AN Options History — February 2021

In February 2021, AN traded between $73.97 and $79.68. ATM implied volatility averaged 46.3%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 12.7% (HV 20d: 33.7%). Max pain ranged from $65.00 to $75.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.48.

Notable Days

  • 2021-02-16: Highest Volume — 2,252 contracts
  • 2021-02-10: Largest IV drop — 18.8% change
  • 2021-02-09: Highest IV Rank — 32.8%
  • 2021-02-01: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.50$73.97$79.68$74.42$75.53
Max Pain$71.32$65.00$75.00$65.00$75.00
ATM IV46.3%36.4%59.4%55.0%41.7%
Expected Move12.9%10.4%15.8%15.8%12.0%
HV 20d33.7%28.0%42.4%42.4%28.0%
HV 60d35.1%32.9%37.3%37.3%32.9%
IV Rank17.4%3.3%32.8%28.4%5.9%
IV Percentile39.0%1.2%79.8%72.2%20.2%
Term Structure-0.7%-3.1%2.5%2.5%-2.6%
VWIV46.2%39.3%53.1%53.1%44.0%
Skew 25d1.8%-10.4%7.0%4.9%5.7%
Skew 10d4.8%-18.6%31.9%31.9%10.3%
Call IV 25d45.7%36.7%57.1%53.5%38.5%
Put IV 25d47.5%39.6%58.3%58.3%44.1%
Bid-Ask Spread %65.3648.9384.7784.7770.38
Gamma HHI0.250.160.470.200.19
Net GEX427.8K138.0K898.6K311.1K138.0K
Net DEX-15.3M-22.3M-6.1M-12.2M-6.1M
Net VEX-40.0K-46.5K-35.2K-42.9K-40.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.031.780.370.53
Total Volume589.5261612,252271428
Total OI7,299.9475,4779,1156,7876,280

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-02-01$74.42$65.0055.0%15.8%42.4%28.4%53.1%4.9%2.5%311.1K-12.2M-42.9K0.3784.77N/AN/A198733,6823,105
2021-02-02$73.97$65.0049.8%14.3%40.8%23.1%52.2%6.1%-0.8%322.7K-13.2M-40.1K0.1184.31N/AN/A690783,6713,140
2021-02-03$75.25$65.0052.9%15.2%40.7%26.3%53.1%3.1%-2.6%508.3K-16.4M-46.5K0.1978.24N/AN/A297564,3993,181
2021-02-04$76.95$70.0051.0%14.0%36.1%24.4%46.9%-10.4%-1.1%548.9K-18.6M-44.1K0.0351.97N/AN/A700224,4353,174
2021-02-05$77.53$70.0050.6%13.5%34.6%24.0%49.6%0.3%-1.1%490.2K-18.0M-42.1K0.3549.48N/AN/A119424,1143,178
2021-02-08$79.24$70.0054.8%13.8%35.0%28.2%47.7%-9.0%-1.5%473.6K-19.7M-38.4K0.0752.65N/AN/A224164,0453,174
2021-02-09$79.17$70.0059.4%13.7%34.7%32.8%48.7%-3.6%-2.6%453.5K-19.5M-38.0K0.0448.93N/AN/A576244,0283,174
2021-02-10$78.14$70.0048.2%13.8%34.9%21.5%48.4%3.1%-3.1%520.6K-18.7M-41.0K0.4262.57N/AN/A2571074,3383,193
2021-02-11$78.12$70.0048.7%14.0%33.5%20.9%48.8%2.8%-2.6%552.0K-18.8M-39.3K0.1255.55N/AN/A369444,4183,266
2021-02-12$78.47$70.0046.9%13.4%33.3%19.1%49.3%2.4%-1.4%616.7K-20.0M-38.4K1.1061.47N/AN/A5606164,5523,276
2021-02-16$79.68$70.0041.2%11.8%32.2%13.2%41.6%0.9%1.0%898.6K-22.3M-35.2K0.6765.73N/AN/A1,3519014,7743,766
2021-02-17$79.15$75.0042.2%12.1%32.4%14.2%42.9%1.8%0.5%726.9K-19.4M-40.2K0.2657.20N/AN/A5741494,8254,239
2021-02-18$78.20$75.0040.2%11.5%30.5%12.2%43.4%4.2%0.5%612.9K-18.1M-38.0K0.5964.97N/AN/A3061804,8104,305
2021-02-19$78.93$75.0036.4%10.4%30.7%8.3%40.7%2.9%2.1%221.5K-17.9M-37.8K1.4772.05N/AN/A2263334,7314,256
2021-02-22$78.88$75.0038.0%10.9%30.2%9.1%39.3%4.1%2.5%188.5K-8.6M-37.2K0.4371.33N/AN/A4251842,5872,890
2021-02-23$77.10$75.0041.3%11.8%30.8%9.9%40.5%3.4%-1.0%183.1K-7.8M-39.9K0.3469.32N/AN/A3851292,7712,969
2021-02-24$78.18$75.0039.4%11.3%30.8%3.3%40.5%3.6%0.3%200.4K-8.2M-40.3K0.1966.86N/AN/A160302,8803,043
2021-02-25$75.59$75.0042.5%12.2%28.1%6.8%46.4%7.0%-2.9%161.6K-6.4M-40.3K1.7874.10N/AN/A1342382,9883,042
2021-02-26$75.53$75.0041.7%12.0%28.0%5.9%44.0%5.7%-2.6%138.0K-6.1M-40.3K0.5370.38N/AN/A2791493,0293,251