AN Options History — July 2020

In July 2020, AN traded between $37.19 and $56.48. ATM implied volatility averaged 52.0%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 6.1% (HV 20d: 45.9%). Max pain ranged from $33.00 to $38.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.37.

Notable Days

  • 2020-07-23: Highest Volume — 5,225 contracts
  • 2020-07-24: Largest IV drop — 10.8% change
  • 2020-07-15: Highest IV Rank — 38.1%
  • 2020-07-13: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.76$37.19$56.48$37.19$51.15
Max Pain$35.82$33.00$38.00$34.00$35.00
ATM IV52.0%43.9%60.2%49.9%45.3%
Expected Move15.2%12.6%17.3%14.3%13.0%
HV 20d45.9%40.2%53.1%49.4%51.2%
HV 60d62.5%58.6%71.0%71.0%60.7%
IV Rank30.4%22.7%38.1%28.4%24.0%
IV Percentile71.3%58.7%81.7%72.2%59.9%
Term Structure-2.2%-6.4%5.5%3.9%0.9%
VWIV54.1%45.1%67.1%45.7%45.1%
Skew 25d8.1%5.2%12.6%8.1%5.8%
Skew 10d20.5%-2.7%45.6%16.8%10.6%
Call IV 25d49.6%42.2%56.2%45.6%42.4%
Put IV 25d57.7%48.2%66.5%53.7%48.2%
Bid-Ask Spread %41.0921.4875.6565.8652.38
Gamma HHI0.190.120.270.130.22
Net GEX366.3K94.8K685.1K98.0K645.0K
Net DEX-26.8M-58.5M-3.1M-3.1M-42.8M
Net VEX-51.3K-63.0K-41.0K-45.8K-60.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.041.950.080.08
Total Volume1,127.5985,225183828
Total OI14,181.77311,16018,49311,77418,493

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$37.19$34.0049.9%14.3%49.4%28.4%45.7%8.1%3.9%98.0K-3.1M-45.8K0.0865.86N/AN/A169145,8235,951
2020-07-02$37.24$33.0044.8%12.8%49.3%23.6%45.5%6.3%5.5%97.9K-3.1M-46.1K0.9875.65N/AN/A50495,7815,942
2020-07-06$37.58$37.0049.2%14.9%46.3%27.7%50.2%9.0%-2.8%102.8K-3.3M-43.6K1.9532.43N/AN/A1,0071,9665,7565,979
2020-07-07$38.86$37.0049.0%14.9%48.4%27.5%52.7%9.0%-2.1%157.5K-5.9M-41.7K0.2131.71N/AN/A163355,8055,698
2020-07-08$41.09$38.0053.4%16.7%53.1%31.7%59.0%10.3%-4.2%209.9K-9.8M-43.1K0.0431.33N/AN/A1,462535,8225,717
2020-07-09$40.52$37.0054.4%17.1%49.0%32.6%61.7%9.5%-4.7%266.7K-11.6M-49.1K0.0528.48N/AN/A1,096506,8945,734
2020-07-10$41.68$38.0053.2%16.7%44.4%31.5%61.1%10.1%-5.5%381.9K-16.6M-53.2K0.2321.48N/AN/A80187,9185,764
2020-07-13$41.42$38.0058.7%17.3%44.2%36.6%58.3%10.3%-5.0%407.3K-16.1M-50.9K0.1730.93N/AN/A271467,9535,752
2020-07-14$43.07$38.0057.6%17.2%46.1%35.7%63.4%9.8%-6.4%395.8K-19.7M-50.1K0.4528.17N/AN/A2391077,9465,778
2020-07-15$44.24$38.0060.2%17.3%45.9%38.1%64.6%12.6%-5.8%365.3K-22.9M-48.6K0.4325.91N/AN/A1,3305748,1125,859
2020-07-16$44.79$35.0059.6%17.1%42.5%37.5%59.8%10.0%-5.3%344.1K-28.4M-51.9K0.5528.85N/AN/A139769,3796,003
2020-07-17$44.72$35.0058.0%16.6%42.4%36.0%67.1%8.7%-4.3%94.8K-28.8M-49.8K0.1730.12N/AN/A6751139,3925,999
2020-07-20$44.81$35.0057.7%16.6%40.3%35.8%57.7%8.0%-4.8%306.3K-23.2M-51.5K0.3730.50N/AN/A174657,4573,703
2020-07-21$45.23$35.0057.4%16.5%40.2%35.5%57.1%9.5%-6.2%307.8K-23.8M-49.6K0.2430.86N/AN/A178427,5733,766
2020-07-22$48.90$35.0053.8%15.4%47.2%32.1%56.6%7.6%-5.2%245.2K-30.5M-41.0K0.3537.63N/AN/A1,1854157,7033,803
2020-07-23$52.42$35.0051.5%14.8%43.1%29.9%49.9%6.4%0.5%359.8K-39.7M-43.1K0.1337.36N/AN/A4,6325939,3704,139
2020-07-24$54.74$35.0045.9%13.2%42.9%24.6%48.5%6.6%2.5%629.9K-53.9M-62.7K0.3059.50N/AN/A1,13034412,4914,460
2020-07-27$56.48$35.0047.9%13.7%41.8%26.5%49.2%5.5%-1.2%673.3K-58.5M-62.9K0.3252.37N/AN/A1,57550313,1804,720
2020-07-28$54.76$35.0046.0%13.2%45.3%24.7%46.6%5.5%-0.5%685.1K-53.8M-63.0K0.0759.81N/AN/A1,1518013,3194,944
2020-07-29$54.10$35.0043.9%12.6%46.5%22.7%45.2%5.2%0.2%659.4K-51.1M-58.2K0.2364.25N/AN/A77217413,0644,966
2020-07-30$51.76$35.0046.7%13.4%50.5%25.4%46.0%5.5%1.9%624.2K-43.8M-61.6K0.6748.49N/AN/A70647613,1274,964
2020-07-31$51.15$35.0045.3%13.0%51.2%24.0%45.1%5.8%0.9%645.0K-42.8M-60.5K0.0852.38N/AN/A7705813,4285,065