AN Options History — October 2019

In October 2019, AN traded between $47.11 and $51.76. ATM implied volatility averaged 31.8%, placing in the 33.3% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 8.6% (HV 20d: 23.2%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 0.60.

Notable Days

  • 2019-10-28: Highest Volume — 628 contracts
  • 2019-10-29: Largest IV drop — 27.5% change
  • 2019-10-28: Highest IV Rank — 72.0%
  • 2019-10-28: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.69$47.11$51.76$50.35$50.77
Max Pain$48.78$45.00$50.00$45.00$50.00
ATM IV31.8%26.5%40.2%27.5%27.7%
Expected Move9.3%7.9%11.5%7.9%7.9%
HV 20d23.2%18.9%26.8%23.2%24.1%
HV 60d27.1%21.9%31.6%30.5%24.1%
IV Rank33.3%9.0%72.0%13.7%15.5%
IV Percentile53.8%9.1%95.2%22.6%23.8%
Term Structure-2.4%-8.9%5.1%5.0%-0.4%
VWIV32.7%27.1%40.0%28.0%27.1%
Skew 25d4.4%1.6%10.3%9.7%1.6%
Skew 10d10.4%3.3%21.5%16.3%3.3%
Call IV 25d30.2%19.3%37.4%19.3%27.2%
Put IV 25d34.6%28.8%42.2%29.0%28.8%
Bid-Ask Spread %43.3616.6871.5845.1159.85
Gamma HHI0.250.220.290.220.27
Net GEX533.9K152.7K1.1M681.4K207.3K
Net DEX-9.8M-19.4M-4.1M-15.3M-5.4M
Net VEX-24.5K-32.3K-17.8K-30.9K-18.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.002.890.030.06
Total Volume156.13196283919
Total OI6,741.8263,5148,8958,3584,065

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-10-01$50.35$45.0027.5%7.9%23.2%13.7%28.0%9.7%5.0%681.4K-15.3M-30.9K0.0345.11N/AN/A3815,0623,296
2019-10-02$48.94$45.0028.7%8.2%25.3%18.9%29.7%6.2%5.1%731.8K-12.2M-32.3K0.1651.34N/AN/A152255,0643,297
2019-10-03$48.04$50.0028.8%9.6%25.7%19.7%37.9%3.7%-2.3%736.7K-9.9M-32.0K2.8917.42N/AN/A641855,0363,300
2019-10-04$48.09$50.0026.5%9.3%25.7%9.0%34.3%4.7%-1.5%772.6K-9.7M-31.8K0.8827.95N/AN/A82725,0273,471
2019-10-07$47.80$50.0028.5%9.4%23.4%18.2%32.5%3.7%-2.1%791.5K-9.0M-30.6K0.6816.68N/AN/A40275,0713,517
2019-10-08$47.11$49.0030.0%9.8%18.9%25.2%33.5%3.6%-2.1%708.6K-7.1M-30.0K1.1821.35N/AN/A51605,0963,544
2019-10-09$47.66$48.0033.4%9.6%19.8%40.8%33.4%4.3%-2.9%802.4K-8.4M-29.2K0.4218.94N/AN/A40175,0973,528
2019-10-10$48.31$48.0033.4%9.6%20.8%40.7%0.0%4.7%-2.4%896.6K-10.3M-28.8K0.0126.41N/AN/A18615,1163,530
2019-10-11$48.76$48.0032.4%9.3%19.7%36.2%32.1%4.2%-1.7%912.6K-12.1M-28.1K0.8142.54N/AN/A21175,1873,531
2019-10-14$48.60$48.0031.5%9.0%19.4%32.1%31.2%10.3%-1.9%1.1M-11.3M-25.7K0.0545.45N/AN/A6335,1953,542
2019-10-15$49.73$48.0031.4%9.0%21.3%31.4%32.2%4.0%-2.4%1.0M-15.3M-24.6K0.3146.58N/AN/A111345,2343,545
2019-10-16$50.17$48.0032.2%9.2%21.5%35.0%31.9%3.5%-2.7%949.8K-17.0M-23.9K0.1250.27N/AN/A5975,3033,570
2019-10-17$50.90$48.0031.4%9.0%22.0%31.7%32.1%3.2%-2.2%282.3K-19.4M-22.1K0.4052.60N/AN/A100405,3273,568
2019-10-18$50.80$49.0032.4%9.3%21.9%35.9%32.1%3.5%-2.9%279.9K-19.4M-21.5K0.0050.69N/AN/A56915,3083,584
2019-10-21$51.31$49.0033.4%9.6%21.5%40.7%33.5%4.9%-3.6%177.0K-5.6M-19.0K0.3257.62N/AN/A159512,0961,418
2019-10-22$49.38$49.0035.7%10.2%24.7%51.3%34.6%4.2%-5.5%152.7K-4.1M-19.6K1.5946.13N/AN/A59942,0981,460
2019-10-23$50.45$50.0035.5%10.2%25.9%50.2%35.4%3.7%-5.6%158.6K-5.0M-19.7K2.2149.75N/AN/A24532,1301,553
2019-10-24$50.86$50.0035.6%10.2%25.9%50.7%35.4%4.2%-5.3%155.8K-5.2M-19.5K0.7352.06N/AN/A78572,1341,603
2019-10-25$51.00$50.0036.8%10.5%25.9%56.2%36.0%3.8%-6.2%162.4K-5.3M-19.6K0.0052.71N/AN/A2602,1541,602
2019-10-28$51.76$50.0040.2%11.5%25.7%72.0%40.0%4.8%-8.9%172.1K-6.0M-18.8K0.2742.42N/AN/A4961322,1611,602
2019-10-29$50.68$50.0029.1%8.4%26.8%21.1%29.6%2.2%-2.0%195.6K-5.3M-18.9K0.5751.83N/AN/A120692,3301,689
2019-10-30$51.34$50.0028.6%8.2%24.8%20.4%27.8%3.0%-1.8%201.7K-5.9M-17.8K0.1471.58N/AN/A77112,3141,707
2019-10-31$50.77$50.0027.7%7.9%24.1%15.5%27.1%1.6%-0.4%207.3K-5.4M-18.6K0.0659.85N/AN/A1812,3541,711