AN Options History — August 2020

In August 2020, AN traded between $52.45 and $58.65. ATM implied volatility averaged 42.9%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 0.9% (HV 20d: 42.0%). Max pain ranged from $35.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.28.

Notable Days

  • 2020-08-12: Highest Volume — 3,882 contracts
  • 2020-08-05: Largest IV drop — 14.2% change
  • 2020-08-04: Highest IV Rank — 26.9%
  • 2020-08-04: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.23$52.45$58.65$52.81$57.29
Max Pain$47.86$35.00$50.00$35.00$50.00
ATM IV42.9%40.0%48.3%43.6%47.5%
Expected Move12.3%11.5%13.8%12.5%13.6%
HV 20d42.0%24.2%51.7%51.5%24.2%
HV 60d50.2%44.5%60.9%60.9%44.5%
IV Rank21.8%19.1%26.9%22.4%26.1%
IV Percentile55.7%50.8%63.9%57.5%62.7%
Term Structure1.2%-3.2%3.2%0.5%-1.1%
VWIV43.8%41.0%46.7%45.2%45.7%
Skew 25d5.2%2.9%6.8%6.2%5.6%
Skew 10d11.8%5.9%18.9%15.5%9.6%
Call IV 25d41.5%39.2%43.4%42.7%43.4%
Put IV 25d46.6%43.4%49.0%48.9%49.0%
Bid-Ask Spread %62.4549.2477.3660.8761.72
Gamma HHI0.260.160.490.230.19
Net GEX840.2K410.4K1.5M760.8K468.8K
Net DEX-47.6M-66.0M-22.9M-48.1M-24.1M
Net VEX-47.3K-58.4K-36.0K-57.4K-37.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.020.760.240.09
Total Volume767.2862043,882992215
Total OI17,708.09511,31120,78119,02111,808

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$52.81$35.0043.6%12.5%51.5%22.4%45.2%6.2%0.5%760.8K-48.1M-57.4K0.2460.87N/AN/A80318913,9715,050
2020-08-04$52.45$35.0048.3%13.8%51.7%26.9%43.6%6.4%-3.2%748.3K-47.5M-57.2K0.2153.99N/AN/A1693514,0195,195
2020-08-05$53.24$35.0041.4%11.9%49.4%20.4%43.8%3.0%2.3%812.4K-50.5M-57.5K0.2949.24N/AN/A39711714,1025,209
2020-08-06$53.23$50.0041.2%12.2%48.7%20.1%43.3%5.6%1.5%830.1K-49.3M-58.4K0.3053.71N/AN/A58917614,3505,290
2020-08-07$53.34$50.0041.3%12.1%48.5%20.3%43.7%6.8%2.7%754.7K-48.9M-57.2K0.2153.58N/AN/A4188914,4915,364
2020-08-10$54.25$50.0045.9%12.6%48.0%24.6%45.9%5.3%1.5%939.2K-53.8M-53.3K0.0851.61N/AN/A1,2419814,9095,411
2020-08-11$54.80$50.0044.0%12.6%47.1%22.8%46.0%6.6%1.2%1.0M-55.0M-56.1K0.1154.80N/AN/A7558615,1385,462
2020-08-12$57.49$50.0044.4%12.7%48.5%23.2%43.3%5.4%2.1%1.2M-63.7M-54.1K0.0462.02N/AN/A3,73714514,9415,505
2020-08-13$56.72$50.0044.6%12.8%49.5%23.4%44.1%5.0%2.0%1.2M-60.0M-49.9K0.6964.86N/AN/A27218915,0505,580
2020-08-14$56.90$50.0043.5%12.5%49.3%22.3%44.2%4.2%2.6%1.2M-59.9M-52.4K0.1860.34N/AN/A5219215,0765,607
2020-08-17$58.33$50.0041.3%11.8%49.4%20.3%44.6%5.5%1.7%1.4M-65.0M-46.4K0.1365.20N/AN/A93811815,0765,632
2020-08-18$58.65$50.0041.4%11.9%49.4%20.4%41.8%6.5%1.2%1.5M-66.0M-43.0K0.1669.80N/AN/A95815115,0615,720
2020-08-19$57.57$50.0040.4%11.6%44.2%19.4%43.2%4.3%1.6%1.1M-61.4M-41.7K0.1769.36N/AN/A5839914,7915,726
2020-08-20$58.30$50.0040.8%11.7%37.9%19.8%41.2%4.7%1.4%1.1M-63.1M-39.4K0.5871.51N/AN/A45726514,5825,804
2020-08-21$58.08$50.0040.0%11.5%35.2%19.1%41.4%4.0%1.1%463.9K-62.0M-38.0K0.3270.85N/AN/A2477814,6215,866
2020-08-24$57.88$50.0040.8%11.7%33.6%19.8%42.7%6.8%0.9%456.3K-25.7M-40.4K0.5267.32N/AN/A151787,0754,477
2020-08-25$57.84$50.0040.2%11.5%31.4%19.3%46.7%3.9%1.4%461.8K-25.6M-39.5K0.0259.71N/AN/A54697,0674,526
2020-08-26$56.83$50.0040.8%11.7%31.8%19.8%41.0%2.9%3.2%426.3K-22.9M-37.2K0.7674.25N/AN/A2331776,7784,533
2020-08-27$57.24$50.0045.4%13.0%26.6%24.2%42.8%5.4%-0.2%410.4K-23.3M-39.7K0.0559.24N/AN/A291146,8024,626
2020-08-28$57.60$50.0043.8%12.5%25.9%22.6%45.4%4.2%-0.0%441.7K-24.7M-36.0K0.7377.36N/AN/A2241636,9484,631
2020-08-31$57.29$50.0047.5%13.6%24.2%26.1%45.7%5.6%-1.1%468.8K-24.1M-37.7K0.0961.72N/AN/A198177,0694,739