AN Options History — November 2020

In November 2020, AN traded between $57.68 and $64.96. ATM implied volatility averaged 41.5%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 2.7% (HV 20d: 38.7%). Max pain ranged from $45.00 to $60.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.38.

Notable Days

  • 2020-11-19: Highest Volume — 9,538 contracts
  • 2020-11-27: Largest IV spike — 14.0% change
  • 2020-11-02: Highest IV Rank — 29.2%
  • 2020-11-02: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.18$57.68$64.96$57.68$60.74
Max Pain$57.50$45.00$60.00$45.00$60.00
ATM IV41.5%36.5%50.8%50.8%41.4%
Expected Move11.8%10.5%14.6%14.6%11.9%
HV 20d38.7%34.7%41.6%34.7%40.3%
HV 60d36.2%33.9%38.7%34.7%38.4%
IV Rank19.5%14.1%29.2%29.2%18.8%
IV Percentile33.6%23.8%65.1%65.1%32.1%
Term Structure0.1%-1.7%2.0%-0.4%-0.6%
VWIV41.2%36.9%50.9%50.9%40.5%
Skew 25d5.6%3.1%8.4%8.4%6.2%
Skew 10d12.4%8.5%17.5%15.7%13.7%
Call IV 25d39.1%34.6%49.9%49.9%39.6%
Put IV 25d44.6%40.2%58.3%58.3%45.8%
Bid-Ask Spread %60.7839.8474.2562.4074.25
Gamma HHI0.470.280.820.280.46
Net GEX2.2M693.6K7.6M693.6K1.8M
Net DEX-52.5M-80.8M-28.4M-36.7M-28.4M
Net VEX-91.2K-99.1K-75.2K-98.1K-85.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.021.280.140.22
Total Volume1,147.751009,538491225
Total OI20,396.715,14927,64318,65415,339

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$57.68$45.0050.8%14.6%34.7%29.2%50.9%8.4%-0.4%693.6K-36.7M-98.1K0.1462.40N/AN/A4325913,5755,079
2020-11-03$59.48$45.0048.7%14.0%36.5%27.2%48.6%5.9%-1.7%712.6K-42.6M-95.5K0.0263.88N/AN/A1,4623513,5755,079
2020-11-04$59.01$45.0045.3%13.0%36.3%24.0%46.3%3.1%-1.1%939.5K-43.7M-95.7K0.5757.38N/AN/A17810114,7485,086
2020-11-05$60.02$55.0042.7%12.2%36.0%21.6%42.9%4.8%0.2%1.0M-47.5M-95.2K0.1251.87N/AN/A1,48718014,7985,184
2020-11-06$59.11$60.0040.4%12.1%36.0%19.4%42.9%5.7%0.2%1.3M-45.8M-96.3K0.3357.52N/AN/A31810415,7065,325
2020-11-09$61.65$60.0044.3%11.7%39.1%23.1%41.3%5.3%0.2%1.5M-56.7M-95.2K0.0652.85N/AN/A1,3127915,7395,422
2020-11-10$62.74$60.0042.5%11.5%39.4%21.4%41.5%6.2%0.3%1.6M-64.3M-94.6K0.0558.59N/AN/A2,48211316,3055,417
2020-11-11$62.39$60.0041.1%11.8%39.3%20.1%41.7%5.9%-0.5%2.2M-69.3M-96.2K1.1839.84N/AN/A24428717,7615,413
2020-11-12$59.47$60.0039.6%11.4%39.9%17.1%39.3%5.9%-0.0%2.3M-51.5M-92.7K1.0366.68N/AN/A24925617,7705,515
2020-11-13$61.02$60.0039.6%11.3%40.8%17.0%38.6%5.5%-0.1%2.5M-61.0M-90.9K0.7365.74N/AN/A1077817,7655,548
2020-11-16$62.40$60.0041.0%11.7%41.6%18.4%43.6%5.5%-0.3%2.4M-70.0M-85.3K1.2853.41N/AN/A17522417,7985,551
2020-11-17$62.02$60.0040.3%11.6%41.5%17.7%38.3%5.7%0.5%2.6M-69.0M-78.9K0.7453.64N/AN/A14610817,7685,457
2020-11-18$62.08$60.0040.5%11.6%40.4%17.9%39.4%5.1%0.9%2.5M-71.8M-76.0K0.4065.62N/AN/A40116117,7935,481
2020-11-19$60.30$60.0038.0%10.9%39.7%15.5%38.0%5.2%1.8%5.2M-57.7M-75.2K0.0268.95N/AN/A9,36817017,8615,499
2020-11-20$60.52$60.0038.1%10.9%38.7%15.7%37.5%4.6%0.5%7.6M-80.8M-99.1K0.1961.97N/AN/A73814222,0635,580
2020-11-23$62.14$60.0040.0%11.5%39.7%17.4%39.1%4.6%-0.3%1.8M-34.1M-98.8K0.1467.46N/AN/A2824011,1674,088
2020-11-24$64.96$60.0036.5%10.5%37.3%14.1%37.5%5.6%1.5%1.7M-45.7M-88.6K0.1051.16N/AN/A7927811,1294,111
2020-11-25$63.61$60.0036.7%10.5%38.2%14.2%36.9%5.1%2.0%1.8M-39.7M-92.1K0.1670.03N/AN/A2083411,0204,129
2020-11-27$62.33$60.0041.8%12.0%39.1%19.2%38.7%6.8%-1.4%1.8M-34.6M-92.7K0.2272.31N/AN/A821811,1304,160
2020-11-30$60.74$60.0041.4%11.9%40.3%18.8%40.5%6.2%-0.6%1.8M-28.4M-85.9K0.2274.25N/AN/A1854011,1624,177