AN Options History — February 2020

In February 2020, AN traded between $42.15 and $48.61. ATM implied volatility averaged 35.0%, placing in the 56.6% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 3.3% (HV 20d: 31.7%). Max pain ranged from $44.00 to $46.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.55.

Notable Days

  • 2020-02-12: Highest Volume — 8,451 contracts
  • 2020-02-11: Largest IV drop — 44.2% change
  • 2020-02-10: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.62$42.15$48.61$43.37$42.15
Max Pain$45.11$44.00$46.00$45.00$46.00
ATM IV35.0%26.9%59.1%35.3%59.1%
Expected Move9.6%7.8%16.9%10.1%16.9%
HV 20d31.7%19.6%42.6%19.8%42.6%
HV 60d26.6%21.6%30.9%21.6%30.9%
IV Rank56.6%25.0%100.0%74.6%100.0%
IV Percentile77.6%32.1%100.0%91.3%100.0%
Term Structure-1.8%-12.9%1.8%-4.7%-12.9%
VWIV33.8%28.1%57.4%33.9%57.4%
Skew 25d5.7%3.4%9.8%5.1%9.8%
Skew 10d13.1%6.1%34.8%9.6%34.8%
Call IV 25d31.0%23.2%52.9%32.9%52.9%
Put IV 25d36.7%29.8%62.7%37.9%62.7%
Bid-Ask Spread %37.0320.2152.9150.4247.33
Gamma HHI0.400.150.650.180.52
Net GEX661.8K-78.5K1.5M-62.2K554.0K
Net DEX-11.8M-32.3M2.0M1.8M-4.7M
Net VEX-49.5K-86.5K-11.4K-11.4K-63.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.032.850.921.43
Total Volume1,348.684588,451226426
Total OI8,908.2632,56214,4612,56212,520

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$43.37$45.0035.3%10.1%19.8%74.6%33.9%5.1%-4.7%-62.2K1.8M-11.4K0.9250.42N/AN/A1181081,3461,216
2020-02-04$43.61$45.0033.9%9.7%19.6%68.0%33.8%4.1%-4.5%-76.0K1.9M-12.7K1.1052.91N/AN/A69761,3331,373
2020-02-05$44.60$45.0034.1%9.8%21.3%69.1%34.2%4.4%-4.7%-51.7K1.3M-13.6K0.3149.13N/AN/A88271,3821,429
2020-02-06$43.52$45.0034.9%8.3%22.8%72.8%28.1%4.9%-1.3%-78.5K2.0M-12.4K0.1835.88N/AN/A65121,4431,437
2020-02-07$43.43$45.0036.2%8.8%21.2%78.9%29.3%5.2%-2.1%-66.8K1.9M-12.8K0.2635.76N/AN/A46121,5151,446
2020-02-10$43.52$45.0048.2%9.6%21.1%100.0%34.9%5.1%-2.4%-40.0K1.6M-12.9K0.6135.09N/AN/A2,3091,4001,5831,454
2020-02-11$46.89$44.0026.9%7.8%34.4%25.0%28.1%4.1%-0.0%234.2K-5.9M-17.6K0.2338.58N/AN/A2,3975472,8022,349
2020-02-12$47.48$44.0028.7%8.2%34.5%31.3%29.5%3.5%1.0%215.2K-5.2M-18.1K0.0343.64N/AN/A8,1682832,6512,267
2020-02-13$47.90$44.0028.3%8.1%34.6%29.8%28.6%4.1%1.0%1.1M-23.0M-65.6K0.5237.48N/AN/A9084698,8622,394
2020-02-14$47.50$45.0028.6%8.2%34.8%30.8%28.8%3.5%1.8%1.2M-22.3M-72.3K0.0823.20N/AN/A2,4502049,3712,772
2020-02-18$47.39$45.0029.6%8.5%34.7%34.6%28.7%3.4%0.9%1.5M-26.9M-86.5K0.0340.76N/AN/A6391911,4732,962
2020-02-19$48.22$45.0028.5%8.2%34.8%30.6%31.1%7.8%0.7%1.5M-30.8M-84.1K0.1020.21N/AN/A2983011,4582,945
2020-02-20$48.56$46.0028.3%8.1%34.5%30.0%29.8%8.2%0.7%1.5M-32.2M-83.4K0.0828.78N/AN/A4994011,4352,946
2020-02-21$48.61$45.0029.1%8.3%34.5%32.7%31.2%9.4%1.3%1.4M-32.3M-83.5K0.0333.88N/AN/A5561911,4892,972
2020-02-24$47.74$45.0031.9%9.2%34.7%42.7%31.8%6.9%-0.3%1.3M-23.4M-80.5K0.2339.95N/AN/A75817810,0371,813
2020-02-25$45.51$46.0039.4%11.3%39.2%68.8%40.4%6.0%-2.1%1.0M-14.6M-75.9K2.8536.79N/AN/A3389629,8541,952
2020-02-26$43.90$46.0038.6%11.1%41.4%66.2%38.3%5.0%-1.6%802.0K-8.1M-70.1K1.2028.13N/AN/A1712059,9582,577
2020-02-27$42.85$46.0045.2%13.0%42.2%89.3%43.9%7.9%-4.8%691.7K-5.3M-64.5K0.2725.61N/AN/A5761559,8962,545
2020-02-28$42.15$46.0059.1%16.9%42.6%100.0%57.4%9.8%-12.9%554.0K-4.7M-63.6K1.4347.33N/AN/A1752519,9062,614