AN Options History — July 2019

In July 2019, AN traded between $41.24 and $49.03. ATM implied volatility averaged 28.6%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 0.8% (HV 20d: 29.4%). Max pain ranged from $39.00 to $47.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.81.

Notable Days

  • 2019-07-23: Highest Volume — 6,035 contracts
  • 2019-07-10: Largest IV spike — 19.4% change
  • 2019-07-22: Highest IV Rank — 38.9%
  • 2019-07-22: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.95$41.24$49.03$42.33$48.86
Max Pain$43.36$39.00$47.00$39.00$47.00
ATM IV28.6%24.6%33.0%26.1%27.5%
Expected Move8.4%7.0%9.5%7.5%7.9%
HV 20d29.4%22.2%43.1%28.6%42.0%
HV 60d29.1%27.1%32.3%28.6%31.9%
IV Rank18.4%0.0%38.9%6.2%13.3%
IV Percentile29.0%0.0%59.1%7.5%23.4%
Term Structure-0.9%-3.7%7.0%4.2%-0.8%
VWIV29.5%25.5%33.3%26.7%27.8%
Skew 25d4.5%2.8%6.6%4.5%4.9%
Skew 10d10.1%2.2%15.6%13.3%12.4%
Call IV 25d27.0%21.9%31.0%24.0%23.4%
Put IV 25d31.5%26.6%35.1%28.4%28.2%
Bid-Ask Spread %36.289.9480.0372.2062.52
Gamma HHI0.150.090.270.090.20
Net GEX200.9K10.3K397.6K178.1K396.6K
Net DEX-5.9M-14.7M-892.4K-3.7M-14.7M
Net VEX-27.0K-55.5K-15.1K-19.2K-55.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.211.520.811.34
Total Volume732.227836,035190718
Total OI7,239.53,79810,0616,41110,061

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-07-01$42.33$39.0026.1%7.5%28.6%6.2%26.7%4.5%4.2%178.1K-3.7M-19.2K0.8172.20N/AN/A105852,4273,984
2019-07-02$41.99$40.0024.6%7.0%24.3%0.0%25.6%2.8%7.0%154.4K-3.2M-19.6K0.6075.44N/AN/A104622,4844,067
2019-07-03$42.44$40.0025.6%7.3%23.1%4.6%26.0%2.9%6.0%188.0K-3.9M-18.6K1.4580.03N/AN/A911322,4914,073
2019-07-05$41.94$44.0025.8%9.0%23.5%5.7%31.6%3.9%-1.9%160.3K-3.3M-19.0K1.3925.62N/AN/A951322,4964,133
2019-07-08$41.43$44.0027.1%9.1%23.5%11.4%32.5%3.0%-2.5%108.0K-2.3M-17.8K1.5226.29N/AN/A33502,4724,176
2019-07-09$41.24$43.0026.8%9.2%23.0%10.5%33.2%4.5%-2.3%83.0K-1.8M-17.9K1.2629.05N/AN/A42532,4844,223
2019-07-10$41.39$43.0032.0%9.2%23.0%34.5%31.5%5.2%-2.9%105.1K-2.1M-17.3K0.8034.46N/AN/A51412,4924,225
2019-07-11$41.75$43.0030.9%8.9%22.8%29.2%31.3%3.8%-1.9%138.9K-2.7M-16.7K0.4033.04N/AN/A106422,4934,233
2019-07-12$42.03$43.0031.0%8.9%22.3%29.6%31.7%4.6%-2.5%162.9K-3.4M-16.3K0.5732.05N/AN/A2051162,5254,236
2019-07-15$41.38$43.0032.5%9.3%23.0%36.3%30.3%5.2%-3.2%144.8K-2.2M-15.9K0.2630.64N/AN/A111292,5574,290
2019-07-16$41.74$42.0031.5%9.0%22.9%32.0%30.7%4.7%-2.5%182.1K-2.9M-15.6K0.3330.44N/AN/A147492,6114,291
2019-07-17$41.72$42.0031.3%9.0%22.6%30.7%30.9%4.8%-2.4%201.6K-2.8M-15.1K0.4237.22N/AN/A191812,6084,306
2019-07-18$41.67$42.0031.8%9.1%22.2%33.2%31.2%3.9%-3.0%216.4K-2.8M-17.3K1.0139.08N/AN/A1511532,7724,506
2019-07-19$42.40$42.0031.6%9.0%22.9%32.2%32.1%4.7%-2.6%120.0K-4.5M-17.4K0.9340.61N/AN/A1371282,8484,583
2019-07-22$42.01$42.0033.0%9.5%22.4%38.9%33.3%4.2%-3.7%10.3K-892.4K-17.7K1.1036.55N/AN/A3764121,2892,509
2019-07-23$46.62$42.0027.2%7.8%42.4%12.3%28.3%3.3%-0.9%106.6K-4.9M-16.7K0.3545.17N/AN/A4,4741,5611,6792,960
2019-07-24$48.80$46.0025.4%7.3%42.8%4.1%27.2%6.1%0.0%382.6K-14.0M-49.1K0.7119.51N/AN/A1,3699694,7823,761
2019-07-25$48.61$46.0026.2%7.5%43.1%7.6%27.0%5.0%-0.7%306.9K-12.8M-50.7K1.3110.28N/AN/A5256884,7493,940
2019-07-26$48.95$47.0025.9%7.4%42.2%6.0%25.5%5.8%-0.6%280.4K-13.2M-50.3K0.3614.00N/AN/A9603484,8234,200
2019-07-29$49.03$47.0027.0%7.7%41.9%11.3%27.8%6.6%-0.3%397.6K-14.7M-54.2K0.219.94N/AN/A308655,4064,239
2019-07-30$48.50$47.0028.0%8.0%42.3%15.9%27.5%4.3%-1.6%394.6K-13.6M-55.3K0.7314.02N/AN/A3542605,4874,298
2019-07-31$48.86$47.0027.5%7.9%42.0%13.3%27.8%4.9%-0.8%396.6K-14.7M-55.5K1.3462.52N/AN/A3074115,5904,471