8K6.8M-53.9K1.0714.66N/AN/A8779386,5586,864
2018-04-06$46.43$48.0039.2%10.5%32.9%78.5%34.2%5.2%-3.4%-271.3K8.9M-52.6K1.3118.46N/AN/A8591,1226,6046,884
2018-04-09$46.31$48.0040.0%10.6%31.4%82.8%35.7%4.7%-3.9%-298.3K8.8M-53.5K1.3015.73N/AN/A8851,1496,6617,066
2018-04-10$47.72$47.0033.4%10.1%33.8%49.6%33.9%4.8%-3.6%-275.2K6.6M-53.7K0.6916.88N/AN/A1,5361,0566,9067,121
2018-04-11$46.61$47.0034.6%9.9%34.5%55.5%34.5%4.4%-2.7%-307.0K6.7M-60.0K0.6717.94N/AN/A1,5721,0517,5777,159
2018-04-12$46.66$47.0034.2%9.8%34.4%53.6%33.2%4.3%-2.8%-334.4K5.0M-59.3K0.7013.21N/AN/A1,5091,0497,5986,800
2018-04-13$46.13$47.0034.4%9.9%34.2%54.6%29.1%4.0%-2.2%-344.2K6.1M-58.0K0.7313.31N/AN/A1,5541,1317,6326,818
2018-04-16$46.98$47.0034.5%9.9%34.9%54.9%33.8%3.7%-2.7%-356.7K3.9M-56.4K0.7914.76N/AN/A1,6091,2737,6126,803
2018-04-17$47.27$47.0033.9%9.7%35.0%52.1%32.8%4.4%-2.8%-362.1K3.2M-56.4K0.7914.67N/AN/A1,5621,2407,6546,903
2018-04-18$47.51$47.0033.0%9.5%30.1%47.6%33.0%4.5%-2.5%-343.6K2.5M-55.8K0.7715.86N/AN/A1,5661,2017,6776,915
2018-04-19$46.58$47.0034.6%9.9%30.7%55.3%31.2%4.8%-4.1%-469.2K4.5M-55.0K0.7719.41N/AN/A1,5641,2117,7566,979
2018-04-20$45.50$47.0036.5%10.5%31.1%65.3%35.4%4.3%-4.3%-22.6K7.5M-53.5K0.8614.52N/AN/A1,3361,1457,7967,049
2018-04-23$45.91$47.0035.9%10.3%30.8%62.1%35.7%4.7%-3.3%-20.5K2.7M-52.5K0.6614.36N/AN/A9306104,0234,469
2018-04-24$45.74$47.0036.4%10.4%30.3%64.6%36.3%3.9%-3.6%-7.6K2.7M-54.1K0.5116.95N/AN/A1,2166234,3644,561
2018-04-25$46.44$47.0037.5%10.7%29.9%70.0%36.1%4.0%-4.6%30.9K2.1M-54.4K0.5016.38N/AN/A1,0485264,3904,633
2018-04-26$45.85$47.0037.5%10.7%30.2%69.9%36.8%4.1%-4.7%3.3K3.1M-53.8K0.6213.68N/AN/A1,0406484,4134,654
2018-04-27$46.25$47.0037.5%10.7%29.3%70.0%37.4%4.1%-5.3%19.5K2.4M-54.2K0.7116.29N/AN/A8546104,4404,774
2018-04-30$46.37$47.0037.7%10.8%26.9%71.4%37.5%4.5%-5.5%14.2K2.7M-52.1K1.1114.66N/AN/A7137944,4874,789