AN Options History — September 2020

In September 2020, AN traded between $51.37 and $58.50. ATM implied volatility averaged 47.2%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 20.4% (HV 20d: 26.8%). Max pain ranged from $38.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2020-09-25: Highest Volume — 5,484 contracts
  • 2020-09-21: Largest IV spike — 11.9% change
  • 2020-09-08: Highest IV Rank — 33.2%
  • 2020-09-08: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.71$51.37$58.50$58.22$52.94
Max Pain$39.38$38.00$50.00$50.00$39.00
ATM IV47.2%42.7%55.0%44.0%45.0%
Expected Move13.5%12.2%15.0%12.6%12.9%
HV 20d26.8%21.1%34.6%24.2%34.5%
HV 60d40.5%37.9%44.6%44.6%40.0%
IV Rank25.8%21.5%33.2%22.8%23.7%
IV Percentile59.6%48.4%74.2%55.2%50.8%
Term Structure1.7%-1.7%5.4%0.4%3.8%
VWIV47.2%42.4%54.2%42.4%45.5%
Skew 25d5.6%1.8%11.2%5.4%1.8%
Skew 10d13.9%8.2%20.7%14.4%9.6%
Call IV 25d44.9%41.8%49.5%43.2%44.9%
Put IV 25d50.5%46.7%56.8%48.6%46.7%
Bid-Ask Spread %66.7435.1182.2269.8660.58
Gamma HHI0.290.120.690.200.31
Net GEX530.9K110.0K1.1M473.8K540.6K
Net DEX-23.7M-38.6M-14.1M-25.7M-37.8M
Net VEX-34.8K-57.8K-25.4K-35.2K-55.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.022.600.640.06
Total Volume630.905505,484251189
Total OI12,913.61910,19116,58011,81816,580

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$58.22$50.0044.0%12.6%24.2%22.8%42.4%5.4%0.4%473.8K-25.7M-35.2K0.6469.86N/AN/A153987,0764,742
2020-09-02$58.50$50.0046.3%13.3%24.0%24.9%45.5%5.7%0.5%492.8K-25.9M-37.8K0.0882.22N/AN/A223187,0884,737
2020-09-03$56.50$38.0051.5%14.9%27.7%29.9%54.2%11.2%-1.4%442.0K-22.7M-39.2K0.4673.00N/AN/A115537,1374,746
2020-09-04$56.51$38.0049.8%14.7%27.8%28.2%49.7%8.4%-1.7%460.6K-23.1M-36.7K0.1269.26N/AN/A522617,1914,753
2020-09-08$56.42$38.0055.0%15.0%27.3%33.2%53.4%7.3%-1.5%517.2K-23.2M-34.9K0.0876.02N/AN/A1,4321217,3754,741
2020-09-09$56.83$38.0049.5%14.2%27.2%28.0%49.0%7.7%0.2%801.6K-27.4M-36.6K0.4665.73N/AN/A85398,4564,797
2020-09-10$56.58$38.0048.7%14.0%21.1%27.2%47.0%8.0%2.1%833.4K-27.1M-35.5K0.0680.10N/AN/A4738,4175,084
2020-09-11$55.02$38.0046.7%13.4%22.8%25.4%46.7%7.0%0.5%806.3K-23.1M-32.8K0.7664.91N/AN/A2832158,3845,091
2020-09-14$56.11$38.0046.0%13.2%24.0%24.7%50.2%6.4%0.8%889.4K-25.9M-29.8K2.6072.01N/AN/A431128,4335,191
2020-09-15$56.35$38.0044.5%12.8%22.1%23.3%44.0%4.6%1.6%910.7K-27.2M-26.4K0.6969.06N/AN/A94658,4285,274
2020-09-16$55.03$38.0044.1%12.6%23.2%22.9%44.2%6.3%1.7%1.1M-22.9M-27.6K0.3073.06N/AN/A136418,4585,277
2020-09-17$54.06$38.0045.5%13.0%23.2%24.2%46.6%5.8%2.4%1.1M-19.6M-27.0K0.0775.17N/AN/A723548,5085,297
2020-09-18$53.58$38.0042.7%12.2%22.5%21.5%43.1%5.0%4.2%149.4K-17.2M-25.4K0.1674.12N/AN/A119198,4935,306
2020-09-21$51.42$38.0047.7%13.7%26.0%26.3%48.4%5.3%2.7%133.3K-14.1M-25.9K2.1866.01N/AN/A1142485,4314,760
2020-09-22$52.48$38.0047.4%13.6%27.7%26.0%45.2%5.0%3.0%135.7K-14.9M-27.5K1.6835.11N/AN/A741245,4714,972
2020-09-23$53.29$38.0046.5%13.3%28.6%25.2%48.4%4.9%2.3%134.8K-15.9M-26.6K0.4751.62N/AN/A5232465,4925,061
2020-09-24$51.37$39.0047.8%13.7%30.5%26.4%47.2%2.6%4.2%110.0K-14.1M-29.1K0.2667.78N/AN/A266695,7525,253
2020-09-25$51.85$39.0046.3%13.3%30.6%25.0%45.7%3.5%5.4%118.4K-14.9M-29.4K0.0263.97N/AN/A5,393915,8745,321
2020-09-28$53.65$39.0047.8%13.7%33.4%26.4%47.7%2.8%2.9%505.6K-38.6M-53.5K0.0243.84N/AN/A5501310,8955,371
2020-09-29$52.14$39.0049.1%14.1%34.6%27.6%47.2%2.0%2.0%536.5K-35.7M-57.8K0.1268.10N/AN/A4255011,1075,366
2020-09-30$52.94$39.0045.0%12.9%34.5%23.7%45.5%1.8%3.8%540.6K-37.8M-55.6K0.0660.58N/AN/A1791011,1855,395