AN Options History — June 2018

In June 2018, AN traded between $46.65 and $51.12. ATM implied volatility averaged 27.1%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 3.5% (HV 20d: 23.6%). Max pain ranged from $46.00 to $50.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.73.

Notable Days

  • 2018-06-22: Highest Volume — 2,696 contracts
  • 2018-06-11: Largest IV spike — 18.7% change
  • 2018-06-11: Highest IV Rank — 32.3%
  • 2018-06-25: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.12$46.65$51.12$46.65$48.58
Max Pain$49.81$46.00$50.00$46.00$50.00
ATM IV27.1%25.3%30.0%25.7%27.1%
Expected Move7.6%7.3%8.2%7.4%7.8%
HV 20d23.6%19.9%26.9%24.5%21.6%
HV 60d25.6%23.1%27.5%26.7%23.2%
IV Rank17.6%8.5%32.3%10.4%17.5%
IV Percentile19.1%3.2%53.6%4.0%19.0%
Term Structure3.1%0.7%4.9%0.7%4.9%
VWIV27.1%26.2%28.2%26.4%26.2%
Skew 25d3.9%2.9%5.8%3.5%3.3%
Skew 10d9.4%5.6%15.7%15.7%7.4%
Call IV 25d24.9%23.3%27.0%25.0%25.8%
Put IV 25d28.9%27.4%32.7%28.5%29.1%
Bid-Ask Spread %23.1215.5570.3518.2025.52
Gamma HHI0.230.170.270.170.22
Net GEX249.0K-30.4K475.8K51.6K118.9K
Net DEX-3.7M-8.3M1.6M677.0K1.2M
Net VEX-52.9K-58.5K-47.6K-55.7K-52.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.730.885.301.154.95
Total Volume1,224.2386702,6961,5261,808
Total OI11,053.6679,46811,76811,21111,215

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$46.65$46.0025.7%7.4%24.5%10.4%26.4%3.5%0.7%51.6K677.0K-55.7K1.1518.20N/AN/A7098175,8535,358
2018-06-04$46.98$50.0027.2%7.4%24.5%18.3%28.0%4.3%3.1%78.6K10.6K-55.0K0.9719.76N/AN/A7156935,8635,406
2018-06-05$47.53$50.0027.0%7.4%24.8%17.2%27.6%3.8%2.9%145.4K-1.6M-54.9K0.9619.84N/AN/A7497175,8985,387
2018-06-06$48.92$50.0026.8%7.3%26.9%16.1%26.8%3.3%3.2%290.0K-5.1M-55.1K0.9219.32N/AN/A7446885,9205,398
2018-06-07$48.54$50.0025.9%7.4%25.6%11.7%27.2%4.3%2.2%239.4K-4.1M-54.2K0.8820.34N/AN/A7706775,9825,439
2018-06-08$49.06$50.0025.3%7.4%25.1%8.5%26.6%3.8%2.8%323.4K-5.8M-54.1K1.2518.61N/AN/A5496886,0435,454
2018-06-11$49.68$50.0030.0%7.5%25.3%32.3%26.8%3.6%2.7%475.8K-7.8M-53.3K1.4418.61N/AN/A4626656,1375,463
2018-06-12$49.61$50.0029.3%7.5%24.9%28.8%27.2%3.1%2.0%398.1K-7.5M-52.4K1.2821.11N/AN/A5126556,1485,509
2018-06-13$48.37$50.0027.6%7.9%26.0%20.1%28.2%4.6%1.2%208.8K-3.8M-51.0K1.4127.66N/AN/A4115816,0705,551
2018-06-14$49.05$50.0026.4%7.6%25.5%14.2%27.7%4.1%2.2%334.6K-5.6M-51.0K1.4423.19N/AN/A3825496,0815,559
2018-06-15$49.30$50.0026.4%7.6%25.2%14.1%27.6%3.8%2.0%423.8K-6.5M-50.2K1.3720.16N/AN/A3945396,0945,572
2018-06-18$49.49$50.0027.0%7.7%22.9%17.0%27.4%2.9%3.9%383.3K-4.5M-48.9K1.1621.68N/AN/A3103604,9664,502
2018-06-19$50.16$50.0026.8%7.7%22.6%16.2%27.8%4.7%3.6%419.5K-6.0M-49.2K1.9170.35N/AN/A2324425,0214,529
2018-06-20$51.12$50.0026.0%7.5%19.9%12.2%26.8%4.6%3.5%449.7K-8.3M-47.9K1.8819.81N/AN/A2434575,0444,591
2018-06-21$50.45$50.0026.2%7.5%20.9%13.2%26.6%3.7%4.7%453.5K-6.8M-47.6K1.3120.50N/AN/A4505905,0554,570
2018-06-22$50.17$50.0026.6%7.6%21.2%14.9%26.4%3.1%4.0%459.3K-6.2M-47.7K5.3021.87N/AN/A4282,2685,1364,538
2018-06-25$49.75$50.0028.5%8.2%21.6%24.6%28.1%5.8%3.5%3.1K-531.6K-58.5K1.3025.04N/AN/A4125345,1626,384
2018-06-26$50.06$50.0027.1%7.8%21.7%17.4%26.4%4.9%4.2%30.6K-1.7M-57.9K1.3121.43N/AN/A4115395,2826,418
2018-06-27$49.05$50.0028.2%8.1%23.3%23.4%27.7%4.5%3.7%-29.3K1.6M-57.2K1.3016.98N/AN/A4225505,2956,466
2018-06-28$49.06$50.0027.8%8.0%22.1%21.0%26.6%3.4%4.4%-30.4K1.4M-56.5K2.8915.55N/AN/A4081,1795,2956,473
2018-06-29$48.58$50.0027.1%7.8%21.6%17.5%26.2%3.3%4.9%118.9K1.2M-52.2K4.9525.52N/AN/A3041,5045,3085,907