AN Options History — March 2021

In March 2021, AN traded between $76.29 and $94.57. ATM implied volatility averaged 39.4%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 2.7% (HV 20d: 42.0%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 1.19.

Notable Days

  • 2021-03-03: Highest Volume — 5,022 contracts
  • 2021-03-10: Largest IV drop — 13.2% change
  • 2021-03-09: Highest IV Rank — 11.4%
  • 2021-03-08: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.18$76.29$94.57$76.58$93.77
Max Pain$76.52$75.00$80.00$75.00$80.00
ATM IV39.4%34.7%46.6%40.6%34.8%
Expected Move11.1%10.0%12.2%11.6%10.0%
HV 20d42.0%23.3%47.3%27.5%46.9%
HV 60d36.3%30.4%38.9%30.4%38.3%
IV Rank4.2%0.0%11.4%4.7%0.1%
IV Percentile9.6%0.0%44.4%10.3%0.4%
Term Structure1.2%-2.7%4.8%-2.5%4.8%
VWIV40.8%35.6%49.9%40.9%37.1%
Skew 25d2.6%-0.3%8.1%3.2%2.9%
Skew 10d5.6%-12.4%11.9%8.1%6.7%
Call IV 25d39.3%35.1%53.5%39.0%35.7%
Put IV 25d41.9%35.9%56.1%42.2%38.7%
Bid-Ask Spread %53.4634.0892.4576.7254.42
Gamma HHI0.250.130.710.200.13
Net GEX543.6K-412.0K3.2M147.2K430.8K
Net DEX-23.9M-41.5M-6.4M-7.0M-20.4M
Net VEX-67.1K-81.8K-38.1K-38.1K-76.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.1110.570.350.84
Total Volume999.391785,022236282
Total OI11,248.3486,31913,9326,31911,875

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$76.58$75.0040.6%11.6%27.5%4.7%40.9%3.2%-2.5%147.2K-7.0M-38.1K0.3576.72N/AN/A175612,9653,354
2021-03-02$76.29$75.0039.4%11.3%23.3%3.3%38.3%4.2%-0.3%134.9K-6.4M-38.4K0.1178.36N/AN/A7082,9713,386
2021-03-03$78.66$75.0041.1%11.8%25.3%5.2%41.8%8.1%-2.7%184.9K-8.3M-38.4K0.8978.13N/AN/A2,6612,3612,9543,392
2021-03-04$78.99$75.0043.7%11.5%24.8%8.2%49.9%2.5%4.4%601.8K-11.2M-78.7K0.6692.45N/AN/A5773825,3365,685
2021-03-05$85.65$75.0041.7%11.8%36.8%5.9%46.2%4.6%-2.0%747.4K-27.9M-68.8K0.5136.47N/AN/A6903515,5575,486
2021-03-08$90.22$75.0045.7%12.2%40.4%10.3%43.2%-0.0%-2.3%500.8K-35.4M-56.9K0.4437.23N/AN/A1,1845235,4575,524
2021-03-09$85.70$75.0046.6%12.2%45.0%11.4%43.2%3.7%-0.6%816.4K-28.6M-73.2K0.4737.46N/AN/A4822276,0485,600
2021-03-10$86.96$75.0040.5%11.6%45.2%4.5%40.1%3.5%1.5%758.1K-31.2M-70.6K0.1736.38N/AN/A368626,1645,696
2021-03-11$86.15$75.0041.1%11.8%45.0%5.2%47.2%3.3%1.0%804.7K-30.1M-71.6K2.3534.08N/AN/A2806576,2325,717
2021-03-12$88.98$75.0039.9%11.4%46.0%3.9%42.1%2.2%1.5%650.8K-38.1M-67.6K0.1836.90N/AN/A345616,4316,341
2021-03-15$87.78$75.0039.4%11.3%46.5%3.3%40.3%2.1%2.4%750.6K-36.7M-69.1K0.2835.77N/AN/A3731056,6446,365
2021-03-16$89.53$75.0037.8%10.8%46.7%1.5%39.5%2.3%2.5%515.1K-40.8M-65.4K0.2443.51N/AN/A7771866,7346,389
2021-03-17$89.62$75.0037.4%10.7%46.5%1.1%40.2%6.3%1.4%782.3K-40.7M-74.6K1.1546.15N/AN/A1431647,1686,540
2021-03-18$90.24$75.0038.2%10.9%46.0%1.9%39.1%1.7%2.7%542.4K-41.5M-69.4K1.1840.95N/AN/A8119586,9216,646
2021-03-19$89.89$75.0037.8%10.8%46.1%2.2%36.5%1.8%1.9%3.2M-41.2M-66.1K1.4153.94N/AN/A7141,0076,9626,970
2021-03-22$87.80$75.0037.4%10.7%47.3%1.5%42.2%0.3%2.9%100.6K-12.3M-72.3K10.5751.86N/AN/A2602,7473,8916,262
2021-03-23$86.22$80.0034.7%10.0%47.0%0.0%35.6%0.8%2.6%-412.0K-7.1M-81.8K1.3259.79N/AN/A3204233,9918,941
2021-03-24$86.11$80.0037.8%10.8%46.9%4.7%37.3%1.6%-2.0%-66.1K-9.8M-73.4K0.3759.05N/AN/A105394,1366,723
2021-03-25$90.01$80.0036.9%10.6%46.6%3.3%39.7%0.7%3.2%184.5K-15.3M-71.9K0.8175.34N/AN/A3562874,1586,723
2021-03-26$92.76$80.0039.5%11.3%47.0%7.4%38.0%1.4%0.6%388.3K-19.3M-73.6K0.8250.40N/AN/A1951604,3316,913
2021-03-29$92.62$80.0037.2%10.7%47.2%3.7%41.7%4.0%4.0%292.2K-18.1M-73.0K0.9060.79N/AN/A3843444,3526,972
2021-03-30$94.57$80.0036.3%10.4%47.1%2.4%37.3%-0.3%3.0%448.3K-22.3M-74.5K1.4553.32N/AN/A1311904,5687,241
2021-03-31$93.77$80.0034.8%10.0%46.9%0.1%37.1%2.9%4.8%430.8K-20.4M-76.1K0.8454.42N/AN/A1531294,6357,240