AN Options History — March 2019

In March 2019, AN traded between $32.86 and $35.78. ATM implied volatility averaged 29.3%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 0.0% (HV 20d: 29.3%). Max pain ranged from $29.00 to $38.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 3.61.

Notable Days

  • 2019-03-22: Highest Volume — 1,174 contracts
  • 2019-03-22: Largest IV spike — 12.4% change
  • 2019-03-07: Highest IV Rank — 30.4%
  • 2019-03-25: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.21$32.86$35.78$35.02$35.78
Max Pain$34.75$29.00$38.00$38.00$35.00
ATM IV29.3%26.7%31.3%27.4%26.7%
Expected Move8.9%7.9%9.6%7.9%8.9%
HV 20d29.3%27.2%31.8%29.2%30.2%
HV 60d28.9%27.9%29.9%29.8%29.6%
IV Rank21.2%9.1%30.4%12.3%9.1%
IV Percentile35.0%11.1%46.0%20.2%11.1%
Term Structure1.7%-0.7%4.0%2.0%4.0%
VWIV30.0%25.9%33.6%25.9%32.2%
Skew 25d4.5%2.4%5.2%2.4%2.9%
Skew 10d11.7%3.5%18.9%3.5%6.2%
Call IV 25d27.8%25.9%29.7%26.8%25.9%
Put IV 25d32.2%28.9%34.3%29.2%28.9%
Bid-Ask Spread %41.2623.6879.9345.5334.99
Gamma HHI0.190.140.330.170.14
Net GEX-334.9K-459.9K-242.4K-454.0K-242.4K
Net DEX8.1M3.7M10.9M8.8M3.7M
Net VEX-33.4K-36.7K-29.3K-35.0K-35.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.610.1411.491.166.74
Total Volume544.7621591,174650936
Total OI8,963.5248,1339,8189,3378,551

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-03-01$35.02$38.0027.4%7.9%29.2%12.3%25.9%2.4%2.0%-454.0K8.8M-35.0K1.1645.53N/AN/A3013493,4585,879
2019-03-04$34.66$38.0029.5%8.5%29.2%22.1%29.5%5.2%-0.4%-437.3K9.3M-33.1K0.6951.03N/AN/A94653,4775,839
2019-03-05$34.94$37.0028.6%8.2%29.4%17.8%27.9%4.8%0.3%-459.9K8.5M-34.0K2.2258.18N/AN/A641423,5465,841
2019-03-06$34.47$37.0030.9%8.9%28.8%28.7%28.1%4.6%0.6%-419.2K9.4M-31.8K1.9864.57N/AN/A641273,5565,815
2019-03-07$33.70$37.0031.3%9.0%29.4%30.4%29.4%4.8%-0.7%-324.8K10.9M-29.3K0.6975.75N/AN/A3132163,5775,830
2019-03-08$33.66$37.0030.0%8.6%27.2%24.1%30.3%4.7%-0.6%-318.8K10.6M-29.6K1.1879.93N/AN/A3263863,5905,749
2019-03-11$34.56$35.0028.2%8.5%29.2%15.9%29.3%4.6%0.4%-413.2K9.4M-30.5K9.3137.67N/AN/A676243,6475,828
2019-03-12$34.05$35.0030.3%8.7%29.3%25.7%26.9%4.3%0.0%-341.8K10.4M-32.1K5.5736.06N/AN/A462563,6706,024
2019-03-13$33.84$35.0029.3%8.5%27.8%21.2%26.6%5.1%-0.0%-337.0K10.8M-31.7K7.2836.15N/AN/A533863,7136,105
2019-03-14$32.89$35.0030.0%8.7%28.9%24.5%29.7%4.6%0.3%-291.7K9.7M-30.6K3.7938.67N/AN/A1033903,7105,537
2019-03-15$32.86$35.0029.2%8.7%27.8%20.6%28.4%4.5%1.5%-340.5K10.0M-30.5K4.9739.78N/AN/A1567763,7375,714
2019-03-18$33.75$0.0028.8%9.2%29.2%18.6%32.6%4.7%3.2%-318.1K7.6M-34.8K1.4528.77N/AN/A1121622,5685,565
2019-03-19$33.43$33.0030.1%9.5%29.2%24.7%33.0%4.8%3.7%-319.8K7.9M-35.1K0.5023.68N/AN/A135672,5915,646
2019-03-20$33.65$33.0028.7%9.2%29.0%18.3%30.2%4.4%4.0%-317.5K7.4M-35.6K0.1434.09N/AN/A596842,6135,625
2019-03-21$34.72$33.0027.1%8.8%31.6%10.9%28.6%3.5%3.6%-294.6K5.9M-36.7K0.7025.57N/AN/A6354472,8715,664
2019-03-22$33.73$33.0030.5%9.5%31.8%26.6%30.3%4.6%2.3%-272.1K7.0M-35.5K0.7425.05N/AN/A6735012,9365,516
2019-03-25$34.06$29.0030.8%9.6%29.9%28.1%33.6%5.1%2.1%-302.7K6.8M-35.2K2.0623.98N/AN/A621282,9695,625
2019-03-26$34.25$33.0030.8%9.4%30.0%28.0%32.8%4.2%2.4%-296.8K6.4M-35.3K3.0828.27N/AN/A401232,9875,628
2019-03-27$35.35$33.0029.3%9.4%30.0%21.1%33.1%4.7%3.4%-267.3K4.5M-35.7K9.9842.01N/AN/A595892,9865,590
2019-03-28$35.07$34.0028.3%9.2%29.5%16.2%32.6%4.9%4.0%-263.3K4.9M-34.3K11.4936.68N/AN/A637242,9955,466
2019-03-29$35.78$35.0026.7%8.9%30.2%9.1%32.2%2.9%4.0%-242.4K3.7M-35.0K6.7434.99N/AN/A1218153,0055,546