AN Options History — December 2021

In December 2021, AN traded between $110.42 and $127.21. ATM implied volatility averaged 42.3%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 0.2% (HV 20d: 42.1%). Max pain ranged from $110.00 to $125.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.03.

Notable Days

  • 2021-12-13: Highest Volume — 4,232 contracts
  • 2021-12-15: Largest IV drop — 18.4% change
  • 2021-12-14: Highest IV Rank — 65.8%
  • 2021-12-01: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.35$110.42$127.21$124.37$117.40
Max Pain$112.27$110.00$125.00$125.00$110.00
ATM IV42.3%33.7%50.6%48.1%35.1%
Expected Move11.7%9.6%13.8%13.8%10.1%
HV 20d42.1%28.8%53.4%50.8%30.1%
HV 60d44.8%41.6%46.9%46.0%41.6%
IV Rank39.9%12.8%65.8%58.1%17.5%
IV Percentile72.9%19.0%96.4%94.4%35.7%
Term Structure1.7%-5.4%7.1%-1.3%6.8%
VWIV41.4%34.9%49.1%49.1%34.9%
Skew 25d5.8%2.3%12.9%5.6%6.6%
Skew 10d11.4%4.4%28.9%18.3%9.9%
Call IV 25d38.8%32.8%46.2%46.2%32.8%
Put IV 25d44.6%38.0%56.2%51.8%39.3%
Bid-Ask Spread %65.5548.5978.6765.1367.28
Gamma HHI0.170.110.260.120.20
Net GEX-225.4K-1.7M1.0M777.6K99.5K
Net DEX-3.5M-34.8M18.3M-26.0M-6.3M
Net VEX-194.2K-235.0K-148.8K-235.0K-192.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.303.641.040.63
Total Volume1,853.0911,1724,2321,5391,355
Total OI17,89315,32520,43117,60517,772

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$124.37$125.0048.1%13.8%50.8%58.1%49.1%5.6%-1.3%777.6K-26.0M-235.0K1.0465.13N/AN/A7567838,5239,082
2021-12-02$127.21$125.0045.3%13.0%51.0%49.3%45.7%11.7%-5.4%1.0M-34.8M-230.4K0.7572.75N/AN/A7965958,5799,067
2021-12-03$123.75$125.0046.0%13.2%52.0%51.5%47.4%12.9%-0.2%821.6K-24.0M-233.7K0.6678.67N/AN/A8795828,6969,082
2021-12-06$125.13$110.0048.2%13.0%52.0%58.2%45.7%5.9%5.0%866.7K-28.1M-222.0K0.4652.11N/AN/A1,0334798,5879,164
2021-12-07$123.09$110.0046.9%12.2%52.2%54.2%47.7%4.0%2.8%688.6K-19.9M-218.3K1.0548.59N/AN/A9541,0058,5899,146
2021-12-08$120.60$115.0046.2%11.9%52.1%52.0%44.2%2.3%4.5%417.8K-12.5M-227.8K3.5868.39N/AN/A9003,2268,5959,529
2021-12-09$120.06$110.0045.1%12.4%52.0%48.6%43.7%4.9%2.0%-684.4K-2.1M-224.7K0.8462.31N/AN/A9568078,70211,538
2021-12-10$120.71$110.0042.8%11.5%52.0%41.4%40.5%5.1%2.4%-706.8K-4.8M-217.2K0.4464.76N/AN/A9023968,79811,633
2021-12-13$114.85$110.0049.6%11.7%53.1%62.7%45.4%3.7%3.3%-1.7M18.3M-196.8K3.6462.36N/AN/A9133,3198,74611,596
2021-12-14$116.04$110.0050.6%11.8%53.4%65.8%41.2%5.1%0.2%-1.2M10.5M-189.8K0.4161.43N/AN/A1,0494328,89410,761
2021-12-15$116.40$110.0041.3%11.8%52.8%36.7%44.4%6.6%2.6%-1.1M7.3M-189.8K0.5164.75N/AN/A9354749,00610,763
2021-12-16$116.70$110.0041.7%12.0%38.7%38.1%40.8%4.6%0.2%40.6K6.5M-176.8K0.4763.82N/AN/A9304378,99710,797
2021-12-17$114.61$110.0041.2%11.8%38.2%36.5%42.1%4.1%-4.1%-1.6M12.5M-187.5K0.5363.37N/AN/A1,1676209,04410,785
2021-12-20$110.42$110.0043.5%12.5%39.4%43.7%42.3%6.6%-3.0%-472.1K8.2M-169.6K0.4563.05N/AN/A9674337,2268,099
2021-12-21$110.42$110.0040.3%11.6%28.9%33.6%38.3%6.3%0.2%-510.6K7.3M-162.5K0.4767.94N/AN/A9344367,3548,084
2021-12-22$112.12$110.0039.3%11.3%29.3%30.6%38.3%4.2%1.3%-355.0K3.5M-162.8K0.5068.72N/AN/A7833897,5038,159
2021-12-23$112.26$110.0037.1%10.6%29.5%23.6%36.3%5.0%-0.8%-353.8K3.5M-159.7K0.3066.92N/AN/A1,4144297,5518,163
2021-12-27$113.05$110.0036.6%10.5%29.4%22.1%35.0%6.0%2.1%-294.8K849.2K-149.8K0.5271.61N/AN/A7864057,5408,268
2021-12-28$113.08$110.0036.5%10.5%29.4%21.8%37.6%5.5%7.1%-289.4K1.1M-148.8K2.4172.28N/AN/A8342,0127,6198,332
2021-12-29$113.04$110.0033.7%9.6%28.8%12.8%35.9%6.4%6.0%-453.4K5.5M-190.8K2.4270.88N/AN/A8091,9577,7649,858
2021-12-30$116.36$110.0035.6%10.2%31.2%18.9%35.3%3.9%5.8%4.3K-3.7M-186.5K0.5765.03N/AN/A9565447,8029,853
2021-12-31$117.40$110.0035.1%10.1%30.1%17.5%34.9%6.6%6.8%99.5K-6.3M-192.3K0.6367.28N/AN/A8325237,8539,919