AN Options History — April 2020

In April 2020, AN traded between $24.50 and $38.45. ATM implied volatility averaged 74.9%, placing in the 52.0% IV rank vs the trailing year. The 30-day expected move averaged 21.2%. IV traded below realized volatility by 40.5% (HV 20d: 115.4%). Max pain ranged from $29.00 to $45.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 9.07.

Notable Days

  • 2020-04-20: Highest Volume — 4,397 contracts
  • 2020-04-02: Largest IV drop — 23.1% change
  • 2020-04-01: Highest IV Rank — 75.3%
  • 2020-04-01: Largest Expected Move — 28.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.07$24.50$38.45$25.87$37.31
Max Pain$32.38$29.00$45.00$45.00$35.00
ATM IV74.9%61.0%99.7%99.7%70.2%
Expected Move21.2%17.5%28.6%28.6%20.1%
HV 20d115.4%83.9%151.2%137.8%83.9%
HV 60d93.1%84.9%99.3%84.9%99.3%
IV Rank52.0%38.8%75.3%75.3%47.5%
IV Percentile93.0%88.9%99.6%99.6%90.1%
Term Structure-7.4%-15.4%0.8%-4.7%-11.9%
VWIV78.8%63.4%109.3%109.3%72.7%
Skew 25d14.9%5.3%20.7%20.2%15.2%
Skew 10d34.2%16.6%83.8%83.8%44.9%
Call IV 25d67.0%55.5%88.9%88.9%61.5%
Put IV 25d82.0%70.7%109.1%109.1%76.7%
Bid-Ask Spread %43.2119.1390.3290.3255.33
Gamma HHI0.160.080.390.080.13
Net GEX-103.0K-199.4K-8.0K-61.1K-199.4K
Net DEX2.2M-1.8M7.5M5.5M-498.5K
Net VEX-31.0K-41.6K-12.8K-12.8K-41.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.070.1856.8627.044.81
Total Volume1,204.2381774,3971,290209
Total OI13,123.197,68617,4179,78014,881

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$25.87$45.0099.7%28.6%137.8%75.3%109.3%20.2%-4.7%-61.1K5.5M-12.8K27.0490.32N/AN/A461,2446,2383,542
2020-04-02$24.95$29.0076.7%22.1%137.9%53.6%74.1%15.2%-9.3%-118.4K6.8M-13.1K4.9237.83N/AN/A3051,5006,2754,835
2020-04-03$24.50$29.0078.9%22.0%137.9%55.8%75.3%20.1%-7.2%-168.9K7.5M-17.5K11.3837.12N/AN/A505696,5416,024
2020-04-06$26.01$29.0070.1%19.1%141.2%47.4%72.1%14.1%-2.0%-169.4K6.5M-17.4K5.1243.12N/AN/A1296606,5706,249
2020-04-07$27.23$29.0079.1%18.8%143.0%55.9%73.5%12.9%-7.0%-157.8K6.0M-18.4K1.3957.03N/AN/A1942706,6176,599
2020-04-08$31.04$29.0061.0%17.5%151.2%38.8%63.4%17.5%0.8%-72.6K4.0M-20.7K0.1837.44N/AN/A1,5412756,7906,577
2020-04-09$33.67$30.0072.0%20.6%147.6%49.2%75.7%5.3%-4.0%-20.6K-1.2M-30.6K0.7035.44N/AN/A9466648,3016,696
2020-04-13$32.60$30.0076.0%21.8%148.0%53.0%84.8%20.7%-7.1%-8.0K-614.2K-30.1K3.8640.59N/AN/A1827038,5856,849
2020-04-14$32.62$32.0067.4%19.3%130.5%44.9%77.5%16.3%-6.1%-12.5K-430.7K-32.1K4.3835.75N/AN/A1165088,7617,386
2020-04-15$30.61$32.0080.1%23.0%132.8%56.9%85.1%18.8%-13.7%-34.0K1.3M-31.4K4.5239.10N/AN/A2371,0728,7957,478
2020-04-16$30.34$32.0082.2%23.6%109.3%58.8%87.2%20.3%-15.4%-45.8K1.7M-33.9K1.6244.93N/AN/A1943158,9957,981
2020-04-17$31.47$33.0075.5%21.7%94.0%52.5%80.7%11.7%-6.6%-48.7K446.3K-34.9K8.8548.57N/AN/A796999,1468,271
2020-04-20$30.45$33.0077.9%22.3%95.1%54.7%83.9%14.9%-7.5%-39.6K908.9K-33.1K56.8660.16N/AN/A764,3213,1494,537
2020-04-21$29.04$33.0080.5%23.1%97.1%57.3%85.7%13.8%-3.1%-176.5K4.7M-40.5K11.0437.18N/AN/A242653,2227,507
2020-04-22$29.48$33.0075.4%21.6%87.7%52.4%77.6%14.4%-3.1%-187.9K4.4M-39.8K7.0538.14N/AN/A221553,2367,614
2020-04-23$31.09$33.0073.6%21.1%86.6%50.7%76.0%12.2%-6.5%-169.6K2.7M-40.2K1.7135.90N/AN/A1492553,2517,655
2020-04-24$33.89$33.0070.0%20.1%91.3%47.4%76.2%9.7%-7.2%-119.8K-332.8K-41.3K0.8719.13N/AN/A1,9421,6923,4237,786
2020-04-27$35.89$33.0068.7%19.7%91.0%46.1%70.8%13.8%-11.8%-93.9K-382.0K-40.0K1.7923.71N/AN/A1292313,0958,999
2020-04-28$36.05$33.0069.3%19.9%89.5%46.7%78.6%14.3%-9.3%-91.1K-548.5K-40.9K26.1142.24N/AN/A1042,7153,1499,156
2020-04-29$38.45$35.0069.0%19.8%91.0%46.4%74.8%12.7%-12.9%-167.2K-1.8M-41.6K6.1748.34N/AN/A704323,13711,689
2020-04-30$37.31$35.0070.2%20.1%83.9%47.5%72.7%15.2%-11.9%-199.4K-498.5K-41.1K4.8155.33N/AN/A361733,18911,692