AN Options History — December 2020

In December 2020, AN traded between $64.81 and $70.18. ATM implied volatility averaged 41.1%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 3.0% (HV 20d: 38.1%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.21.

Notable Days

  • 2020-12-18: Highest Volume — 3,555 contracts
  • 2020-12-07: Largest IV spike — 8.1% change
  • 2020-12-07: Highest IV Rank — 21.5%
  • 2020-12-22: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.25$64.81$70.18$64.81$70.18
Max Pain$57.73$55.00$60.00$60.00$60.00
ATM IV41.1%39.2%44.2%41.1%40.0%
Expected Move11.7%11.2%12.1%11.8%11.5%
HV 20d38.1%22.8%45.6%45.6%22.8%
HV 60d38.9%35.4%40.8%40.5%35.4%
IV Rank18.5%16.7%21.5%18.5%16.7%
IV Percentile27.4%17.1%38.5%30.2%19.4%
Term Structure2.5%-1.0%4.2%-1.0%3.4%
VWIV41.2%39.9%42.2%41.8%41.4%
Skew 25d3.9%0.4%7.0%5.1%2.6%
Skew 10d10.7%4.4%17.8%8.4%6.8%
Call IV 25d39.7%38.1%41.6%39.7%40.7%
Put IV 25d43.6%40.8%46.3%44.7%43.2%
Bid-Ask Spread %80.7760.5990.6360.5988.61
Gamma HHI0.410.340.610.430.34
Net GEX1.2M663.8K1.8M1.8M1.0M
Net DEX-42.2M-57.5M-21.8M-45.7M-28.6M
Net VEX-59.6K-81.5K-38.5K-81.5K-55.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.020.760.070.41
Total Volume535.4551233,555710303
Total OI13,658.31810,28815,54815,40110,906

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$64.81$60.0041.1%11.8%45.6%18.5%41.8%5.1%-1.0%1.8M-45.7M-81.5K0.0760.59N/AN/A6634711,2064,195
2020-12-02$65.13$60.0041.1%11.8%44.7%18.5%41.5%7.0%-0.6%1.7M-45.1M-81.5K0.0870.08N/AN/A2441911,0784,209
2020-12-03$65.86$55.0041.4%11.9%44.5%18.8%41.6%5.6%2.1%1.6M-49.7M-73.6K0.1272.83N/AN/A4675611,0214,224
2020-12-04$67.47$55.0040.9%11.6%44.8%18.3%40.6%4.8%3.4%1.5M-52.3M-70.9K0.1570.29N/AN/A1562410,8724,260
2020-12-07$67.26$55.0044.2%11.9%44.3%21.5%41.2%4.8%2.7%1.4M-54.2M-61.8K0.1470.32N/AN/A4215710,8414,276
2020-12-08$66.21$55.0043.2%11.6%42.8%20.5%40.7%5.1%3.1%1.6M-50.2M-64.4K0.2174.61N/AN/A1443010,8554,299
2020-12-09$67.49$55.0041.5%11.9%42.9%18.9%41.9%5.0%2.3%1.4M-54.7M-56.8K0.0477.72N/AN/A5182110,8324,316
2020-12-10$66.48$55.0041.2%11.8%43.3%18.6%39.9%5.4%2.8%1.5M-51.3M-60.3K0.5677.58N/AN/A19711010,8984,326
2020-12-11$67.28$55.0041.5%11.9%38.9%18.9%41.7%4.6%2.8%1.4M-54.3M-55.0K0.7678.84N/AN/A705310,8574,374
2020-12-14$66.01$55.0041.0%11.8%39.2%18.4%40.5%4.0%3.6%1.5M-50.9M-49.3K0.0279.03N/AN/A504910,8134,412
2020-12-15$66.05$55.0041.1%11.8%38.6%18.5%41.0%3.8%1.5%1.3M-52.8M-47.9K0.0585.16N/AN/A2201011,1344,414
2020-12-16$65.99$60.0041.0%11.8%38.5%18.4%40.8%4.6%2.7%1.2M-52.3M-46.1K0.1286.95N/AN/A1802111,0334,472
2020-12-17$67.08$60.0041.9%12.0%38.7%19.2%41.0%5.1%0.9%1.0M-55.1M-41.0K0.1385.07N/AN/A1822410,9514,482
2020-12-18$68.60$55.0040.2%11.5%37.2%17.6%41.0%4.9%2.9%663.8K-57.5M-38.5K0.2085.44N/AN/A2,97158410,7534,468
2020-12-21$67.72$60.0041.5%11.9%37.8%18.9%42.2%1.9%2.6%880.1K-22.8M-57.2K0.2490.63N/AN/A7141686,2824,006
2020-12-22$66.72$60.0042.2%12.1%37.7%19.5%41.5%3.0%2.0%924.0K-21.8M-64.0K0.3386.12N/AN/A5701866,6664,082
2020-12-23$67.99$60.0040.8%11.7%35.0%18.3%41.4%4.0%2.2%863.2K-24.0M-66.5K0.2185.38N/AN/A347746,6654,227
2020-12-24$67.90$60.0039.7%11.4%33.9%17.2%40.7%1.6%3.9%966.8K-24.1M-66.3K0.1085.62N/AN/A117126,7944,241
2020-12-28$68.83$60.0040.4%11.6%32.9%17.8%41.1%0.4%3.0%1.0M-26.3M-61.1K0.2490.13N/AN/A344826,7414,252
2020-12-29$68.53$60.0039.2%11.2%31.1%16.7%41.5%2.2%3.5%1.0M-25.5M-58.3K0.1589.24N/AN/A355526,6784,228
2020-12-30$69.94$60.0039.3%11.3%22.8%16.8%41.0%1.0%4.2%1.0M-28.8M-54.2K0.2486.80N/AN/A367876,6034,241
2020-12-31$70.18$60.0040.0%11.5%22.8%16.7%41.4%2.6%3.4%1.0M-28.6M-55.6K0.4188.61N/AN/A215886,6234,283