AN Options History — November 2018

In November 2018, AN traded between $36.77 and $40.78. ATM implied volatility averaged 35.8%, placing in the 53.9% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 6.5% (HV 20d: 29.4%). Max pain ranged from $39.00 to $43.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2018-11-14: Highest Volume — 2,457 contracts
  • 2018-11-14: Largest IV drop — 18.0% change
  • 2018-11-13: Highest IV Rank — 75.2%
  • 2018-11-02: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.44$36.77$40.78$40.46$37.11
Max Pain$40.86$39.00$43.00$41.00$39.00
ATM IV35.8%33.0%40.7%36.6%36.3%
Expected Move9.8%8.9%10.6%10.5%10.4%
HV 20d29.4%22.5%34.4%32.5%23.4%
HV 60d26.4%25.5%27.2%25.6%26.8%
IV Rank53.9%41.2%75.2%57.4%55.8%
IV Percentile79.0%65.5%95.2%85.7%81.7%
Term Structure-1.6%-2.9%0.1%-2.6%-2.8%
VWIV33.8%30.6%37.1%36.8%34.5%
Skew 25d4.0%2.9%5.6%3.7%4.0%
Skew 10d7.9%4.1%10.4%5.1%5.1%
Call IV 25d32.8%29.6%35.9%35.9%33.4%
Put IV 25d36.7%33.3%41.1%39.6%37.5%
Bid-Ask Spread %29.1716.4358.0018.0358.00
Gamma HHI0.110.090.150.090.15
Net GEX-49.5K-118.3K21.2K-14.1K-42.6K
Net DEX2.7M177.3K5.5M656.2K2.9M
Net VEX-23.2K-30.8K-19.7K-29.8K-19.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.361.411.230.56
Total Volume1,582.5249052,4571,9631,414
Total OI7,257.816,0778,8366,7876,905

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$40.46$41.0036.6%10.5%32.5%57.4%36.8%3.7%-2.6%-14.1K656.2K-29.8K1.2318.03N/AN/A8791,0843,8692,918
2018-11-02$40.78$41.0037.0%10.6%32.6%59.2%37.1%5.4%-2.9%21.2K177.3K-30.8K0.7516.43N/AN/A1,0277694,2052,934
2018-11-05$39.43$43.0039.7%10.0%34.3%71.0%33.9%3.4%-1.5%-37.7K2.1M-27.5K0.6121.79N/AN/A1,0036114,4762,985
2018-11-06$39.36$43.0039.6%9.9%34.3%70.3%33.1%2.9%-1.6%-51.3K2.3M-26.9K0.5117.84N/AN/A1,0915534,5123,008
2018-11-07$39.15$43.0034.1%9.2%34.4%46.2%31.0%4.4%-0.7%-94.0K3.0M-24.7K0.5422.25N/AN/A1,0745834,4933,025
2018-11-08$39.30$43.0033.0%8.9%33.8%41.2%31.3%3.7%-0.3%-89.6K2.7M-24.5K0.6032.71N/AN/A1,0596364,5133,045
2018-11-09$38.92$43.0034.2%9.2%32.3%46.4%32.6%4.7%-0.9%-93.7K3.3M-24.2K0.4945.16N/AN/A1,4056874,9093,091
2018-11-12$39.76$43.0040.1%9.3%32.6%72.5%30.6%3.0%-1.5%-51.9K1.8M-25.5K0.5821.90N/AN/A1,1366594,9313,133
2018-11-13$39.36$42.0040.7%9.4%30.7%75.2%30.7%3.4%-1.3%-94.0K2.7M-24.3K0.5920.29N/AN/A1,1796924,9603,157
2018-11-14$38.73$42.0033.3%9.6%31.0%42.8%32.8%3.4%-1.0%-118.3K3.6M-22.8K0.3833.31N/AN/A1,7816765,0413,154
2018-11-15$37.99$41.0034.4%9.9%30.5%47.5%33.1%3.8%-1.9%-105.6K4.5M-22.0K0.3639.39N/AN/A1,7006145,6843,087
2018-11-16$37.29$40.0033.6%9.6%31.1%43.9%32.9%4.4%-0.8%-101.0K5.5M-20.0K0.6344.19N/AN/A1,1797375,7043,132
2018-11-19$37.69$40.0034.3%9.8%31.4%47.1%33.8%4.6%-2.0%-9.1K2.4M-21.3K1.1636.09N/AN/A4475203,7892,288
2018-11-20$36.77$40.0036.6%10.5%28.2%57.5%37.0%5.6%-2.5%-26.6K3.0M-20.1K1.2224.07N/AN/A4465463,8832,351
2018-11-21$36.96$39.0034.6%9.9%24.6%48.3%35.0%4.4%0.1%-29.2K2.9M-19.8K1.3520.32N/AN/A4195643,9472,354
2018-11-23$37.25$39.0036.0%10.3%24.1%54.8%36.5%3.9%-1.6%-14.6K2.5M-20.9K1.4122.24N/AN/A4165873,9682,406
2018-11-26$37.72$39.0035.3%10.1%24.8%51.5%34.7%3.2%-2.1%-23.2K2.4M-20.5K1.1918.35N/AN/A4134923,9862,491
2018-11-27$37.67$39.0034.1%9.8%24.6%46.1%34.3%4.6%-1.5%-34.7K2.5M-19.8K0.5923.01N/AN/A7744573,9962,562
2018-11-28$38.14$39.0034.4%9.9%22.5%47.5%32.9%4.0%-2.3%-6.8K2.0M-20.8K0.4821.28N/AN/A9534574,0812,579
2018-11-29$37.32$39.0035.0%10.0%23.4%50.4%35.1%3.0%-2.0%-22.5K2.5M-20.4K0.5955.86N/AN/A9505644,2662,596
2018-11-30$37.11$39.0036.3%10.4%23.4%55.8%34.5%4.0%-2.8%-42.6K2.9M-19.7K0.5658.00N/AN/A9085064,2702,635