AN Options History — August 2018

In August 2018, AN traded between $45.41 and $48.36. ATM implied volatility averaged 27.8%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 2.3% (HV 20d: 30.1%). Max pain ranged from $46.00 to $48.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 3.40.

Notable Days

  • 2018-08-01: Highest Volume — 8,391 contracts
  • 2018-08-13: Largest IV spike — 18.8% change
  • 2018-08-13: Highest IV Rank — 47.7%
  • 2018-08-01: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.60$45.41$48.36$47.29$45.45
Max Pain$47.22$46.00$48.00$46.00$47.00
ATM IV27.8%25.3%33.1%31.0%25.8%
Expected Move7.8%7.2%8.9%8.9%7.4%
HV 20d30.1%18.6%36.4%35.8%18.6%
HV 60d27.0%25.9%28.0%27.6%25.9%
IV Rank21.0%8.3%47.7%37.3%11.3%
IV Percentile29.0%3.6%74.2%61.5%7.5%
Term Structure0.3%-1.0%1.3%-0.9%0.5%
VWIV27.3%25.0%31.4%31.4%25.7%
Skew 25d3.0%1.5%4.8%4.2%2.8%
Skew 10d6.2%3.7%12.0%5.7%4.4%
Call IV 25d26.0%24.3%29.8%29.4%24.6%
Put IV 25d29.0%26.6%33.6%33.6%27.5%
Bid-Ask Spread %17.2412.3228.0019.5115.58
Gamma HHI0.350.210.430.210.43
Net GEX-918.3K-1.4M-86.4K-86.4K-1.2M
Net DEX9.2M-1.0M15.3M1.7M12.8M
Net VEX-85.6K-123.5K-66.7K-123.5K-66.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.400.188.830.182.28
Total Volume3,178.3041,2408,3918,3911,459
Total OI19,862.08713,78526,19926,19914,075

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-08-01$47.29$46.0031.0%8.9%35.8%37.3%31.4%4.2%-0.9%-86.4K1.7M-123.5K0.1819.51N/AN/A7,1131,2789,87116,328
2018-08-02$46.28$46.0030.6%8.8%36.2%35.2%30.8%2.8%-1.0%-1.3M14.6M-116.0K0.2216.26N/AN/A4,0378876,67916,933
2018-08-03$47.15$46.0029.8%8.5%36.4%31.1%31.0%4.8%-1.0%-1.0M9.0M-109.9K0.2215.83N/AN/A3,6128036,71016,976
2018-08-06$47.87$47.0030.4%8.2%36.3%34.3%29.1%3.5%-0.2%-785.1K4.0M-102.9K0.2014.32N/AN/A4,1658256,87617,024
2018-08-07$48.36$47.0029.6%8.0%33.7%30.1%28.5%3.6%0.3%-483.4K-1.0M-98.3K0.1814.32N/AN/A4,0637487,49917,049
2018-08-08$47.85$47.0028.2%7.8%33.2%23.2%28.1%3.3%0.2%-595.5K2.5M-99.2K0.2116.22N/AN/A4,0268267,50717,041
2018-08-09$47.10$48.0028.2%8.0%33.7%23.1%27.8%3.5%0.1%-737.9K6.7M-97.9K0.2218.76N/AN/A3,4297627,52317,148
2018-08-10$46.34$48.0027.8%8.0%32.6%21.3%27.4%3.4%0.6%-1.1M12.3M-97.6K3.0716.76N/AN/A4141,2717,50217,139
2018-08-13$45.90$48.0033.1%7.9%32.6%47.7%27.8%2.7%0.6%-1.4M15.3M-92.5K3.0117.87N/AN/A3871,1657,54416,867
2018-08-14$46.11$48.0030.6%7.7%32.3%35.2%27.4%2.8%1.3%-1.2M14.1M-87.9K3.2715.34N/AN/A3541,1577,53016,902
2018-08-15$46.09$48.0028.6%8.2%32.0%25.3%28.2%2.6%-0.0%-1.1M14.2M-87.1K2.7419.44N/AN/A4151,1367,54016,896
2018-08-16$46.05$48.0026.9%7.7%31.8%16.5%26.7%3.1%0.7%-311.9K12.9M-82.7K2.8421.42N/AN/A3801,0807,52116,830
2018-08-17$46.43$48.0027.0%7.7%31.8%17.2%26.8%3.1%1.0%-911.0K6.3M-78.2K3.6119.22N/AN/A2981,0777,52216,819
2018-08-20$46.88$48.0025.9%7.4%32.0%11.3%26.5%2.8%1.1%-885.5K8.1M-74.7K3.9417.36N/AN/A2519893,72410,145
2018-08-21$47.69$47.0025.5%7.3%32.1%9.6%26.2%3.3%1.1%-791.5K5.6M-71.5K3.4717.01N/AN/A2839823,74110,186
2018-08-22$47.03$47.0026.0%7.4%26.6%11.9%26.0%2.0%-0.6%-863.6K7.4M-70.1K5.1528.00N/AN/A4162,1423,77210,048
2018-08-23$46.31$47.0025.7%7.4%27.2%10.8%25.7%2.9%0.4%-982.0K9.8M-72.1K8.4212.32N/AN/A4233,5603,81310,137
2018-08-24$45.60$47.0025.3%7.2%27.8%8.3%25.0%2.4%0.1%-1.1M12.0M-70.2K8.0815.12N/AN/A4283,4573,8189,967
2018-08-27$46.16$47.0025.3%7.3%24.9%8.8%25.7%1.5%1.0%-1.0M10.3M-68.9K8.8315.48N/AN/A3833,3833,80610,028
2018-08-28$46.48$47.0025.9%7.4%23.3%11.7%25.2%3.0%0.4%-1.0M9.0M-66.7K8.1217.41N/AN/A4173,3863,80810,032
2018-08-29$45.98$47.0025.5%7.3%20.9%9.3%25.5%1.7%0.4%-1.1M10.7M-67.1K7.9917.35N/AN/A4403,5143,88710,034
2018-08-30$45.41$47.0026.1%7.5%19.9%12.7%25.7%2.6%0.3%-1.2M12.8M-67.2K2.0115.68N/AN/A4919893,90610,125
2018-08-31$45.45$47.0025.8%7.4%18.6%11.3%25.7%2.8%0.5%-1.2M12.8M-66.9K2.2815.58N/AN/A4451,0143,94610,129