AN Options History — September 2021

In September 2021, AN traded between $103.40 and $129.26. ATM implied volatility averaged 36.4%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 0.8% (HV 20d: 35.6%). Max pain ranged from $100.00 to $115.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.41.

Notable Days

  • 2021-09-23: Highest Volume — 7,854 contracts
  • 2021-09-17: Largest IV spike — 7.1% change
  • 2021-09-21: Highest IV Rank — 32.3%
  • 2021-09-21: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$114.85$103.40$129.26$108.22$122.74
Max Pain$102.14$100.00$115.00$115.00$105.00
ATM IV36.4%32.5%39.9%32.7%39.0%
Expected Move10.5%9.4%11.4%9.4%11.2%
HV 20d35.6%24.3%44.1%37.3%44.1%
HV 60d37.3%35.0%40.7%37.3%40.7%
IV Rank21.4%9.1%32.3%9.8%29.4%
IV Percentile37.1%7.1%55.2%9.5%52.0%
Term Structure3.0%-1.2%5.1%1.4%3.3%
VWIV37.3%32.9%41.2%32.9%40.0%
Skew 25d3.4%0.8%4.8%3.1%4.8%
Skew 10d7.3%-6.9%13.7%7.4%12.1%
Call IV 25d36.4%33.2%39.6%33.2%39.0%
Put IV 25d39.8%36.3%44.1%36.3%43.8%
Bid-Ask Spread %64.6858.0274.8470.3158.02
Gamma HHI0.200.130.740.130.16
Net GEX1.6M-426.2K9.3M198.4K2.8M
Net DEX-40.0M-100.6M4.3M-8.8M-74.5M
Net VEX-187.7K-248.0K-150.7K-165.2K-246.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.051.180.690.68
Total Volume1,956.0483357,8541,2712,641
Total OI18,982.47615,85820,91118,08620,911

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$108.22$115.0032.7%9.4%37.3%9.8%32.9%3.1%1.4%198.4K-8.8M-165.2K0.6970.31N/AN/A75251910,3027,784
2021-09-02$107.51$100.0033.5%9.9%36.5%12.3%36.1%3.4%3.5%191.3K-9.4M-179.6K0.2858.60N/AN/A58316110,6337,826
2021-09-03$106.29$100.0032.5%10.1%36.5%9.1%36.1%0.8%3.2%-41.2K-5.9M-182.1K0.3266.49N/AN/A63720510,8448,079
2021-09-07$103.40$100.0034.5%10.1%37.3%15.5%36.8%3.1%3.0%-426.2K4.3M-153.8K0.6663.53N/AN/A87657510,9198,047
2021-09-08$105.08$100.0035.6%10.2%38.0%18.9%35.8%3.5%3.3%-254.0K-736.4K-159.6K1.1858.09N/AN/A62473811,0378,035
2021-09-09$105.28$100.0035.1%10.1%38.1%17.3%35.3%3.6%3.6%-407.9K-433.5K-165.2K0.3761.04N/AN/A47417411,2268,423
2021-09-10$104.94$100.0034.3%9.8%38.1%14.9%35.1%2.5%5.1%-311.5K-1.5M-158.6K0.4163.83N/AN/A57523811,4098,320
2021-09-13$105.90$100.0035.6%10.2%38.3%18.8%36.4%3.3%3.3%25.7K-6.2M-155.2K0.2869.10N/AN/A2627311,6777,890
2021-09-14$106.76$100.0034.8%10.0%30.4%16.5%35.9%2.7%4.4%160.8K-10.6M-150.7K0.5268.81N/AN/A32717011,8947,932
2021-09-15$110.78$100.0035.3%10.1%24.3%18.0%35.1%4.5%3.9%987.2K-24.9M-160.5K0.4874.84N/AN/A49323511,9367,908
2021-09-16$117.09$100.0036.9%10.6%31.6%23.0%36.6%2.8%2.9%2.6M-54.2M-173.6K0.1671.58N/AN/A2,79344512,0167,918
2021-09-17$120.19$100.0039.5%11.3%32.6%31.2%39.0%2.1%-1.2%9.3M-71.7M-171.1K0.4063.28N/AN/A2,9501,16912,0997,986
2021-09-20$118.74$100.0039.5%11.3%33.0%31.2%41.2%4.6%2.1%1.8M-54.0M-188.2K0.6361.97N/AN/A60138110,5825,276
2021-09-21$121.22$100.0039.9%11.4%33.6%32.3%40.9%4.8%1.6%1.8M-60.0M-198.0K0.4058.41N/AN/A1,38455710,6775,548
2021-09-22$125.87$100.0038.9%11.1%35.7%29.1%39.4%1.7%2.9%1.9M-73.5M-190.9K0.1567.74N/AN/A3,99661110,7195,690
2021-09-23$121.70$105.0037.8%10.8%36.9%25.8%37.2%3.7%3.2%1.9M-60.5M-194.8K0.0563.16N/AN/A7,44940511,0816,041
2021-09-24$123.80$105.0035.7%10.2%35.5%19.2%36.5%3.3%5.0%2.5M-72.9M-220.3K0.1859.53N/AN/A1,18721012,6536,174
2021-09-27$124.28$105.0035.9%10.3%35.5%19.8%37.0%4.6%3.3%2.7M-78.5M-237.2K0.4964.44N/AN/A42721013,6316,328
2021-09-28$122.73$105.0038.4%11.0%36.0%27.7%38.9%4.5%2.7%2.7M-75.3M-243.6K0.1571.94N/AN/A95514114,0716,468
2021-09-29$129.26$105.0039.1%11.2%38.9%29.9%40.7%3.8%3.0%2.8M-100.6M-248.0K0.1063.60N/AN/A3,52734714,0266,616
2021-09-30$122.74$105.0039.0%11.2%44.1%29.4%40.0%4.8%3.3%2.8M-74.5M-246.4K0.6858.02N/AN/A1,5711,07014,2716,640