AN Options History — July 2018

In July 2018, AN traded between $45.65 and $50.50. ATM implied volatility averaged 34.2%, placing in the 53.2% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 8.6% (HV 20d: 25.5%). Max pain ranged from $46.00 to $50.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.89.

Notable Days

  • 2018-07-26: Highest Volume — 8,922 contracts
  • 2018-07-11: Largest IV spike — 21.3% change
  • 2018-07-30: Highest IV Rank — 94.6%
  • 2018-07-31: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.31$45.65$50.50$48.16$48.80
Max Pain$49.24$46.00$50.00$50.00$46.00
ATM IV34.2%24.8%42.4%28.0%42.4%
Expected Move10.1%8.0%12.1%8.0%12.1%
HV 20d25.5%19.4%34.0%21.8%34.0%
HV 60d23.6%21.4%26.8%22.5%26.8%
IV Rank53.2%5.9%94.6%22.0%94.6%
IV Percentile69.6%2.4%99.6%32.1%99.2%
Term Structure-3.6%-9.0%5.0%4.5%-9.0%
VWIV36.3%26.1%43.3%26.8%42.9%
Skew 25d4.1%2.7%5.4%3.8%3.4%
Skew 10d8.9%4.5%18.5%12.6%4.5%
Call IV 25d33.4%26.5%41.3%26.5%41.3%
Put IV 25d37.5%29.8%45.1%30.3%44.7%
Bid-Ask Spread %19.0413.7027.1222.0416.36
Gamma HHI0.230.120.410.210.19
Net GEX-8.6K-680.5K509.9K74.3K-75.8K
Net DEX1.7M-8.8M12.9M2.0M-8.8M
Net VEX-68.7K-138.8K-41.6K-50.7K-125.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.890.269.910.940.76
Total Volume2,576.2381,3488,9221,7941,792
Total OI15,119.23811,20826,10711,20826,107

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$48.16$50.0028.0%8.0%21.8%22.0%26.8%3.8%4.5%74.3K2.0M-50.7K0.9422.04N/AN/A9238715,3115,897
2018-07-03$48.27$50.0027.9%8.0%21.5%21.5%26.1%2.7%5.0%134.7K1.7M-52.0K0.8725.10N/AN/A9698395,9305,936
2018-07-05$48.90$50.0027.1%9.3%19.4%17.6%31.4%4.3%-2.8%221.3K-607.4K-48.9K1.8522.11N/AN/A9891,8325,9805,819
2018-07-06$49.63$50.0024.8%9.0%19.8%5.9%34.1%3.8%-2.4%376.4K-3.8M-50.7K3.2427.12N/AN/A3891,2615,9935,756
2018-07-09$50.50$50.0027.0%9.0%20.4%16.9%34.3%4.1%-2.6%509.9K-6.4M-46.5K2.0622.40N/AN/A4409085,9945,758
2018-07-10$48.51$50.0028.3%9.3%24.7%23.6%35.5%5.4%-3.5%177.0K929.2K-45.5K1.5821.22N/AN/A9551,5136,0025,744
2018-07-11$47.62$50.0034.3%9.8%25.5%54.0%36.2%5.1%-3.6%-41.6K4.2M-47.5K1.4316.37N/AN/A9331,3316,4016,309
2018-07-12$47.62$50.0033.5%9.6%23.9%50.0%35.3%3.9%-2.8%-95.6K4.4M-46.8K1.8820.42N/AN/A7901,4896,3856,422
2018-07-13$48.87$50.0032.8%9.4%25.3%46.4%35.1%3.8%-2.7%150.2K192.1K-49.6K2.1018.55N/AN/A6941,4566,3896,940
2018-07-16$49.11$50.0033.6%9.6%25.2%50.4%35.8%4.0%-3.3%203.7K-173.4K-46.8K2.0117.85N/AN/A6751,3606,4287,002
2018-07-17$49.63$50.0032.9%9.4%25.5%47.0%36.1%4.5%-3.7%454.4K-2.7M-45.6K2.1420.57N/AN/A5421,1586,4327,017
2018-07-18$48.89$50.0034.8%10.0%25.5%56.5%36.7%4.8%-4.1%106.7K1.1M-43.9K1.5016.22N/AN/A6751,0126,4316,984
2018-07-19$49.32$50.0035.1%10.1%24.7%58.0%36.6%3.7%-4.6%456.0K-1.3M-41.6K1.7619.00N/AN/A6031,0596,4917,058
2018-07-20$48.66$50.0035.8%10.3%24.7%61.6%37.4%3.9%-4.5%-94.2K2.6M-41.7K9.9114.55N/AN/A6496,4296,5026,915
2018-07-23$48.89$50.0036.9%10.6%24.8%67.0%38.8%3.9%-4.5%-587.1K5.4M-79.2K0.8415.42N/AN/A1,0098462,8649,787
2018-07-24$48.03$50.0036.8%10.6%25.4%66.8%38.4%3.8%-4.2%-541.5K6.3M-87.8K0.8615.84N/AN/A1,0178714,1619,826
2018-07-25$45.65$50.0040.2%11.5%30.5%83.8%40.9%4.2%-5.2%-680.5K12.9M-86.6K1.8822.83N/AN/A9611,8073,6099,815
2018-07-26$45.88$46.0040.8%11.7%30.1%86.6%40.1%3.3%-6.6%-189.8K7.0M-131.5K0.2616.51N/AN/A7,0961,8269,61613,983
2018-07-27$45.98$46.0042.1%12.1%30.2%93.2%41.5%4.2%-7.4%-496.0K10.4M-138.8K0.9915.64N/AN/A1,1281,1149,69715,770
2018-07-30$47.63$46.0042.4%12.1%33.0%94.6%43.3%4.6%-8.2%-243.5K-288.7K-134.2K0.9213.70N/AN/A9869049,76216,281
2018-07-31$48.80$46.0042.4%12.1%34.0%94.6%42.9%3.4%-9.0%-75.8K-8.8M-125.8K0.7616.36N/AN/A1,0197739,81716,290