AN Options History — October 2021

In October 2021, AN traded between $114.81 and $131.75. ATM implied volatility averaged 38.0%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 7.3% (HV 20d: 45.3%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.17.

Notable Days

  • 2021-10-21: Highest Volume — 8,193 contracts
  • 2021-10-11: Largest IV spike — 26.8% change
  • 2021-10-12: Highest IV Rank — 39.2%
  • 2021-10-04: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$119.87$114.81$131.75$119.64$121.68
Max Pain$114.76$110.00$115.00$110.00$115.00
ATM IV38.0%33.1%42.1%37.6%35.7%
Expected Move11.2%9.9%12.5%10.8%10.2%
HV 20d45.3%38.5%50.4%45.3%43.9%
HV 60d39.9%37.1%42.3%41.1%41.9%
IV Rank26.3%11.2%39.2%25.1%19.2%
IV Percentile49.7%13.9%76.6%46.0%38.5%
Term Structure-1.8%-5.6%4.8%4.8%0.3%
VWIV39.7%35.2%43.6%38.8%35.8%
Skew 25d3.8%1.4%6.2%5.0%2.8%
Skew 10d7.5%-3.7%12.1%10.9%5.9%
Call IV 25d38.3%34.3%42.2%36.7%34.9%
Put IV 25d42.1%37.6%47.4%41.7%37.6%
Bid-Ask Spread %54.6532.2767.3767.3759.00
Gamma HHI0.170.120.220.160.13
Net GEX2.1M1.4M3.0M2.7M1.8M
Net DEX-45.1M-80.1M-24.9M-61.4M-37.7M
Net VEX-220.3K-281.9K-173.4K-242.2K-278.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.373.541.453.54
Total Volume2,188.5711768,1931,8333,578
Total OI20,724.38113,99624,01021,59624,010

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$119.64$110.0037.6%10.8%45.3%25.1%38.8%5.0%4.8%2.7M-61.4M-242.2K1.4567.37N/AN/A7491,08414,8056,791
2021-10-04$120.41$115.0039.7%12.5%44.9%31.7%43.6%5.2%-4.6%2.3M-57.9M-239.6K1.1253.41N/AN/A25928914,4257,571
2021-10-05$115.32$115.0039.5%12.1%46.7%31.1%43.1%4.5%-5.6%1.8M-34.5M-230.8K0.8244.30N/AN/A67655114,5027,740
2021-10-06$114.85$115.0038.5%12.0%46.7%27.9%42.4%4.1%-3.3%1.8M-32.4M-218.7K0.7644.87N/AN/A58944714,6327,730
2021-10-07$117.58$115.0035.1%11.8%47.1%17.4%41.6%6.2%-3.2%2.3M-45.0M-227.3K0.7047.01N/AN/A26818814,7877,850
2021-10-08$118.69$115.0033.1%11.1%47.0%11.2%42.3%4.2%-3.1%2.6M-52.0M-233.0K0.7942.17N/AN/A20216015,0418,015
2021-10-11$118.22$115.0042.0%11.8%47.2%39.0%42.6%3.8%-3.0%2.5M-48.8M-218.5K0.6562.83N/AN/A15710215,0638,068
2021-10-12$117.11$115.0042.1%11.9%47.4%39.2%41.8%3.8%-5.0%2.3M-42.2M-207.8K0.4547.02N/AN/A1215515,1028,086
2021-10-13$114.81$115.0040.9%11.7%46.6%35.5%41.2%4.5%-3.6%1.5M-29.9M-191.1K0.3765.37N/AN/A67825315,1088,108
2021-10-14$116.22$115.0039.9%11.4%42.3%32.2%40.7%4.8%0.5%1.7M-35.6M-191.4K0.8963.58N/AN/A45540415,1278,079
2021-10-15$117.26$115.0037.9%10.9%41.3%26.1%37.5%2.9%0.0%1.5M-40.6M-187.6K1.0664.82N/AN/A39942115,1337,974
2021-10-18$117.51$115.0039.3%11.3%41.1%30.3%40.8%4.0%-2.8%1.5M-29.6M-179.0K0.9961.29N/AN/A2782759,6544,342
2021-10-19$115.33$115.0039.7%11.4%40.8%31.7%40.2%3.7%-2.4%1.4M-24.9M-173.4K1.1465.49N/AN/A3443919,7334,401
2021-10-20$116.97$115.0041.0%11.7%38.5%35.7%41.4%1.4%-3.2%1.5M-30.1M-184.3K1.1543.65N/AN/A1,9602,2629,9914,875
2021-10-21$126.37$115.0037.1%10.6%46.4%23.6%37.2%2.6%-1.1%2.4M-60.8M-218.8K0.5232.27N/AN/A5,3932,80011,0646,395
2021-10-22$130.22$115.0034.9%10.0%47.2%16.7%36.1%3.1%0.1%2.8M-75.1M-233.2K0.7546.23N/AN/A2,5391,89211,6526,719
2021-10-25$131.75$115.0034.7%9.9%47.3%16.1%35.2%3.5%0.0%3.0M-80.1M-235.5K0.5250.23N/AN/A1,43274511,9197,344
2021-10-26$125.55$115.0035.8%10.3%50.4%19.4%38.6%3.9%-0.5%2.4M-56.1M-226.4K0.7565.71N/AN/A1,6841,26411,9567,389
2021-10-27$121.15$115.0036.8%10.5%48.3%22.5%37.0%3.5%-1.4%2.0M-39.1M-226.3K3.0760.13N/AN/A1,7035,23512,5697,515
2021-10-28$120.58$115.0036.1%10.4%44.8%20.6%36.1%2.3%-0.6%1.5M-32.6M-281.9K3.1160.93N/AN/A8942,78412,89211,055
2021-10-29$121.68$115.0035.7%10.2%43.9%19.2%35.8%2.8%0.3%1.8M-37.7M-278.7K3.5459.00N/AN/A7882,79013,01810,992