AN Options History — May 2020

In May 2020, AN traded between $32.95 and $42.09. ATM implied volatility averaged 59.3%, placing in the 37.2% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded below realized volatility by 18.4% (HV 20d: 77.7%). Max pain ranged from $32.00 to $38.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 3.09.

Notable Days

  • 2020-05-12: Highest Volume — 3,127 contracts
  • 2020-05-11: Largest IV drop — 18.5% change
  • 2020-05-05: Highest IV Rank — 54.7%
  • 2020-05-01: Largest Expected Move — 20.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.03$32.95$42.09$35.83$39.64
Max Pain$36.70$32.00$38.00$35.00$38.00
ATM IV59.3%45.0%77.8%71.6%49.4%
Expected Move15.7%12.9%20.5%20.5%14.2%
HV 20d77.7%64.5%85.5%84.3%74.9%
HV 60d102.4%98.2%105.4%99.4%105.2%
IV Rank37.2%23.7%54.7%48.9%27.9%
IV Percentile83.0%75.8%92.9%90.1%78.6%
Term Structure-0.9%-8.9%1.7%-8.9%-0.4%
VWIV56.5%45.6%78.9%78.9%59.4%
Skew 25d11.6%5.5%14.9%11.7%11.5%
Skew 10d31.4%23.6%54.7%37.5%24.3%
Call IV 25d50.1%40.7%69.0%69.0%44.4%
Put IV 25d61.7%51.4%80.8%80.8%56.0%
Bid-Ask Spread %38.2224.6865.0565.0551.76
Gamma HHI0.150.100.230.140.12
Net GEX-22.5K-410.6K230.3K-259.8K147.3K
Net DEX-5.5M-14.0M4.4M1.9M-7.6M
Net VEX-64.3K-82.4K-45.9K-46.0K-61.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.090.1018.6118.6115.50
Total Volume1,008.1943,127745297
Total OI16,041.3512,24222,48315,01912,511

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$35.83$35.0071.6%20.5%84.3%48.9%78.9%11.7%-8.9%-259.8K1.9M-46.0K18.6165.05N/AN/A387073,19711,822
2020-05-04$36.57$32.0076.2%18.4%83.2%53.2%71.9%14.9%-2.9%-264.5K1.4M-45.9K0.7724.68N/AN/A8706723,22312,340
2020-05-05$36.82$33.0077.8%17.8%81.9%54.7%59.0%12.4%-1.7%-221.3K-430.0K-55.0K4.4628.13N/AN/A462053,96812,902
2020-05-06$36.57$37.0075.6%17.5%81.6%52.6%60.7%12.4%-2.1%-244.2K363.4K-55.7K4.9827.12N/AN/A492444,00012,992
2020-05-07$36.49$37.0077.1%17.5%69.2%54.0%61.2%12.3%-1.5%-223.7K-193.9K-52.1K6.8928.02N/AN/A795444,01712,837
2020-05-08$38.17$37.0072.9%16.5%65.2%50.1%59.0%10.3%-2.3%-131.9K-2.8M-53.4K0.8933.57N/AN/A6315644,07313,304
2020-05-11$39.62$37.0059.4%15.2%64.5%37.3%52.2%10.0%-0.9%17.3K-6.0M-50.5K0.5838.91N/AN/A1,6949854,45513,765
2020-05-12$37.10$38.0065.0%15.5%69.8%42.6%53.1%10.6%0.4%-98.5K-1.7M-52.2K0.1942.26N/AN/A2,6344935,17413,895
2020-05-13$32.95$38.0062.2%17.8%79.2%39.9%64.5%13.9%-4.8%-410.6K4.4M-66.7K0.8435.43N/AN/A1,2811,0727,53213,928
2020-05-14$35.09$38.0058.1%16.7%81.8%36.1%61.0%14.7%-0.1%-195.0K-3.3M-79.1K2.4026.93N/AN/A5001,1998,41114,015
2020-05-15$35.52$37.0054.8%15.7%81.0%33.0%56.4%12.5%1.2%-118.1K-6.0M-80.5K0.4230.60N/AN/A208888,66913,814
2020-05-18$39.05$37.0049.6%14.2%85.5%28.1%52.0%11.9%1.7%183.3K-11.0M-82.4K0.2140.66N/AN/A7771667,3816,271
2020-05-19$38.33$37.0051.4%14.7%83.4%29.8%49.3%10.4%0.5%187.8K-9.8M-79.8K0.1744.15N/AN/A537927,4296,266
2020-05-20$38.65$37.0051.4%14.7%83.4%29.8%51.4%10.6%-0.9%187.5K-9.8M-77.0K0.5436.02N/AN/A61337,1866,269
2020-05-21$39.72$37.0048.4%13.9%82.3%27.0%53.1%11.7%1.2%202.7K-11.5M-77.5K1.0040.29N/AN/A1031037,1926,278
2020-05-22$39.69$37.0047.3%13.6%77.5%25.9%48.2%10.8%1.6%207.5K-11.5M-76.2K0.2833.07N/AN/A135387,2166,351
2020-05-26$41.19$37.0047.2%13.5%76.1%25.8%45.6%11.5%0.8%230.3K-14.0M-72.6K0.1040.60N/AN/A1,8421837,1356,384
2020-05-27$42.09$38.0045.7%13.1%76.3%24.4%46.6%11.9%0.1%181.4K-12.0M-61.7K0.3136.60N/AN/A4371375,9886,395
2020-05-28$41.55$37.0045.0%12.9%73.6%23.7%46.1%5.5%1.1%172.6K-11.0M-59.5K2.6060.61N/AN/A1163025,8466,396
2020-05-29$39.64$38.0049.4%14.2%74.9%27.9%59.4%11.5%-0.4%147.3K-7.6M-61.5K15.5051.76N/AN/A182795,8566,655