AN Options History — January 2021

In January 2021, AN traded between $68.10 and $77.47. ATM implied volatility averaged 46.3%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 12.7% (HV 20d: 33.7%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.45.

Notable Days

  • 2021-01-04: Highest Volume — 1,719 contracts
  • 2021-01-27: Largest IV spike — 23.7% change
  • 2021-01-27: Highest IV Rank — 35.0%
  • 2021-01-27: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.42$68.10$77.47$68.10$71.28
Max Pain$65.00$65.00$65.00$65.00$65.00
ATM IV46.3%39.1%61.5%42.9%59.1%
Expected Move13.4%12.0%17.6%12.6%16.9%
HV 20d33.7%25.1%39.8%25.6%39.7%
HV 60d37.0%35.2%38.0%35.9%36.8%
IV Rank20.2%13.9%35.0%19.1%32.5%
IV Percentile44.1%14.3%82.5%34.1%79.8%
Term Structure-1.0%-5.8%4.4%-0.8%0.6%
VWIV46.7%43.3%59.8%43.6%55.3%
Skew 25d2.9%-1.4%7.3%4.4%3.7%
Skew 10d8.5%-2.8%18.9%14.0%15.8%
Call IV 25d45.3%39.4%59.3%42.7%54.2%
Put IV 25d48.3%44.2%60.6%47.0%57.9%
Bid-Ask Spread %76.8068.5486.5286.5281.89
Gamma HHI0.250.170.480.400.17
Net GEX494.9K279.9K1.1M1.1M279.9K
Net DEX-20.6M-30.8M-10.2M-23.7M-10.2M
Net VEX-41.1K-54.4K-34.9K-54.4K-43.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.072.740.162.74
Total Volume491.895551,7191,719187
Total OI8,321.1055,78810,91310,9136,688

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$68.10$65.0042.9%12.6%25.6%19.1%43.6%4.4%-0.8%1.1M-23.7M-54.4K0.1686.52N/AN/A1,4772426,5814,332
2021-01-05$69.44$65.0043.4%12.6%25.1%18.5%44.4%7.3%-0.4%801.6K-21.6M-48.9K0.1084.28N/AN/A814825,7444,328
2021-01-06$73.58$65.0042.0%12.0%32.0%17.1%43.3%4.9%-1.3%672.3K-26.4M-44.6K0.0884.29N/AN/A1,5051165,3874,386
2021-01-07$75.90$65.0039.9%12.5%32.4%15.0%44.0%3.4%-1.1%581.7K-29.4M-37.8K0.1274.24N/AN/A9011115,1954,377
2021-01-08$75.03$65.0039.1%12.4%32.7%13.9%43.7%4.1%-0.2%553.6K-28.0M-42.1K0.1770.76N/AN/A222385,5764,413
2021-01-11$76.17$65.0047.1%12.8%31.9%21.7%44.5%4.3%-0.5%553.1K-29.6M-39.3K0.0772.91N/AN/A407285,5884,434
2021-01-12$77.01$65.0045.0%12.7%31.9%18.3%43.5%0.9%-1.1%523.4K-30.8M-37.4K0.1474.09N/AN/A394545,6144,445
2021-01-13$75.05$65.0043.6%12.5%32.7%16.8%44.4%3.3%-0.7%601.0K-28.4M-38.7K0.2074.42N/AN/A235485,6824,468
2021-01-14$76.02$65.0043.4%12.4%32.7%16.6%45.3%3.0%1.3%570.7K-29.7M-38.9K0.5775.00N/AN/A1761015,7864,482
2021-01-15$74.26$65.0043.3%12.4%34.4%16.5%46.3%4.9%-4.0%712.0K-26.9M-38.5K0.5580.65N/AN/A2661465,8144,567
2021-01-19$74.65$65.0044.2%12.7%34.2%17.5%44.2%2.7%-1.3%284.1K-12.3M-37.0K0.9074.45N/AN/A73663,0432,753
2021-01-20$77.28$65.0045.3%13.0%35.2%18.6%45.1%2.0%-2.2%293.9K-14.3M-34.9K0.2272.68N/AN/A4521013,0562,732
2021-01-21$77.47$65.0045.5%13.0%34.5%18.8%45.4%2.4%-1.4%334.5K-15.5M-40.0K0.1774.27N/AN/A298513,3602,813
2021-01-22$76.38$65.0045.5%13.1%34.5%18.8%45.6%2.2%-2.1%345.7K-14.6M-40.9K0.8168.54N/AN/A95773,5172,860
2021-01-25$75.16$65.0048.1%13.8%35.1%21.4%47.9%2.5%-3.1%325.1K-13.4M-42.1K0.3872.50N/AN/A40153,5322,933
2021-01-26$76.18$65.0049.7%14.3%35.1%23.1%48.9%-1.4%-5.8%335.8K-14.5M-41.1K0.5471.72N/AN/A61333,5432,945
2021-01-27$72.60$65.0061.5%17.6%39.8%35.0%59.8%1.3%1.4%281.3K-11.5M-40.6K0.4684.15N/AN/A167763,5432,957
2021-01-28$72.37$65.0051.6%14.8%39.8%24.9%52.6%-0.4%4.4%297.0K-11.2M-40.7K0.0981.81N/AN/A176153,5953,032
2021-01-29$71.28$65.0059.1%16.9%39.7%32.5%55.3%3.7%0.6%279.9K-10.2M-43.7K2.7481.89N/AN/A501373,6733,015