AN Options History — May 2021

In May 2021, AN traded between $98.59 and $106.15. ATM implied volatility averaged 33.6%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 2.6% (HV 20d: 36.2%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.68.

Notable Days

  • 2021-05-06: Highest Volume — 1,568 contracts
  • 2021-05-20: Largest IV drop — 8.8% change
  • 2021-05-12: Highest IV Rank — 17.1%
  • 2021-05-12: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$102.95$98.59$106.15$103.54$102.64
Max Pain$99.25$95.00$100.00$95.00$100.00
ATM IV33.6%30.3%37.4%32.4%30.3%
Expected Move9.6%8.7%10.7%9.3%8.7%
HV 20d36.2%33.5%41.5%34.6%34.6%
HV 60d38.2%36.3%40.0%36.3%39.2%
IV Rank6.1%0.0%17.1%1.7%0.0%
IV Percentile5.0%0.0%12.3%1.6%0.0%
Term Structure-0.4%-3.5%1.4%0.7%1.4%
VWIV34.0%31.1%37.6%33.4%31.3%
Skew 25d1.9%-1.0%3.3%-1.0%2.6%
Skew 10d4.5%-1.5%6.9%2.0%6.1%
Call IV 25d33.6%29.9%37.5%34.0%30.6%
Put IV 25d35.5%33.0%39.3%33.0%33.2%
Bid-Ask Spread %68.3258.4280.1560.6779.24
Gamma HHI0.240.160.670.210.19
Net GEX1.4M825.9K4.6M1.1M1.4M
Net DEX-31.2M-40.2M-20.4M-31.6M-30.9M
Net VEX-119.9K-133.1K-102.4K-106.3K-129.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.252.730.360.36
Total Volume809.93301,568524330
Total OI12,204.410,13813,93810,13812,511

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$103.54$95.0032.4%9.3%34.6%1.7%33.4%-1.0%0.7%1.1M-31.6M-106.3K0.3660.67N/AN/A3841406,0354,103
2021-05-04$105.03$95.0035.0%10.0%34.0%7.1%35.8%0.5%-0.7%1.0M-34.0M-102.4K0.4962.28N/AN/A5542706,0074,152
2021-05-05$104.34$95.0032.6%9.3%34.1%2.0%33.3%2.6%0.4%1.0M-32.5M-104.7K0.2558.42N/AN/A7131806,0774,239
2021-05-06$106.15$100.0033.6%9.8%34.3%4.3%34.8%2.0%-2.3%1.2M-38.4M-108.2K0.2563.64N/AN/A1,2553136,5484,372
2021-05-07$105.23$100.0032.5%9.4%34.7%1.8%33.6%1.6%1.4%1.3M-39.3M-123.2K0.6567.55N/AN/A7004557,2684,494
2021-05-10$105.22$100.0034.8%9.6%34.7%7.5%34.3%0.9%-0.7%1.5M-38.9M-131.2K1.0162.73N/AN/A3283327,7384,879
2021-05-11$102.77$100.0035.6%9.7%35.8%11.7%35.1%2.6%-0.9%1.3M-31.7M-133.1K1.3465.13N/AN/A2793747,7605,053
2021-05-12$98.59$100.0037.4%10.7%37.2%17.1%37.6%1.9%-3.5%925.4K-20.6M-131.4K2.7362.34N/AN/A3569737,8465,034
2021-05-13$103.96$100.0036.5%10.5%41.5%15.9%37.5%1.7%-2.2%1.3M-34.4M-130.0K0.6960.88N/AN/A4373027,8235,184
2021-05-14$105.38$100.0034.2%9.8%41.5%8.5%34.6%1.8%-0.7%1.6M-40.2M-127.5K0.2963.62N/AN/A4371277,9715,263
2021-05-17$105.42$100.0034.9%10.0%41.5%11.0%35.4%1.6%-0.5%1.5M-39.5M-123.6K0.3664.75N/AN/A3491247,8705,243
2021-05-18$104.47$100.0034.4%9.9%36.4%9.2%34.7%2.0%-0.4%1.6M-36.6M-121.5K1.0467.86N/AN/A2903037,8035,281
2021-05-19$99.95$100.0036.5%10.5%39.7%16.2%36.5%2.2%-1.0%825.9K-22.1M-119.6K1.2370.15N/AN/A2783437,8405,539
2021-05-20$99.08$100.0033.3%9.5%39.7%5.4%34.3%1.3%0.4%839.4K-20.4M-110.6K0.3476.85N/AN/A7962747,8335,728
2021-05-21$100.06$100.0032.1%9.2%33.5%1.5%31.9%1.2%0.5%4.6M-23.0M-110.9K0.4176.01N/AN/A4161708,0765,862
2021-05-24$101.42$100.0031.7%9.1%33.8%0.0%31.6%2.3%0.3%863.2K-21.8M-109.9K0.2575.32N/AN/A1,0932756,3144,047
2021-05-25$100.42$100.0032.2%9.2%34.0%1.9%32.1%3.3%-0.8%1.2M-24.5M-119.5K0.6277.27N/AN/A4632897,4944,216
2021-05-26$101.77$100.0031.6%9.1%33.9%0.0%31.1%3.2%0.3%1.4M-29.1M-125.2K0.4771.56N/AN/A3961857,8024,452
2021-05-27$103.53$100.0030.7%8.8%34.5%0.0%31.4%3.0%1.0%1.5M-33.4M-129.4K0.4780.15N/AN/A6242917,7794,552
2021-05-28$102.64$100.0030.3%8.7%34.6%0.0%31.3%2.6%1.4%1.4M-30.9M-129.0K0.3679.24N/AN/A242887,7764,735