AN Options History — December 2018

In December 2018, AN traded between $33.25 and $37.12. ATM implied volatility averaged 39.8%, placing in the 71.3% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 13.2% (HV 20d: 26.6%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.63.

Notable Days

  • 2018-12-14: Highest Volume — 1,910 contracts
  • 2018-12-04: Largest IV spike — 14.8% change
  • 2018-12-10: Highest IV Rank — 92.3%
  • 2018-12-24: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.45$33.25$37.12$37.12$35.64
Max Pain$37.85$37.00$39.00$39.00$37.00
ATM IV39.8%34.2%44.6%34.2%38.0%
Expected Move11.2%9.8%12.6%9.8%10.9%
HV 20d26.6%23.0%30.2%23.0%30.2%
HV 60d27.8%26.8%28.7%26.8%28.7%
IV Rank71.3%46.4%92.3%46.4%63.2%
IV Percentile89.6%69.0%99.2%69.0%82.1%
Term Structure-1.5%-4.3%0.4%-2.2%-0.0%
VWIV38.4%31.8%44.8%33.6%38.1%
Skew 25d5.2%3.4%7.7%3.4%7.0%
Skew 10d11.8%3.5%23.9%8.9%23.9%
Call IV 25d36.2%31.9%40.2%31.9%35.4%
Put IV 25d41.4%35.3%47.6%35.3%42.4%
Bid-Ask Spread %67.3957.9677.1560.6569.55
Gamma HHI0.220.130.310.170.13
Net GEX-110.3K-196.4K-56.6K-56.6K-67.9K
Net DEX4.3M1.8M6.0M2.9M1.8M
Net VEX-17.4K-20.0K-13.7K-18.1K-18.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.056.050.221.66
Total Volume762.151251,910173125
Total OI7,272.45,5178,7676,8375,777

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$37.12$39.0034.2%9.8%23.0%46.4%33.6%3.4%-2.2%-56.6K2.9M-18.1K0.2260.65N/AN/A142314,2652,572
2018-12-04$35.34$39.0039.2%11.2%26.1%68.8%37.6%3.9%-3.9%-82.9K4.3M-15.8K0.5067.02N/AN/A4872454,3542,575
2018-12-05$35.38$39.0040.5%11.6%26.1%74.2%39.0%4.3%-4.3%-82.8K4.3M-15.4K0.4668.86N/AN/A5372494,3542,575
2018-12-06$35.17$39.0039.5%10.3%26.1%70.2%33.3%5.5%-0.8%-86.1K3.7M-16.1K0.0560.86N/AN/A477244,5792,483
2018-12-07$34.97$38.0039.5%10.3%25.9%69.8%34.7%4.0%-1.0%-75.9K3.7M-16.7K0.1467.44N/AN/A599814,8012,504
2018-12-10$33.91$38.0044.6%11.2%27.4%92.3%37.9%5.8%-1.0%-89.1K4.6M-13.7K4.0357.96N/AN/A652624,7972,498
2018-12-11$33.84$38.0041.2%10.9%25.4%77.3%36.1%4.3%-1.1%-100.3K4.9M-15.5K2.5258.39N/AN/A1002524,8422,694
2018-12-12$34.16$38.0036.3%10.4%26.1%55.8%31.8%4.0%0.2%-105.4K4.8M-15.4K1.7262.09N/AN/A1572704,8772,688
2018-12-13$33.52$38.0036.7%10.5%26.2%57.7%39.2%4.8%-0.3%-100.8K5.3M-14.1K2.2663.85N/AN/A3888754,9462,673
2018-12-14$33.25$38.0038.0%10.9%25.8%63.3%38.4%4.3%-0.3%-162.6K6.0M-17.8K1.1763.33N/AN/A8821,0285,1593,463
2018-12-17$33.66$38.0038.7%11.1%26.3%66.4%38.2%3.8%-2.0%-167.1K5.6M-19.8K6.0566.78N/AN/A211275,1123,610
2018-12-18$34.31$38.0039.5%11.3%27.1%70.0%41.7%6.0%-3.0%-181.4K5.2M-20.0K3.2570.72N/AN/A3059905,1233,644
2018-12-19$33.97$38.0038.2%10.9%26.1%64.2%40.8%5.1%-1.1%-178.4K5.3M-19.6K2.7777.15N/AN/A3469575,1723,519
2018-12-20$34.33$37.0040.1%11.5%26.5%72.6%42.6%5.5%-2.6%-196.4K5.0M-19.6K2.9973.14N/AN/A3179495,1993,488
2018-12-21$33.76$37.0039.6%11.4%26.5%70.6%41.9%5.2%-2.0%-97.1K5.8M-18.6K1.7574.10N/AN/A3285755,2093,506
2018-12-24$33.29$37.0044.1%12.6%25.8%90.4%35.0%7.4%0.4%-99.8K3.5M-17.9K0.1274.52N/AN/A1,3441673,0072,613
2018-12-26$34.24$37.0044.1%12.6%28.5%90.3%44.8%7.7%-3.4%-93.8K2.9M-18.2K0.1969.49N/AN/A365692,9052,612
2018-12-27$34.11$37.0043.0%12.3%27.8%85.3%42.0%5.5%-0.5%-97.8K3.0M-18.1K0.3068.84N/AN/A3741122,9552,634
2018-12-28$34.99$37.0041.1%11.8%29.2%77.0%40.6%6.0%-0.5%-84.3K2.3M-18.8K0.5173.15N/AN/A4102112,9642,700
2018-12-31$35.64$37.0038.0%10.9%30.2%63.2%38.1%7.0%-0.0%-67.9K1.8M-18.8K1.6669.55N/AN/A47783,0142,763