AN Options History — August 2019

In August 2019, AN traded between $46.33 and $48.94. ATM implied volatility averaged 29.9%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 4.2% (HV 20d: 34.2%). Max pain ranged from $47.00 to $49.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.69.

Notable Days

  • 2019-08-30: Highest Volume — 3,573 contracts
  • 2019-08-12: Largest IV spike — 22.5% change
  • 2019-08-05: Highest IV Rank — 56.3%
  • 2019-08-05: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.57$46.33$48.94$48.03$47.44
Max Pain$48.59$47.00$49.00$47.00$48.00
ATM IV29.9%26.1%36.8%29.6%28.5%
Expected Move8.2%7.5%9.0%8.5%8.2%
HV 20d34.2%18.8%44.6%42.9%22.4%
HV 60d31.7%30.8%32.4%31.8%30.8%
IV Rank24.6%7.2%56.3%23.2%18.0%
IV Percentile41.3%8.7%80.6%44.8%33.7%
Term Structure-0.4%-3.2%1.1%-3.0%1.1%
VWIV28.8%25.8%36.5%28.2%29.4%
Skew 25d3.3%2.4%4.3%4.3%2.6%
Skew 10d7.1%3.0%11.8%11.5%5.6%
Call IV 25d27.4%24.8%29.5%27.3%27.0%
Put IV 25d30.7%28.0%33.8%31.6%29.6%
Bid-Ask Spread %52.5536.1366.3836.1356.90
Gamma HHI0.220.180.260.180.23
Net GEX475.6K216.4K608.0K322.1K608.0K
Net DEX-11.0M-15.6M-8.0M-11.5M-10.4M
Net VEX-51.3K-58.4K-45.4K-58.4K-45.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.003.370.640.45
Total Volume358.636143,5731,3603,573
Total OI9,517.8648,24210,45010,2338,836

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-08-01$48.03$47.0029.6%8.5%42.9%23.2%28.2%4.3%-3.0%322.1K-11.5M-58.4K0.6436.13N/AN/A8295315,5464,687
2019-08-02$47.76$47.0030.6%8.8%42.6%27.8%32.0%2.6%-3.2%342.9K-11.3M-58.4K2.7466.38N/AN/A721975,7044,667
2019-08-05$47.50$49.0036.8%9.0%42.2%56.3%31.7%4.3%-0.6%364.3K-10.7M-57.9K0.6845.02N/AN/A91625,7354,419
2019-08-06$47.82$49.0032.7%8.4%42.0%37.3%36.5%2.8%-0.7%405.4K-11.7M-56.5K0.0943.24N/AN/A204195,7684,429
2019-08-07$47.75$49.0033.6%8.5%42.1%41.5%30.1%2.6%-1.4%414.6K-11.7M-57.3K0.5544.24N/AN/A74415,9134,422
2019-08-08$48.30$49.0030.0%8.1%42.1%25.1%27.3%4.1%-0.0%491.7K-13.5M-56.1K0.4546.85N/AN/A73335,9594,413
2019-08-09$47.66$49.0028.9%8.1%42.8%19.8%27.1%3.3%-0.5%424.7K-11.7M-55.3K0.1048.18N/AN/A7785,9304,418
2019-08-12$48.33$49.0035.4%8.6%42.1%49.7%29.6%3.9%-0.6%503.3K-13.6M-53.4K0.7041.72N/AN/A56395,9434,417
2019-08-13$48.94$49.0033.8%7.9%42.1%42.3%27.9%2.4%1.0%604.6K-15.6M-51.6K0.3661.06N/AN/A117425,9694,429
2019-08-14$48.14$49.0030.6%8.8%42.9%27.9%30.3%3.3%-0.7%475.4K-13.2M-52.5K0.9250.48N/AN/A48445,9694,456
2019-08-15$46.84$49.0030.6%8.8%44.5%27.7%29.4%4.2%-0.6%216.4K-9.0M-51.5K3.3746.10N/AN/A732465,9884,462
2019-08-16$47.72$49.0028.2%8.1%44.6%17.0%27.8%3.2%-0.3%435.3K-12.4M-50.5K0.3152.96N/AN/A71226,0034,407
2019-08-19$47.65$49.0027.1%7.8%44.3%11.7%27.9%2.5%0.4%515.1K-10.6M-48.7K0.3658.43N/AN/A110405,1093,133
2019-08-20$47.47$49.0027.9%8.0%25.1%15.4%26.4%4.1%-0.1%517.9K-10.1M-48.3K0.0056.85N/AN/A3705,1073,173
2019-08-21$47.50$49.0027.1%7.8%18.8%11.8%27.1%3.1%0.0%540.1K-10.2M-47.5K0.4054.39N/AN/A1045,1443,181
2019-08-22$47.59$49.0026.1%7.5%18.8%7.2%26.8%3.2%0.7%546.6K-10.4M-47.4K0.5454.09N/AN/A1375,1503,182
2019-08-23$46.50$49.0028.8%8.2%20.1%19.4%28.6%3.3%-0.1%488.9K-8.0M-45.8K0.3459.25N/AN/A4311485,1603,182
2019-08-26$47.40$48.0028.6%8.2%21.5%18.4%27.6%3.5%-0.2%580.2K-10.6M-47.8K0.1455.62N/AN/A1425,4283,296
2019-08-27$46.33$48.0028.6%8.2%22.5%18.6%28.3%3.1%0.1%505.2K-8.2M-46.4K1.2257.87N/AN/A36445,4103,299
2019-08-28$46.92$48.0027.9%8.0%22.9%15.3%27.9%3.6%0.4%562.7K-9.1M-46.2K0.4659.71N/AN/A136635,4313,344
2019-08-29$47.01$48.0026.8%7.7%22.2%10.4%25.8%2.4%0.4%597.5K-9.5M-45.4K0.3060.70N/AN/A118355,4603,315
2019-08-30$47.44$48.0028.5%8.2%22.4%18.0%29.4%2.6%1.1%608.0K-10.4M-45.9K0.4556.90N/AN/A2,4651,1085,4963,340