AN Options History — June 2021

In June 2021, AN traded between $89.08 and $105.28. ATM implied volatility averaged 33.0%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 2.1% (HV 20d: 35.1%). Max pain ranged from $90.00 to $100.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.42.

Notable Days

  • 2021-06-09: Highest Volume — 5,402 contracts
  • 2021-06-21: Largest IV drop — 13.8% change
  • 2021-06-07: Highest IV Rank — 18.2%
  • 2021-06-18: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.42$89.08$105.28$105.28$94.98
Max Pain$94.55$90.00$100.00$100.00$95.00
ATM IV33.0%29.5%36.0%32.0%29.7%
Expected Move9.4%8.5%9.8%9.2%8.5%
HV 20d35.1%31.2%38.7%35.6%33.1%
HV 60d34.8%33.5%36.1%36.1%34.8%
IV Rank9.4%0.0%18.2%5.3%0.5%
IV Percentile8.2%0.0%15.1%2.4%0.4%
Term Structure4.8%-0.1%7.7%0.7%7.7%
VWIV34.3%31.2%37.6%33.1%31.2%
Skew 25d-0.1%-2.7%2.0%1.8%-0.2%
Skew 10d1.7%-2.6%6.6%6.6%1.7%
Call IV 25d34.5%32.0%36.5%32.0%32.8%
Put IV 25d34.4%32.6%36.4%33.8%32.6%
Bid-Ask Spread %66.6926.1678.5677.0468.46
Gamma HHI0.200.150.240.200.24
Net GEX1.3M549.8K2.4M1.6M2.4M
Net DEX-21.3M-37.0M-2.4M-37.0M-32.3M
Net VEX-162.0K-201.5K-113.0K-130.2K-186.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.081.840.350.31
Total Volume1,448.6823505,402599708
Total OI18,81112,51823,60712,55723,558

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$105.28$100.0032.0%9.2%35.6%5.3%33.1%1.8%0.7%1.6M-37.0M-130.2K0.3577.04N/AN/A4441557,7944,763
2021-06-02$102.56$100.0033.3%9.6%36.5%9.6%33.6%1.6%-0.1%1.4M-29.4M-126.5K0.2578.56N/AN/A341847,7234,795
2021-06-03$101.10$90.0034.4%9.7%36.7%13.3%34.7%2.0%2.8%1.3M-26.0M-125.7K1.8458.30N/AN/A1793297,7904,849
2021-06-04$97.67$90.0033.0%9.6%37.8%8.5%34.7%2.0%3.1%838.6K-15.8M-123.3K0.4364.90N/AN/A4331887,7865,015
2021-06-07$96.22$90.0036.0%9.7%38.0%18.2%34.3%2.0%3.4%654.6K-12.0M-113.0K0.2070.94N/AN/A9791917,8605,128
2021-06-08$97.80$90.0034.6%9.6%38.7%13.8%33.8%1.3%3.2%867.8K-15.3M-117.8K0.5471.21N/AN/A8804737,9775,208
2021-06-09$96.71$95.0033.6%9.6%38.1%10.4%37.6%1.1%4.6%663.0K-13.6M-115.2K0.3270.81N/AN/A4,0821,3208,1685,425
2021-06-10$95.17$95.0032.7%9.4%35.6%7.6%34.2%-0.4%4.8%873.0K-16.4M-144.6K0.1271.77N/AN/A1,78321010,9876,472
2021-06-11$97.75$95.0032.5%9.3%31.2%6.9%33.4%-0.1%5.3%1.6M-28.3M-178.2K0.0870.50N/AN/A1,1969412,4126,541
2021-06-14$93.58$95.0033.7%9.7%33.7%10.9%35.8%-0.5%4.7%829.2K-15.1M-166.6K0.3726.16N/AN/A2,32386813,0136,530
2021-06-15$94.10$95.0033.3%9.5%33.9%9.5%34.0%-1.3%5.2%1.0M-18.0M-178.2K0.1949.49N/AN/A58110914,2306,856
2021-06-16$94.49$95.0032.6%9.4%34.0%7.5%33.4%-0.5%6.1%1.0M-20.4M-178.6K0.1665.53N/AN/A5278614,3926,886
2021-06-17$90.94$95.0032.7%9.4%33.1%7.8%35.0%-2.0%5.1%549.8K-9.5M-170.4K0.8473.53N/AN/A65755314,4686,876
2021-06-18$89.08$95.0034.3%9.8%33.6%12.8%35.1%0.2%5.5%618.2K-2.4M-160.8K0.6060.00N/AN/A72643414,6167,058
2021-06-21$91.49$95.0029.5%8.5%35.1%0.0%35.2%-2.7%7.4%915.8K-17.8M-176.3K0.4373.62N/AN/A3,0951,34613,0126,266
2021-06-22$92.24$95.0032.3%9.2%34.8%8.5%34.5%-1.3%6.1%1.5M-21.5M-192.9K0.2070.15N/AN/A3817515,5097,356
2021-06-23$92.53$95.0033.0%9.5%34.9%10.7%34.6%-1.0%5.9%1.7M-23.7M-195.1K0.4770.79N/AN/A1,29461215,6767,384
2021-06-24$92.85$95.0033.4%9.6%34.4%11.9%33.9%-1.5%5.2%1.7M-24.5M-197.2K0.5464.74N/AN/A29716115,6937,446
2021-06-25$95.10$95.0032.0%9.2%35.0%7.6%32.6%-1.6%6.3%2.3M-33.9M-201.5K0.2470.46N/AN/A1,01124115,6707,561
2021-06-28$93.74$95.0034.0%9.7%35.2%13.9%35.3%-0.6%5.9%2.0M-27.3M-195.2K0.2967.11N/AN/A2717915,8997,587
2021-06-29$93.93$95.0033.4%9.6%33.5%12.0%35.3%-1.0%5.9%2.1M-28.3M-189.5K0.5373.07N/AN/A1,35971615,9677,640
2021-06-30$94.98$95.0029.7%8.5%33.1%0.5%31.2%-0.2%7.7%2.4M-32.3M-186.7K0.3168.46N/AN/A54216615,9037,655