AN Options History — October 2020

In October 2020, AN traded between $54.42 and $64.55. ATM implied volatility averaged 49.5%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 9.5% (HV 20d: 40.0%). Max pain ranged from $39.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.61.

Notable Days

  • 2020-10-21: Highest Volume — 5,858 contracts
  • 2020-10-28: Largest IV spike — 14.6% change
  • 2020-10-20: Highest IV Rank — 34.5%
  • 2020-10-20: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.23$54.42$64.55$54.42$56.66
Max Pain$44.45$39.00$45.00$39.00$45.00
ATM IV49.5%44.0%56.4%48.0%54.6%
Expected Move14.6%13.3%16.2%13.8%15.7%
HV 20d40.0%35.7%42.2%36.3%35.7%
HV 60d36.9%33.3%40.3%38.9%34.6%
IV Rank28.0%22.8%34.5%26.6%32.8%
IV Percentile61.7%45.2%75.0%60.7%72.2%
Term Structure-2.4%-6.8%4.1%1.9%-1.9%
VWIV50.9%46.2%57.1%47.7%52.6%
Skew 25d4.8%3.3%7.9%3.3%6.7%
Skew 10d11.8%7.2%22.6%16.5%12.3%
Call IV 25d48.9%45.4%55.6%46.4%51.6%
Put IV 25d53.7%48.7%59.8%49.8%58.3%
Bid-Ask Spread %46.3924.1078.2671.9667.50
Gamma HHI0.250.170.390.280.26
Net GEX545.4K316.0K753.4K548.8K659.5K
Net DEX-45.6M-57.5M-33.7M-41.1M-33.7M
Net VEX-60.1K-100.4K-39.4K-54.3K-100.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.025.390.180.02
Total Volume1,080.4091505,858150509
Total OI16,292.04510,27118,57416,63518,574

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$54.42$39.0048.0%13.8%36.3%26.6%47.7%3.3%1.9%548.8K-41.1M-54.3K0.1871.96N/AN/A1272311,2365,399
2020-10-02$57.72$39.0046.5%13.3%40.6%25.1%48.5%4.7%4.1%555.1K-48.1M-48.2K0.1778.26N/AN/A63411011,2275,382
2020-10-05$59.42$45.0047.1%14.7%41.8%25.7%51.9%5.0%-2.7%525.8K-51.4M-44.2K0.3035.08N/AN/A33710011,2175,475
2020-10-06$59.66$45.0045.7%14.9%41.7%24.4%51.9%4.5%-3.1%538.6K-52.4M-41.8K0.1538.94N/AN/A5919111,2935,482
2020-10-07$60.42$45.0045.2%14.8%41.9%23.9%53.5%3.9%-3.3%540.8K-54.4M-42.0K0.0939.07N/AN/A7877411,4275,508
2020-10-08$61.66$45.0046.5%14.9%42.2%25.2%52.9%4.4%-4.2%555.1K-57.5M-39.4K5.3939.49N/AN/A14678711,6285,566
2020-10-09$60.70$45.0044.0%14.5%41.2%22.8%50.6%3.5%-3.2%537.3K-55.2M-44.4K0.2239.52N/AN/A2766111,5846,257
2020-10-12$60.47$45.0048.6%14.4%40.9%27.2%50.6%3.7%-3.7%583.3K-54.6M-46.1K0.5641.49N/AN/A47226411,7336,309
2020-10-13$61.23$45.0049.8%14.8%41.0%28.3%51.0%3.9%-4.4%574.1K-50.2M-44.9K0.3341.56N/AN/A2317610,7986,447
2020-10-14$60.72$45.0051.0%14.6%40.0%29.4%50.2%3.3%-4.5%570.0K-49.2M-42.6K0.7641.13N/AN/A36928210,7716,502
2020-10-15$63.34$45.0050.3%14.4%41.1%28.8%49.9%5.2%-2.8%505.4K-53.6M-43.3K0.1836.35N/AN/A5339410,8146,701
2020-10-16$62.30$45.0053.5%15.4%41.6%31.8%51.8%7.4%-5.2%336.2K-51.4M-46.0K1.4146.23N/AN/A39055010,9006,743
2020-10-19$62.30$45.0055.8%16.0%37.6%33.9%54.5%7.9%-6.7%325.5K-35.9M-46.0K0.7951.41N/AN/A3662887,4032,868
2020-10-20$62.99$45.0056.4%16.2%37.4%34.5%57.1%4.2%-6.8%316.0K-37.0M-45.4K0.4124.10N/AN/A1,6456677,5763,092
2020-10-21$64.55$45.0049.2%14.1%37.7%27.7%49.7%3.7%-1.6%415.1K-41.7M-50.7K0.1824.49N/AN/A4,9848748,7663,618
2020-10-22$62.26$45.0048.9%14.0%37.6%27.4%47.5%5.5%-0.7%644.6K-44.3M-81.1K0.4343.70N/AN/A1,06845611,1833,816
2020-10-23$60.65$45.0046.3%13.3%39.7%24.9%46.2%3.3%0.4%626.8K-41.4M-85.9K0.3243.77N/AN/A89728611,7054,121
2020-10-26$61.02$45.0048.4%13.9%38.5%26.9%48.9%4.7%-0.9%753.4K-43.4M-93.3K0.2142.23N/AN/A58412212,3874,337
2020-10-27$57.92$45.0047.6%13.6%42.1%26.2%49.2%5.0%-1.2%630.9K-36.0M-88.8K0.8657.81N/AN/A42536612,4664,380
2020-10-28$57.35$45.0054.5%15.6%42.2%32.8%54.2%6.7%-2.7%611.9K-34.6M-93.5K0.3355.51N/AN/A1,72256212,5844,634
2020-10-29$57.20$45.0052.1%14.9%41.3%30.4%49.7%5.2%-0.5%644.9K-35.5M-100.4K0.0860.94N/AN/A5024113,4325,084
2020-10-30$56.66$45.0054.6%15.7%35.7%32.8%52.6%6.7%-1.9%659.5K-33.7M-100.4K0.0267.50N/AN/A4971213,4955,079