AN Options History — April 2021

In April 2021, AN traded between $90.80 and $103.41. ATM implied volatility averaged 35.3%, placing in the 6.3% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 2.1% (HV 20d: 33.3%). Max pain ranged from $85.00 to $95.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2021-04-20: Highest Volume — 1,700 contracts
  • 2021-04-05: Largest IV spike — 45.5% change
  • 2021-04-05: Highest IV Rank — 31.7%
  • 2021-04-05: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$96.34$90.80$103.41$92.22$102.69
Max Pain$90.95$85.00$95.00$85.00$95.00
ATM IV35.3%31.7%49.1%33.7%32.6%
Expected Move10.2%9.1%11.2%9.7%9.3%
HV 20d33.3%27.0%47.8%47.8%34.6%
HV 60d36.7%35.8%38.5%38.5%36.5%
IV Rank6.3%0.0%31.7%0.0%2.0%
IV Percentile7.0%0.0%62.3%0.0%2.0%
Term Structure-0.9%-5.7%3.8%2.9%0.5%
VWIV36.3%32.2%39.7%34.0%35.5%
Skew 25d0.4%-4.8%3.6%3.3%0.5%
Skew 10d3.2%-1.7%9.6%9.6%3.5%
Call IV 25d36.8%32.0%41.7%32.6%33.7%
Put IV 25d37.2%30.8%41.7%35.9%34.2%
Bid-Ask Spread %58.1546.8572.1159.9558.32
Gamma HHI0.190.120.250.120.21
Net GEX665.0K315.0K1.0M315.0K1.0M
Net DEX-23.3M-31.0M-15.3M-17.7M-30.5M
Net VEX-79.5K-103.2K-66.2K-79.3K-103.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.083.280.523.11
Total Volume747.4291461,700146489
Total OI10,566.4766,51313,14212,1439,831

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-04-01$92.22$85.0033.7%9.7%47.8%0.0%34.0%3.3%2.9%315.0K-17.7M-79.3K0.5259.95N/AN/A96504,7337,410
2021-04-05$92.45$90.0049.1%11.2%39.2%31.7%39.5%-0.0%-1.8%354.3K-19.0M-75.9K0.1751.35N/AN/A145244,7667,443
2021-04-06$91.26$90.0033.9%10.7%35.2%0.3%39.7%-0.1%0.1%453.0K-18.2M-68.9K1.1046.85N/AN/A79874,7717,468
2021-04-07$90.80$90.0033.5%10.8%29.5%0.0%39.2%1.1%-1.7%396.6K-16.9M-69.5K0.0849.95N/AN/A187154,8067,463
2021-04-08$91.69$90.0032.7%10.4%29.3%0.0%38.3%-1.1%-1.9%479.9K-18.8M-69.1K2.3448.85N/AN/A1463414,8327,463
2021-04-09$92.98$90.0032.5%11.1%29.2%0.0%37.9%-0.8%-2.3%574.8K-20.9M-67.5K0.8457.53N/AN/A3362814,9117,461
2021-04-12$93.36$90.0031.9%10.7%27.2%0.0%37.8%0.7%-1.9%632.3K-22.1M-68.6K0.1453.68N/AN/A228315,0837,707
2021-04-13$92.30$90.0043.4%10.8%27.0%22.8%39.7%1.3%-1.6%580.1K-20.6M-69.4K3.2852.18N/AN/A3691,2095,1097,715
2021-04-14$95.93$90.0037.8%10.8%29.3%11.7%35.9%-0.2%-2.5%761.1K-26.8M-68.5K0.1565.03N/AN/A394595,1327,900
2021-04-15$96.15$90.0037.9%10.9%29.3%11.9%37.7%3.6%-1.7%748.2K-26.2M-66.2K0.3156.48N/AN/A297935,0597,899
2021-04-16$97.37$90.0037.7%10.8%29.5%11.5%37.8%-0.0%-5.7%413.2K-28.3M-68.4K0.1562.04N/AN/A8811285,1927,950
2021-04-19$97.78$90.0038.5%11.0%29.3%13.6%39.5%-0.1%-5.4%586.6K-20.1M-80.5K0.2772.11N/AN/A1,2543424,2182,295
2021-04-20$92.84$90.0035.5%10.2%34.2%7.3%35.7%-1.3%-1.2%525.9K-15.3M-78.4K0.2864.39N/AN/A1,3303704,7942,561
2021-04-21$95.26$90.0031.7%9.1%34.2%0.0%33.1%-4.8%3.8%748.0K-20.2M-83.3K0.9167.56N/AN/A2652415,2712,712
2021-04-22$96.19$90.0033.3%9.6%34.1%3.6%33.8%0.5%-0.2%763.8K-21.0M-88.5K0.9068.05N/AN/A2782495,3192,885
2021-04-23$102.13$90.0033.4%9.6%36.8%3.7%34.0%2.5%0.9%962.4K-31.0M-90.1K0.4150.25N/AN/A1,2094905,4412,963
2021-04-26$101.70$95.0034.2%9.8%35.9%5.4%34.4%0.4%-0.5%819.4K-26.8M-89.5K0.4460.91N/AN/A8093595,2063,168
2021-04-27$101.60$95.0034.1%9.8%35.9%5.2%34.0%0.2%-0.9%842.3K-26.9M-94.7K0.3958.88N/AN/A3791475,4413,197
2021-04-28$103.08$95.0032.3%9.3%35.6%1.3%32.2%2.3%0.7%967.1K-30.4M-88.6K0.7360.26N/AN/A6834985,5533,293
2021-04-29$103.41$95.0032.0%9.2%35.3%0.8%32.5%1.2%0.8%1.0M-30.7M-100.6K0.2256.44N/AN/A6761525,7563,719
2021-04-30$102.69$95.0032.6%9.3%34.6%2.0%35.5%0.5%0.5%1.0M-30.5M-103.2K3.1158.32N/AN/A1193706,0353,796