AN Options History — November 2019

In November 2019, AN traded between $51.27 and $52.91. ATM implied volatility averaged 25.1%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 4.8% (HV 20d: 20.3%). Max pain ranged from $44.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 2.08.

Notable Days

  • 2019-11-27: Highest Volume — 843 contracts
  • 2019-11-12: Largest IV drop — 31.8% change
  • 2019-11-19: Highest IV Rank — 26.8%
  • 2019-11-01: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.04$51.27$52.91$51.67$51.27
Max Pain$46.45$44.00$50.00$50.00$47.00
ATM IV25.1%19.8%29.0%27.1%24.8%
Expected Move7.2%6.3%7.8%7.8%7.1%
HV 20d20.3%12.8%24.9%24.7%13.1%
HV 60d22.7%21.4%24.3%24.2%21.5%
IV Rank16.5%0.0%26.8%12.7%19.9%
IV Percentile8.7%0.0%44.4%17.1%4.0%
Term Structure-0.3%-1.2%0.5%-0.3%-0.3%
VWIV24.7%16.9%28.4%26.7%25.0%
Skew 25d3.4%2.0%4.6%3.2%2.3%
Skew 10d9.4%5.0%14.0%7.1%5.0%
Call IV 25d22.8%20.8%24.2%24.0%23.2%
Put IV 25d26.2%24.8%27.5%27.2%25.5%
Bid-Ask Spread %75.3663.0085.8373.2777.11
Gamma HHI0.370.270.470.300.27
Net GEX196.3K161.6K246.8K216.4K245.6K
Net DEX-6.4M-7.4M-5.5M-6.3M-7.4M
Net VEX-13.1K-18.9K-10.5K-17.3K-18.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.080.0015.170.300.00
Total Volume105.858432619
Total OI3,701.653,1724,1824,0614,182

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$51.67$50.0027.1%7.8%24.7%12.7%26.7%3.2%-0.3%216.4K-6.3M-17.3K0.3073.27N/AN/A2062,3501,711
2019-11-04$52.59$44.0023.6%6.9%24.9%0.0%24.9%3.2%-0.4%246.8K-7.2M-16.7K0.4977.33N/AN/A65322,3551,707
2019-11-05$52.47$44.0028.7%7.7%24.0%24.4%24.5%3.3%-0.2%233.2K-7.0M-14.0K0.1168.42N/AN/A6272,2081,596
2019-11-06$52.08$44.0027.5%7.6%24.3%18.5%26.9%3.5%-1.2%230.2K-6.7M-13.6K1.8363.00N/AN/A6112,2061,596
2019-11-07$51.72$44.0026.1%7.5%24.3%11.9%24.7%3.9%-0.1%216.1K-6.4M-13.8K4.1171.80N/AN/A18742,2031,601
2019-11-08$51.64$45.0024.1%7.3%24.3%2.4%25.5%3.8%-0.4%212.8K-6.3M-13.5K11.6775.39N/AN/A91052,2091,636
2019-11-11$51.83$47.0029.0%7.3%24.2%26.0%20.1%3.9%-0.4%189.8K-6.3M-13.4K0.2863.39N/AN/A88252,2131,737
2019-11-12$52.05$47.0019.8%7.4%23.1%0.0%22.9%3.8%-0.6%161.6K-6.6M-12.9K0.1475.91N/AN/A6692,1891,744
2019-11-13$52.32$47.0025.5%7.3%23.0%23.0%25.3%3.3%-0.6%164.9K-6.8M-12.4K0.2174.76N/AN/A2962,2121,745
2019-11-14$52.63$47.0023.1%6.6%22.5%13.2%25.3%4.2%-0.1%164.2K-7.0M-12.1K1.6183.40N/AN/A661062,2301,749
2019-11-15$52.91$47.0022.1%6.3%22.5%9.1%23.0%4.6%0.5%167.4K-7.3M-11.6K0.0781.78N/AN/A1412,2381,747
2019-11-18$52.88$47.0022.9%6.6%22.3%12.4%23.4%4.5%0.0%164.6K-6.4M-11.3K0.0579.19N/AN/A16981,9051,267
2019-11-19$52.22$47.0026.5%7.6%17.6%26.8%26.4%3.9%-1.1%198.4K-6.1M-12.1K3.0075.87N/AN/A17512,0471,274
2019-11-20$51.90$47.0025.6%7.3%16.4%23.2%26.4%3.3%-0.1%187.3K-5.8M-12.5K1.6777.71N/AN/A15252,0511,310
2019-11-21$51.52$47.0025.9%7.4%16.5%24.6%26.8%2.0%-0.4%186.0K-5.5M-12.1K0.0074.66N/AN/A2002,0461,297
2019-11-22$51.62$47.0025.3%7.2%16.5%22.1%25.2%3.1%-0.7%188.3K-5.6M-11.7K0.0085.83N/AN/A502,0401,297
2019-11-25$51.72$47.0024.9%7.1%15.7%20.6%28.4%2.5%-0.1%185.1K-5.7M-10.8K15.1776.95N/AN/A6912,0401,297
2019-11-26$51.85$47.0024.7%7.1%13.5%19.6%16.9%2.6%0.4%183.6K-5.8M-10.7K0.8376.41N/AN/A12102,0371,358
2019-11-27$51.95$47.0024.7%7.1%12.8%19.8%26.0%2.9%-0.2%184.5K-5.9M-10.5K0.0975.09N/AN/A774692,0351,368
2019-11-29$51.27$47.0024.8%7.1%13.1%19.9%25.0%2.3%-0.3%245.6K-7.4M-18.9K0.0077.11N/AN/A1902,7621,420