AN Options History — May 2018

In May 2018, AN traded between $45.69 and $47.63. ATM implied volatility averaged 27.7%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 5.7% (HV 20d: 22.0%). Max pain ranged from $46.00 to $47.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.19.

Notable Days

  • 2018-05-24: Highest Volume — 2,335 contracts
  • 2018-05-29: Largest IV spike — 7.3% change
  • 2018-05-03: Highest IV Rank — 29.4%
  • 2018-05-09: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.60$45.69$47.63$46.76$45.69
Max Pain$46.14$46.00$47.00$47.00$47.00
ATM IV27.7%25.9%29.4%29.0%27.4%
Expected Move7.9%7.4%8.3%8.3%7.9%
HV 20d22.0%19.2%26.5%26.5%23.2%
HV 60d26.6%25.9%29.1%29.1%26.3%
IV Rank20.6%11.7%29.4%27.2%19.3%
IV Percentile23.6%4.4%49.2%44.0%18.7%
Term Structure0.1%-1.3%0.7%-0.4%-0.3%
VWIV28.8%26.0%30.7%30.1%27.7%
Skew 25d3.7%2.5%5.2%3.1%3.4%
Skew 10d9.7%5.7%17.1%9.5%8.4%
Call IV 25d26.0%24.4%28.0%27.2%26.4%
Put IV 25d29.7%28.1%30.8%30.3%29.8%
Bid-Ask Spread %19.6411.5846.2432.6218.21
Gamma HHI0.130.110.160.110.15
Net GEX96.1K-24.6K379.2K44.8K-24.6K
Net DEX1.0M-1.7M3.1M2.1M2.7M
Net VEX-53.1K-57.3K-48.7K-51.6K-54.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.531.811.301.33
Total Volume1,444.3189872,3351,7781,603
Total OI10,863.7279,62912,3989,62911,163

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$46.76$47.0029.0%8.3%26.5%27.2%30.1%3.1%-0.4%44.8K2.1M-51.6K1.3032.62N/AN/A7721,0064,7024,927
2018-05-02$47.23$47.0028.9%8.3%24.5%26.8%29.8%2.5%-1.3%100.2K268.7K-54.3K1.0325.18N/AN/A8648935,0045,279
2018-05-03$47.13$46.0029.4%8.2%24.4%29.4%29.8%3.4%-0.1%130.3K28.0K-56.1K1.1116.97N/AN/A7348165,3855,321
2018-05-04$47.55$46.0027.7%8.1%22.2%20.8%30.7%3.8%-0.0%186.7K-1.2M-57.3K1.4518.80N/AN/A4536575,5275,375
2018-05-07$47.63$46.0028.7%7.9%22.2%25.8%30.4%3.9%-0.1%200.1K-1.4M-55.1K1.8116.30N/AN/A4738585,5825,366
2018-05-08$47.57$46.0029.3%7.8%19.4%28.5%30.5%4.0%0.5%193.2K-1.1M-55.0K1.7215.89N/AN/A4858365,6635,541
2018-05-09$46.50$46.0029.0%8.3%19.3%27.3%30.1%4.2%-0.3%92.4K1.5M-54.0K1.5218.43N/AN/A5247975,6705,552
2018-05-10$45.90$46.0028.2%8.1%19.8%23.1%29.3%3.7%0.4%16.4K3.1M-51.9K1.5818.20N/AN/A4497105,6755,550
2018-05-11$45.97$46.0027.4%7.9%19.5%19.3%29.6%3.9%0.4%10.4K3.1M-51.2K1.5317.29N/AN/A3905975,6725,611
2018-05-14$46.73$46.0027.0%7.7%19.2%17.2%30.1%4.6%0.5%124.1K1.3M-50.3K1.6017.86N/AN/A3836115,6825,612
2018-05-15$45.99$46.0028.0%8.0%19.8%22.2%29.7%3.5%-0.1%12.8K3.1M-48.7K0.6716.90N/AN/A8625815,6815,632
2018-05-16$46.95$46.0027.2%7.8%21.2%18.1%30.0%3.2%0.4%246.1K160.2K-50.6K0.6518.36N/AN/A8855716,1605,630
2018-05-17$47.57$46.0026.3%7.6%20.5%13.8%30.0%4.0%0.6%379.2K-1.7M-50.9K0.5817.20N/AN/A9585546,1495,649
2018-05-18$46.32$46.0026.8%7.7%21.0%16.2%26.0%3.3%0.4%37.1K1.0M-53.1K0.7911.58N/AN/A7806136,7295,669
2018-05-21$47.13$46.0026.6%7.6%21.7%15.0%26.4%3.6%0.1%120.9K-276.3K-52.9K0.8315.77N/AN/A6555465,0304,605
2018-05-22$45.80$46.0027.3%7.8%24.1%18.7%27.0%3.1%0.1%39.0K2.0M-50.6K1.0316.74N/AN/A6546755,0464,646
2018-05-23$45.73$46.0027.4%7.8%23.4%19.0%29.1%3.2%-0.0%8.1K2.5M-50.7K1.0317.66N/AN/A7097325,0664,817
2018-05-24$46.05$46.0026.0%7.5%23.1%12.2%26.5%3.5%0.4%-7.0K2.2M-52.4K0.5346.24N/AN/A1,5278085,1164,920
2018-05-25$46.20$46.0025.9%7.4%22.9%11.7%26.0%4.5%0.7%67.6K1.4M-56.1K1.2216.92N/AN/A7068635,7165,010
2018-05-29$46.32$46.0027.8%8.0%22.9%21.3%28.0%5.2%-0.1%57.6K990.8K-55.4K1.4119.07N/AN/A6368995,7725,111
2018-05-30$46.50$46.0027.5%7.9%22.8%19.6%27.8%3.3%-0.1%78.0K634.7K-55.3K1.5319.97N/AN/A6519995,7795,210
2018-05-31$45.69$47.0027.4%7.9%23.2%19.3%27.7%3.4%-0.3%-24.6K2.7M-54.9K1.3318.21N/AN/A6879165,8065,357