AN Options History — January 2019

In January 2019, AN traded between $36.07 and $38.70. ATM implied volatility averaged 34.9%, placing in the 47.7% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 6.1% (HV 20d: 28.8%). Max pain ranged from $35.00 to $38.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 2.98.

Notable Days

  • 2019-01-25: Highest Volume — 1,740 contracts
  • 2019-01-22: Largest IV drop — 11.4% change
  • 2019-01-03: Highest IV Rank — 67.5%
  • 2019-01-03: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.09$36.07$38.70$36.09$38.70
Max Pain$37.00$35.00$38.00$37.00$37.00
ATM IV34.9%28.0%38.9%37.3%28.0%
Expected Move10.1%8.5%11.6%10.7%9.6%
HV 20d28.8%24.9%30.9%30.6%29.4%
HV 60d28.6%26.9%30.3%28.8%27.9%
IV Rank47.7%14.9%67.5%60.3%14.9%
IV Percentile62.9%26.2%84.1%78.6%26.2%
Term Structure-0.8%-4.4%4.8%2.8%-1.9%
VWIV35.4%29.7%39.9%38.6%33.3%
Skew 25d5.7%4.4%7.4%7.4%5.3%
Skew 10d16.8%10.6%29.5%27.2%26.0%
Call IV 25d33.1%27.4%36.7%34.2%31.2%
Put IV 25d38.8%33.2%43.5%41.6%36.5%
Bid-Ask Spread %44.9920.3775.5275.5220.37
Gamma HHI0.140.120.190.130.13
Net GEX-67.7K-239.1K149.9K-56.0K-23.3K
Net DEX1.1M-1.1M4.1M1.4M-932.9K
Net VEX-24.8K-33.4K-17.7K-18.7K-31.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.980.3210.481.473.45
Total Volume7221151,7401951,170
Total OI6,986.5715,3688,8055,8277,393

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-01-02$36.09$37.0037.3%10.7%30.6%60.3%38.6%7.4%2.8%-56.0K1.4M-18.7K1.4775.52N/AN/A791163,0522,775
2019-01-03$36.07$35.0038.9%11.6%24.9%67.5%39.9%6.8%-4.4%-53.4K1.3M-18.5K3.5024.57N/AN/A842943,0752,787
2019-01-04$36.99$35.0036.3%10.6%26.3%55.9%37.9%5.5%-2.1%-5.3K313.2K-18.4K4.1028.51N/AN/A833403,0842,813
2019-01-07$37.74$35.0036.5%10.7%26.9%56.7%37.6%6.0%-2.6%37.8K-461.2K-17.8K0.7236.56N/AN/A120863,0822,825
2019-01-08$36.25$37.0036.9%10.8%30.9%58.5%38.0%5.9%-2.9%-56.3K1.2M-17.7K7.8234.55N/AN/A876803,1802,895
2019-01-09$36.95$37.0036.7%10.5%29.0%56.4%36.6%4.8%-3.2%-66.0K1.0M-19.8K1.1837.37N/AN/A1141343,1983,446
2019-01-10$36.44$37.0038.5%11.0%29.6%63.8%37.8%6.2%-3.8%-110.7K1.8M-19.6K0.6231.23N/AN/A6554093,2063,457
2019-01-11$36.94$37.0036.4%10.4%29.8%54.0%36.2%4.8%-2.2%-36.3K799.0K-22.4K0.3237.17N/AN/A6592143,7803,754
2019-01-14$37.13$37.0037.3%10.7%28.5%58.1%37.6%5.2%-4.3%-10.5K399.7K-21.6K4.4837.84N/AN/A21943,7823,792
2019-01-15$36.80$37.0037.6%10.8%28.6%59.4%37.1%6.5%-4.2%-58.2K1.1M-21.2K0.6638.64N/AN/A102673,7963,876
2019-01-16$37.75$37.0036.9%10.6%29.4%56.1%37.6%4.4%-3.9%40.8K-736.9K-21.3K0.6245.67N/AN/A6393993,8853,862
2019-01-17$37.61$37.0037.2%10.7%29.1%57.8%38.0%4.9%-4.1%53.6K-927.0K-24.2K1.2949.76N/AN/A5136644,3494,148
2019-01-18$37.90$37.0037.2%10.7%28.6%57.8%37.6%5.8%-3.9%149.9K-1.1M-26.4K2.2745.04N/AN/A2676054,3794,426
2019-01-22$37.00$37.0033.0%9.5%30.4%38.1%33.8%6.4%2.8%-19.6K933.8K-26.2K10.4849.74N/AN/A1351,4152,4272,941
2019-01-23$36.40$38.0033.4%9.6%30.3%39.9%33.0%6.0%3.2%-236.4K4.1M-32.4K9.1946.14N/AN/A1581,4522,5594,341
2019-01-24$36.81$38.0031.0%8.9%29.7%29.1%30.5%5.2%4.2%-239.1K3.6M-33.4K4.7355.47N/AN/A1949172,5754,544
2019-01-25$37.19$38.0030.5%8.7%28.5%26.7%29.7%5.8%3.8%-212.7K3.0M-32.9K3.9961.65N/AN/A3491,3912,6394,594
2019-01-28$37.50$38.0031.5%9.0%28.4%31.2%30.6%5.6%3.5%-159.3K1.9M-32.7K0.6956.29N/AN/A80552,7734,478
2019-01-29$36.91$38.0032.5%9.3%28.2%36.0%31.1%5.7%2.8%-216.1K3.0M-32.3K0.6260.79N/AN/A97602,8434,517
2019-01-30$37.65$38.0029.7%8.5%28.3%23.1%30.5%5.0%4.8%-143.6K1.4M-32.4K0.4672.00N/AN/A112522,8624,528
2019-01-31$38.70$37.0028.0%9.6%29.4%14.9%33.3%5.3%-1.9%-23.3K-932.9K-31.4K3.4520.37N/AN/A2639072,8654,528