AN Options History — September 2018

In September 2018, AN traded between $41.57 and $44.92. ATM implied volatility averaged 27.1%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 6.1% (HV 20d: 21.0%). Max pain ranged from $45.00 to $47.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.26.

Notable Days

  • 2018-09-11: Highest Volume — 3,156 contracts
  • 2018-09-17: Largest IV spike — 8.1% change
  • 2018-09-04: Highest IV Rank — 25.6%
  • 2018-09-04: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.66$41.57$44.92$44.84$41.57
Max Pain$46.42$45.00$47.00$47.00$45.00
ATM IV27.1%25.4%28.7%28.7%26.6%
Expected Move7.8%7.3%8.2%8.2%7.6%
HV 20d21.0%17.2%23.6%17.9%23.6%
HV 60d26.3%25.6%27.2%25.9%27.1%
IV Rank17.8%8.9%25.6%25.6%14.9%
IV Percentile25.5%5.2%43.7%43.7%18.7%
Term Structure2.3%-2.0%5.7%-2.0%5.7%
VWIV27.5%26.0%29.1%28.4%27.1%
Skew 25d3.0%1.2%5.0%1.2%1.4%
Skew 10d6.3%2.8%10.3%2.8%4.1%
Call IV 25d26.0%24.8%27.7%27.7%26.4%
Put IV 25d29.1%27.3%30.7%28.9%27.9%
Bid-Ask Spread %19.299.9735.8316.5313.32
Gamma HHI0.350.270.430.430.27
Net GEX-1.3M-1.5M-1.1M-1.2M-1.1M
Net DEX19.6M14.5M26.7M15.0M26.7M
Net VEX-57.2K-64.8K-41.0K-63.7K-41.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.442.642.420.61
Total Volume2,159.1581,2633,1561,4142,854
Total OI16,222.57914,11118,04914,11116,306

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$44.84$47.0028.7%8.2%17.9%25.6%28.4%1.2%-2.0%-1.2M15.0M-63.7K2.4216.53N/AN/A4141,0003,97010,141
2018-09-05$44.81$47.0027.6%7.9%17.2%19.9%27.8%2.7%0.2%-1.2M15.1M-62.5K2.2616.57N/AN/A4841,0943,99210,187
2018-09-06$43.69$47.0027.6%7.7%18.7%20.3%26.2%3.7%2.2%-1.3M19.4M-58.4K2.6413.85N/AN/A3971,0484,12510,159
2018-09-07$43.54$47.0027.3%7.7%18.2%18.6%28.3%3.9%1.7%-1.3M19.8M-58.7K1.4835.83N/AN/A1,0681,5844,15510,198
2018-09-10$44.25$47.0027.5%7.8%18.9%19.8%27.9%4.6%1.6%-1.3M17.2M-62.4K1.3314.33N/AN/A1,1481,5254,86710,688
2018-09-11$43.98$47.0027.9%8.0%18.8%21.8%29.1%5.0%1.2%-1.3M18.5M-62.3K1.8814.81N/AN/A1,0952,0614,95211,105
2018-09-12$43.70$47.0027.5%7.9%18.7%19.7%28.9%3.7%1.7%-1.4M20.3M-63.9K0.9418.09N/AN/A1,1741,1014,94912,073
2018-09-13$43.77$47.0026.5%7.6%18.7%14.6%26.7%4.4%2.4%-1.5M20.4M-62.7K0.9032.74N/AN/A1,1129964,97912,271
2018-09-14$44.92$47.0025.4%7.3%21.3%8.9%27.3%3.2%3.3%-1.5M14.5M-64.8K1.3218.46N/AN/A6478555,01512,262
2018-09-17$43.66$47.0027.4%7.9%23.0%19.2%28.2%4.0%1.8%-1.5M21.6M-59.4K1.4324.77N/AN/A6769665,06412,295
2018-09-18$43.20$47.0027.3%7.8%22.7%18.4%26.0%2.1%1.8%-1.5M23.3M-56.0K1.3520.32N/AN/A6488785,19212,223
2018-09-19$43.83$47.0027.3%7.8%22.4%18.8%27.5%2.6%1.7%-1.4M20.0M-58.4K0.4424.67N/AN/A1,9318555,38512,275
2018-09-20$44.51$46.0026.3%7.5%23.1%13.6%27.6%2.5%2.0%-1.1M15.2M-60.3K0.6118.93N/AN/A1,4548915,83812,211
2018-09-21$44.42$46.0025.7%7.4%22.6%10.5%26.1%2.4%2.2%-1.4M16.0M-58.5K0.7215.62N/AN/A1,2519015,77412,185
2018-09-24$43.57$46.0026.8%7.7%22.9%16.2%27.5%2.6%4.1%-1.5M18.9M-52.5K1.9515.44N/AN/A4288354,23011,153
2018-09-25$42.49$45.0028.1%8.1%23.6%22.6%26.6%2.8%3.7%-1.3M24.0M-47.3K0.5213.06N/AN/A1,6098364,29911,248
2018-09-26$42.67$45.0026.9%7.7%23.5%16.8%28.3%2.6%3.8%-1.3M22.6M-49.0K0.5329.22N/AN/A1,6368595,00111,241
2018-09-27$42.10$45.0027.2%7.8%23.6%18.2%27.2%2.0%4.6%-1.2M24.9M-44.6K0.579.97N/AN/A1,7339805,07811,143
2018-09-28$41.57$45.0026.6%7.6%23.6%14.9%27.1%1.4%5.7%-1.1M26.7M-41.0K0.6113.32N/AN/A1,7711,0835,15111,155