AN Options History — December 2019

In December 2019, AN traded between $48.42 and $52.44. ATM implied volatility averaged 23.8%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.5% (HV 20d: 21.4%). Max pain ranged from $47.00 to $49.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 6.44.

Notable Days

  • 2019-12-23: Highest Volume — 612 contracts
  • 2019-12-13: Largest IV drop — 10.2% change
  • 2019-12-03: Highest IV Rank — 31.2%
  • 2019-12-03: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.36$48.42$52.44$50.94$48.76
Max Pain$48.71$47.00$49.00$47.00$49.00
ATM IV23.8%21.9%27.6%26.2%21.9%
Expected Move6.8%6.3%7.9%7.5%6.3%
HV 20d21.4%11.6%30.6%11.6%30.6%
HV 60d22.0%19.5%24.8%21.5%23.6%
IV Rank16.5%9.4%31.2%25.9%9.9%
IV Percentile4.7%0.4%31.0%12.7%0.4%
Term Structure2.4%-1.8%5.1%-1.5%5.1%
VWIV24.2%21.3%28.4%27.3%22.9%
Skew 25d3.0%-0.1%5.9%2.3%2.3%
Skew 10d6.7%-4.2%13.0%7.2%4.1%
Call IV 25d22.3%19.9%28.6%24.5%22.7%
Put IV 25d25.3%23.0%29.5%26.8%25.1%
Bid-Ask Spread %81.9959.3891.9859.3867.74
Gamma HHI0.280.210.450.260.25
Net GEX125.1K19.6K229.7K229.5K27.0K
Net DEX-5.3M-8.3M-703.2K-6.9M-919.1K
Net VEX-15.6K-18.6K-12.6K-18.1K-16.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.440.0236.334.671.59
Total Volume98.4290612340
Total OI3,7901,9744,4784,1872,668

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$50.94$47.0026.2%7.5%11.6%25.9%27.3%2.3%-1.5%229.5K-6.9M-18.1K4.6759.38N/AN/A6282,7671,420
2019-12-03$49.89$47.0027.6%7.9%11.6%31.2%28.4%0.9%-1.8%229.7K-5.8M-18.6K0.5381.02N/AN/A45242,7701,429
2019-12-04$50.42$47.0025.5%7.3%12.5%22.9%26.4%0.9%-1.2%215.9K-6.3M-18.0K0.5777.57N/AN/A63362,7461,446
2019-12-05$50.61$49.0024.2%6.9%12.5%17.6%24.5%3.3%2.3%173.0K-6.4M-17.5K36.3379.01N/AN/A31092,7111,475
2019-12-06$51.19$49.0024.4%6.9%13.1%18.7%26.0%2.4%2.5%194.8K-7.1M-17.1K24.6078.99N/AN/A51232,7091,524
2019-12-09$50.80$49.0024.9%6.9%13.3%20.3%24.3%3.1%2.5%140.3K-6.7M-16.2K10.3379.02N/AN/A3312,7051,619
2019-12-10$50.92$49.0025.2%6.9%13.3%21.7%24.3%3.9%2.9%139.0K-6.6M-16.1K6.0078.33N/AN/A3182,7051,619
2019-12-11$52.09$49.0024.8%7.1%15.6%20.6%23.2%3.8%2.2%190.3K-7.9M-15.4K13.5088.52N/AN/A6812,7061,620
2019-12-12$52.44$49.0025.2%7.2%15.7%22.1%25.1%4.4%1.7%196.1K-8.3M-15.3K0.2587.91N/AN/A69172,7071,681
2019-12-13$49.95$49.0022.6%6.5%23.2%11.6%22.8%3.4%2.8%82.1K-5.7M-15.7K0.1383.59N/AN/A3142,7421,675
2019-12-16$50.38$49.0022.9%6.6%23.4%12.7%26.0%1.8%2.8%22.2K-6.6M-14.5K4.1483.38N/AN/A7292,7541,675
2019-12-17$51.60$49.0023.2%6.6%25.2%13.8%22.7%3.5%3.0%136.9K-7.9M-13.8K0.4387.62N/AN/A46202,7591,680
2019-12-18$51.35$49.0022.9%6.6%24.9%12.5%22.4%3.1%2.9%128.6K-7.7M-13.9K0.2885.78N/AN/A46132,7681,683
2019-12-19$51.17$49.0022.6%6.5%24.8%11.5%22.4%3.2%3.2%121.5K-7.6M-13.6K7.2788.74N/AN/A151092,7831,691
2019-12-20$51.35$49.0022.1%6.4%24.7%9.6%21.3%3.0%3.0%166.2K-7.7M-13.3K0.0290.12N/AN/A5212,7781,700
2019-12-23$48.80$49.0022.9%6.6%30.6%12.7%25.0%5.9%3.2%122.3K-1.7M-12.6K4.5683.17N/AN/A1105021,487487
2019-12-24$48.89$49.0022.1%6.3%30.6%9.4%24.0%3.7%3.8%43.3K-1.2M-14.9K11.0091.98N/AN/A8881,451923
2019-12-26$48.65$49.0022.3%6.4%30.5%10.2%22.1%-0.1%3.9%21.6K-886.7K-15.3K1.1181.27N/AN/A55611,454991
2019-12-27$48.86$49.0022.6%6.5%30.6%12.0%23.1%4.5%4.2%28.3K-1.1M-16.1K1.4784.04N/AN/A19281,4981,047
2019-12-30$48.42$49.0024.1%6.9%30.4%20.0%22.9%4.5%3.3%19.6K-703.2K-15.4K1.5984.63N/AN/A59941,5031,034
2019-12-31$48.76$49.0021.9%6.3%30.6%9.9%0.0%2.3%5.1%27.0K-919.1K-16.8K0.0067.74N/AN/A001,5431,125