AN Options History — March 2020

In March 2020, AN traded between $22.32 and $43.93. ATM implied volatility averaged 73.4%, placing in the 75.4% IV rank vs the trailing year. The 30-day expected move averaged 20.5%. IV traded below realized volatility by 13.8% (HV 20d: 87.2%). Max pain ranged from $45.00 to $47.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 11.03.

Notable Days

  • 2020-03-03: Highest Volume — 3,155 contracts
  • 2020-03-18: Largest IV spike — 56.9% change
  • 2020-03-09: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 36.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.52$22.32$43.93$43.60$28.32
Max Pain$46.18$45.00$47.00$46.00$45.00
ATM IV73.4%37.5%125.8%44.3%85.9%
Expected Move20.5%10.7%36.1%12.7%24.6%
HV 20d87.2%40.7%138.0%42.7%136.8%
HV 60d57.0%31.6%83.2%31.6%83.2%
IV Rank75.4%44.9%100.0%62.5%62.3%
IV Percentile98.9%96.8%100.0%98.8%97.6%
Term Structure-12.3%-30.6%-1.0%-1.8%-20.1%
VWIV74.6%33.2%131.5%41.8%86.3%
Skew 25d19.2%6.2%36.7%6.2%23.8%
Skew 10d50.8%10.6%117.0%16.8%58.7%
Call IV 25d65.6%34.8%122.2%42.4%76.0%
Put IV 25d84.8%41.5%137.9%48.6%99.9%
Bid-Ask Spread %62.7837.6889.5838.1977.56
Gamma HHI0.240.070.510.510.07
Net GEX107.0K-61.3K693.6K693.6K-61.3K
Net DEX4.2M-6.9M9.8M-6.9M5.3M
Net VEX-25.7K-66.3K-6.9K-66.3K-13.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.030.01142.250.0920.44
Total Volume521.5451103,155241193
Total OI9,957.7278,65412,65212,6439,629

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$43.60$46.0044.3%12.7%42.7%62.5%41.8%6.2%-1.8%693.6K-6.9M-66.3K0.0938.19N/AN/A222199,8622,781
2020-03-03$42.85$46.0042.5%12.2%42.4%57.9%41.0%7.7%-2.5%631.1K-2.6M-56.7K0.0646.86N/AN/A2,9641919,8562,796
2020-03-04$43.93$46.0037.5%10.7%43.4%44.9%34.2%6.7%-1.0%585.3K-3.5M-57.3K0.0137.68N/AN/A2,130198,2112,963
2020-03-05$42.74$47.0048.6%12.2%43.6%73.4%39.3%8.8%-4.4%267.6K487.2K-45.2K0.5142.17N/AN/A103536,5952,974
2020-03-06$42.02$47.0056.8%13.5%43.2%94.3%43.2%10.6%-5.1%227.5K1.9M-41.0K1.0039.07N/AN/A1191196,5833,002
2020-03-09$40.60$47.0065.3%14.9%44.7%100.0%47.2%14.3%-10.8%153.9K3.9M-36.1K6.2948.41N/AN/A654096,5393,067
2020-03-10$40.77$47.0062.8%14.3%44.7%94.5%46.7%10.5%-6.8%126.9K4.8M-37.9K2.4638.38N/AN/A1142816,5563,412
2020-03-11$37.99$47.0054.2%15.5%40.7%75.6%48.9%10.8%-6.8%54.0K7.3M-32.6K1.7839.29N/AN/A791416,5423,609
2020-03-12$33.36$47.0067.9%19.5%57.8%100.0%61.2%30.0%-20.9%-8.1K9.8M-18.0K1.5151.05N/AN/A821246,5433,697
2020-03-13$33.25$47.0065.8%18.9%57.3%95.6%33.2%28.1%-10.0%-6.1K9.6M-19.5K0.7076.73N/AN/A81576,5503,778
2020-03-16$27.55$47.0084.5%24.2%82.9%100.0%88.1%36.7%-19.8%-16.0K8.6M-12.1K15.3671.20N/AN/A111696,5493,708
2020-03-17$27.20$47.0080.2%23.0%82.6%93.4%85.8%24.3%-14.6%-28.2K7.3M-9.2K5.0970.77N/AN/A442246,5603,129
2020-03-18$22.32$46.00125.8%36.1%100.4%100.0%131.5%15.7%-28.4%-7.1K4.7M-6.9K142.2589.58N/AN/A45696,5852,483
2020-03-19$26.38$46.0093.1%26.7%123.5%69.1%101.4%23.7%-30.6%-11.1K5.1M-10.7K5.1176.46N/AN/A2381,2156,5892,602
2020-03-20$26.53$46.0091.9%26.4%123.6%68.0%110.7%19.3%-19.3%-18.8K7.6M-12.5K5.4786.53N/AN/A17936,6394,039
2020-03-23$26.66$46.0094.2%27.0%124.2%70.2%109.6%24.7%-11.1%-33.3K4.7M-10.9K8.0575.39N/AN/A433466,0032,651
2020-03-24$29.97$46.0077.1%22.1%134.3%54.1%111.0%6.4%-9.2%-11.3K4.4M-16.5K13.0073.17N/AN/A111436,0452,928
2020-03-25$31.98$45.0084.4%24.2%137.5%60.9%99.3%36.3%-14.0%-28.4K4.5M-16.8K6.4776.16N/AN/A171106,0493,009
2020-03-26$31.07$45.0079.9%22.9%137.6%56.6%95.1%23.6%-6.7%-50.8K4.7M-15.9K2.9275.72N/AN/A661936,0593,117
2020-03-27$29.66$45.0086.7%24.9%138.0%63.1%92.8%19.8%-11.6%-50.4K5.0M-14.8K1.4079.35N/AN/A821156,1083,227
2020-03-30$28.61$45.0086.2%24.7%136.7%62.6%92.4%33.6%-14.8%-56.1K5.0M-14.3K2.6971.47N/AN/A541456,1823,264
2020-03-31$28.32$45.0085.9%24.6%136.8%62.3%86.3%23.8%-20.1%-61.3K5.3M-13.1K20.4477.56N/AN/A91846,2383,391