AN Options History — January 2020

In January 2020, AN traded between $42.43 and $48.65. ATM implied volatility averaged 28.5%, placing in the 42.0% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 5.6% (HV 20d: 22.9%). Max pain ranged from $45.00 to $49.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 3.83.

Notable Days

  • 2020-01-21: Highest Volume — 320 contracts
  • 2020-01-31: Largest IV spike — 9.3% change
  • 2020-01-31: Highest IV Rank — 75.8%
  • 2020-01-31: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.48$42.43$48.65$48.65$42.43
Max Pain$46.86$45.00$49.00$49.00$45.00
ATM IV28.5%22.8%35.5%22.8%35.5%
Expected Move8.4%6.5%10.2%6.5%10.2%
HV 20d22.9%14.2%30.5%29.8%17.3%
HV 60d22.5%20.5%24.1%23.5%21.0%
IV Rank42.0%14.6%75.8%14.6%75.8%
IV Percentile49.3%3.6%93.3%3.6%93.3%
Term Structure-1.4%-4.2%4.1%3.9%-4.2%
VWIV29.2%23.4%33.5%23.4%33.5%
Skew 25d4.6%3.3%6.3%3.5%5.8%
Skew 10d10.7%1.0%22.4%7.1%7.3%
Call IV 25d27.4%21.4%33.0%21.4%33.0%
Put IV 25d32.0%25.0%38.7%25.0%38.7%
Bid-Ask Spread %46.9035.8072.5972.5956.80
Gamma HHI0.240.180.440.250.18
Net GEX-72.8K-258.9K20.2K18.7K-65.0K
Net DEX1.1M-793.8K2.2M-793.8K2.2M
Net VEX-13.6K-16.5K-10.6K-16.5K-10.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.830.2133.000.217.82
Total Volume100.286233202397
Total OI2,6832,0663,2122,6682,505

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$48.65$49.0022.8%6.5%29.8%14.6%23.4%3.5%3.9%18.7K-793.8K-16.5K0.2172.59N/AN/A1941,5431,125
2020-01-03$47.94$49.0023.3%6.7%29.8%16.8%24.7%3.3%4.1%-17.6K-192.5K-16.0K1.0268.87N/AN/A40411,5571,124
2020-01-06$47.15$49.0025.1%8.0%30.1%25.4%29.7%6.3%-1.2%-49.4K382.6K-15.0K8.2135.80N/AN/A141151,5921,144
2020-01-07$46.51$49.0026.0%8.0%29.8%30.0%28.8%4.0%-1.0%-94.5K1.1M-14.8K1.8047.71N/AN/A49881,6021,259
2020-01-08$46.30$49.0024.7%8.0%29.7%23.6%26.3%4.4%-1.0%-110.7K1.3M-14.8K0.2941.06N/AN/A49141,6321,279
2020-01-09$45.16$49.0025.1%8.2%30.5%25.5%29.6%4.4%-1.5%-92.5K2.1M-13.2K0.6143.00N/AN/A41251,6641,252
2020-01-10$45.38$49.0025.3%8.2%28.9%26.3%28.9%4.9%-1.7%-96.8K2.0M-13.1K0.7643.00N/AN/A76581,6851,262
2020-01-13$45.75$48.0027.4%8.3%28.9%36.7%29.2%4.2%-1.9%-128.9K1.8M-13.6K0.4641.96N/AN/A41191,6971,300
2020-01-14$46.16$47.0028.9%8.2%24.8%43.7%27.8%4.8%-1.4%-152.8K1.4M-14.0K0.7143.23N/AN/A52371,7241,325
2020-01-15$46.19$47.0028.5%8.2%24.5%42.0%29.0%4.5%-1.5%-178.3K1.3M-13.9K1.4544.15N/AN/A11161,7641,330
2020-01-16$46.00$47.0028.0%8.0%22.1%39.2%28.1%3.8%-1.8%-210.1K1.5M-13.7K0.9846.42N/AN/A87851,7741,346
2020-01-17$45.75$46.0027.5%7.9%22.1%37.1%28.3%3.9%-1.4%-258.9K1.9M-13.4K1.5642.39N/AN/A55861,8441,368
2020-01-21$45.27$46.0029.8%8.6%22.1%48.4%29.2%4.8%-1.7%20.2K327.5K-12.8K0.9240.91N/AN/A1671531,265801
2020-01-22$44.87$45.0029.6%8.5%21.8%47.5%29.6%4.9%-1.9%8.1K596.1K-13.6K4.1846.56N/AN/A11461,353927
2020-01-23$45.06$45.0030.5%8.8%14.6%51.8%30.5%5.4%-2.1%7.1K526.8K-13.9K3.8347.78N/AN/A12461,360975
2020-01-24$44.33$45.0031.7%9.1%15.1%57.2%30.4%5.1%-2.3%-8.5K955.7K-13.2K2.2541.76N/AN/A16361,376984
2020-01-27$44.32$45.0033.4%9.6%15.2%65.5%32.4%4.3%-2.8%-10.6K991.3K-13.0K0.9640.65N/AN/A92881,369996
2020-01-28$44.09$45.0031.6%9.0%14.8%56.6%31.6%4.4%-2.9%-25.1K1.2M-12.2K0.7643.87N/AN/A29221,3581,001
2020-01-29$43.86$45.0031.8%9.1%14.7%57.6%32.4%4.9%-2.9%-39.2K1.5M-11.7K8.6448.16N/AN/A141211,3431,051
2020-01-30$43.87$45.0032.5%9.3%14.2%61.1%30.1%5.3%-3.2%-44.5K1.5M-12.4K33.0048.31N/AN/A1331,3461,141
2020-01-31$42.43$45.0035.5%10.2%17.3%75.8%33.5%5.8%-4.2%-65.0K2.2M-10.6K7.8256.80N/AN/A11861,3471,158