AN Options History — September 2019

In September 2019, AN traded between $47.42 and $51.90. ATM implied volatility averaged 27.0%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 2.8% (HV 20d: 24.2%). Max pain ranged from $45.00 to $48.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2019-09-10: Highest Volume — 1,453 contracts
  • 2019-09-09: Largest IV spike — 7.8% change
  • 2019-09-03: Highest IV Rank — 24.2%
  • 2019-09-03: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.14$47.42$51.90$47.42$50.69
Max Pain$45.30$45.00$48.00$48.00$45.00
ATM IV27.0%24.7%29.8%29.8%26.6%
Expected Move7.8%7.4%8.5%8.5%7.6%
HV 20d24.2%22.4%26.9%22.4%23.0%
HV 60d31.0%30.4%31.9%30.7%30.6%
IV Rank11.3%0.6%24.2%24.2%9.3%
IV Percentile15.7%0.4%44.4%44.4%10.3%
Term Structure3.0%-0.8%5.0%-0.8%4.2%
VWIV28.3%24.6%31.4%31.1%26.7%
Skew 25d3.3%1.4%9.0%3.9%4.0%
Skew 10d8.6%4.6%15.7%9.3%7.3%
Call IV 25d25.3%19.8%27.4%27.4%24.3%
Put IV 25d28.6%27.2%31.3%31.3%28.3%
Bid-Ask Spread %57.1417.6386.7217.6370.52
Gamma HHI0.220.190.240.240.21
Net GEX699.3K553.7K828.2K709.5K663.7K
Net DEX-17.6M-26.1M-12.6M-12.6M-16.2M
Net VEX-37.8K-56.3K-29.1K-55.3K-30.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.085.380.441.43
Total Volume342.25781,45366785
Total OI9,830.157,73811,62111,1918,310

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$47.42$48.0029.8%8.5%22.4%24.2%31.1%3.9%-0.8%709.5K-12.6M-55.3K0.4417.63N/AN/A4642036,8764,315
2019-09-04$48.09$48.0027.9%8.0%22.8%15.4%29.3%3.4%-0.3%795.9K-15.8M-56.3K0.4123.26N/AN/A3361377,1354,486
2019-09-05$48.80$45.0026.1%7.5%23.3%7.2%27.7%3.4%3.0%828.2K-18.0M-52.6K0.4075.13N/AN/A3661486,9404,458
2019-09-06$48.70$45.0024.7%7.4%23.0%0.6%27.0%2.4%3.4%828.2K-16.9M-50.3K0.5727.96N/AN/A2661516,7024,411
2019-09-09$50.07$45.0026.6%7.5%24.4%9.4%28.1%4.8%3.3%801.3K-21.0M-44.2K1.1129.48N/AN/A2302566,5034,407
2019-09-10$51.90$45.0028.0%7.9%26.9%15.6%28.6%3.4%1.7%663.5K-26.1M-35.8K0.1729.04N/AN/A1,2452086,4594,337
2019-09-11$51.67$45.0026.9%7.7%26.8%10.9%27.7%3.1%2.6%593.0K-21.9M-35.2K0.0874.22N/AN/A552425,8814,470
2019-09-12$51.41$45.0027.5%7.9%26.0%13.7%31.4%2.5%2.4%603.4K-20.7M-32.6K0.3779.13N/AN/A4791785,6474,468
2019-09-13$50.21$45.0027.1%7.8%25.4%11.8%28.8%1.9%2.8%644.5K-16.4M-37.9K0.5365.13N/AN/A51275,5564,536
2019-09-16$50.65$45.0027.9%8.0%24.9%15.5%28.3%3.5%2.1%639.1K-17.6M-35.6K0.1547.14N/AN/A97155,5344,552
2019-09-17$50.41$45.0027.4%7.8%25.0%12.9%28.9%2.3%2.6%679.9K-17.3M-34.6K0.5847.29N/AN/A59345,5304,558
2019-09-18$50.31$45.0027.0%7.7%24.9%11.3%29.3%2.4%3.1%759.5K-17.4M-33.0K0.2280.87N/AN/A151335,5284,534
2019-09-19$50.70$45.0026.6%7.6%25.0%9.2%27.0%2.3%3.5%780.2K-19.5M-32.0K0.6784.06N/AN/A100675,6274,502
2019-09-20$50.47$45.0026.9%7.7%25.1%10.7%28.4%3.0%3.4%759.8K-19.5M-32.0K0.6886.72N/AN/A63435,6444,458
2019-09-23$51.27$45.0026.7%7.7%23.5%9.8%24.6%3.6%4.7%553.7K-16.5M-29.1K0.2369.77N/AN/A256594,6813,057
2019-09-24$50.38$45.0027.3%7.8%24.1%12.8%28.2%2.6%4.3%635.6K-14.9M-31.5K0.2151.92N/AN/A164344,8813,061
2019-09-25$50.09$45.0026.3%7.5%22.4%8.1%27.3%2.9%4.7%668.1K-14.8M-32.5K1.3548.82N/AN/A34465,0123,088
2019-09-26$49.77$45.0026.5%7.6%22.5%9.0%26.8%1.4%4.2%680.8K-14.1M-33.2K0.0965.92N/AN/A7675,0253,188
2019-09-27$49.80$45.0026.4%7.6%22.5%8.3%31.2%9.0%5.0%698.5K-14.1M-33.0K5.3868.85N/AN/A13705,0563,190
2019-09-30$50.69$45.0026.6%7.6%23.0%9.3%26.7%4.0%4.2%663.7K-16.2M-30.4K1.4370.52N/AN/A35505,0553,255