AN Options History — June 2020

In June 2020, AN traded between $35.94 and $43.52. ATM implied volatility averaged 53.3%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded below realized volatility by 9.1% (HV 20d: 62.4%). Max pain ranged from $31.00 to $38.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.27.

Notable Days

  • 2020-06-04: Highest Volume — 1,493 contracts
  • 2020-06-11: Largest IV spike — 21.4% change
  • 2020-06-11: Highest IV Rank — 38.3%
  • 2020-06-11: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.53$35.94$43.52$39.46$37.64
Max Pain$33.73$31.00$38.00$38.00$34.00
ATM IV53.3%43.3%60.4%52.2%50.5%
Expected Move15.2%12.8%17.3%15.0%14.5%
HV 20d62.4%51.2%77.0%73.2%54.7%
HV 60d86.5%71.7%105.7%105.1%71.7%
IV Rank31.5%22.1%38.3%30.6%28.9%
IV Percentile78.0%73.0%82.1%79.8%73.4%
Term Structure-0.4%-5.6%3.9%-1.4%2.4%
VWIV54.1%41.0%72.6%60.9%49.9%
Skew 25d10.4%8.7%13.2%13.2%10.3%
Skew 10d25.0%17.3%44.8%29.2%28.3%
Call IV 25d48.2%39.5%54.1%45.6%46.7%
Put IV 25d58.6%49.2%65.3%58.8%57.1%
Bid-Ask Spread %58.0842.5874.4152.1756.67
Gamma HHI0.130.110.180.130.13
Net GEX139.1K58.3K242.2K139.7K105.2K
Net DEX-6.9M-14.0M-1.5M-6.7M-3.4M
Net VEX-54.3K-62.3K-47.1K-61.7K-47.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.076.266.260.39
Total Volume318.773431,49327643
Total OI12,539.77311,11413,37812,71111,762

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$39.46$38.0052.2%15.0%73.2%30.6%60.9%13.2%-1.4%139.7K-6.7M-61.7K6.2652.17N/AN/A382385,8606,851
2020-06-02$39.99$38.0049.4%14.2%73.0%27.9%46.3%11.4%-0.5%158.3K-7.7M-62.3K0.7342.58N/AN/A121885,8906,864
2020-06-03$42.46$38.0045.4%13.0%75.6%24.1%46.5%11.7%1.5%183.1K-11.8M-60.9K0.7059.12N/AN/A125885,9236,911
2020-06-04$41.66$31.0046.7%13.4%76.0%25.4%48.9%8.8%2.0%179.9K-10.4M-60.5K1.1546.69N/AN/A6967975,9026,962
2020-06-05$43.48$32.0043.3%12.8%77.0%22.1%41.0%9.4%3.9%187.3K-14.0M-57.3K0.5971.75N/AN/A141835,9126,988
2020-06-08$43.52$32.0050.3%13.7%75.8%28.7%48.8%10.5%-0.9%181.6K-13.9M-55.3K0.8852.74N/AN/A1821615,9687,030
2020-06-09$43.41$33.0053.5%14.1%75.0%31.8%52.7%9.4%-0.5%176.6K-13.5M-56.8K4.0859.51N/AN/A251026,0237,113
2020-06-10$40.92$33.0049.8%14.3%74.2%28.2%53.0%8.8%-0.5%176.4K-9.3M-57.8K4.3053.09N/AN/A692976,0377,139
2020-06-11$38.49$33.0060.4%17.3%63.6%38.3%62.1%13.0%-5.6%106.4K-5.1M-55.8K0.9568.55N/AN/A87836,0417,063
2020-06-12$39.19$33.0059.8%17.1%60.3%37.7%72.6%11.8%-4.7%130.7K-6.1M-57.4K2.2760.21N/AN/A451026,0487,065
2020-06-15$39.23$33.0058.4%16.7%60.3%36.4%58.3%8.9%-3.7%145.5K-6.2M-55.3K0.3353.89N/AN/A132446,0227,062
2020-06-16$40.40$33.0057.1%16.4%51.2%35.2%55.7%10.0%-4.8%195.5K-8.4M-55.3K0.3553.13N/AN/A80286,1007,065
2020-06-17$38.75$33.0056.5%16.2%53.0%34.6%56.0%9.9%-2.9%166.6K-5.3M-53.9K0.0751.69N/AN/A588406,1517,082
2020-06-18$39.55$33.0054.1%15.5%53.4%32.3%54.2%10.5%1.0%242.2K-6.8M-53.7K0.0952.34N/AN/A197186,1457,089
2020-06-19$38.42$33.0054.9%15.7%53.5%33.1%54.5%8.7%0.6%95.7K-4.6M-53.1K0.5169.12N/AN/A170876,2817,097
2020-06-22$38.40$34.0053.5%15.3%53.5%31.7%52.3%9.8%1.5%92.6K-4.4M-49.9K0.0742.83N/AN/A225155,3495,765
2020-06-23$38.74$34.0050.2%14.4%51.7%28.6%55.8%9.4%1.3%115.1K-4.9M-49.9K0.5752.13N/AN/A6873955,4545,779
2020-06-24$36.44$34.0057.0%16.3%54.7%35.1%51.7%11.0%-0.2%67.5K-2.2M-47.5K1.8067.97N/AN/A1041875,5485,816
2020-06-25$36.18$33.0055.8%16.0%54.7%33.9%54.5%9.5%1.0%58.3K-2.0M-47.2K0.0771.64N/AN/A12995,5735,896
2020-06-26$35.94$33.0057.7%16.6%52.6%35.8%57.5%12.0%-0.2%59.8K-1.5M-47.1K1.5474.41N/AN/A54835,6885,893
2020-06-29$37.40$34.0055.6%15.9%54.9%33.7%56.0%10.1%1.2%96.6K-3.5M-47.5K0.1865.61N/AN/A110205,7225,946
2020-06-30$37.64$34.0050.5%14.5%54.7%28.9%49.9%10.3%2.4%105.2K-3.4M-47.9K0.3956.67N/AN/A31125,8125,950