AN Options History — January 2022

In January 2022, AN traded between $105.10 and $115.56. ATM implied volatility averaged 45.1%, placing in the 49.5% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 14.4% (HV 20d: 30.7%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.64.

Notable Days

  • 2022-01-21: Highest Volume — 2,766 contracts
  • 2022-01-27: Largest IV spike — 13.8% change
  • 2022-01-28: Highest IV Rank — 97.3%
  • 2022-01-28: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.41$105.10$115.56$113.59$108.20
Max Pain$111.00$110.00$115.00$110.00$110.00
ATM IV45.1%36.1%58.6%37.6%54.9%
Expected Move13.2%10.3%16.8%10.8%15.7%
HV 20d30.7%25.7%35.6%30.7%34.6%
HV 60d40.6%37.6%42.6%41.9%39.2%
IV Rank49.5%20.5%97.3%25.1%84.8%
IV Percentile79.7%42.9%99.2%54.4%98.4%
Term Structure-3.1%-11.5%4.9%4.5%-11.5%
VWIV48.2%37.1%61.5%38.7%60.9%
Skew 25d5.3%0.8%21.5%7.1%5.9%
Skew 10d12.3%3.1%27.8%9.0%22.4%
Call IV 25d46.2%35.9%61.3%37.1%58.5%
Put IV 25d51.5%41.9%70.4%44.2%64.3%
Bid-Ask Spread %72.3457.8980.2168.9776.37
Gamma HHI0.320.150.850.240.16
Net GEX-826.5K-5.6M323.0K-388.1K323.0K
Net DEX8.0M-3.1M27.2M3.8M257.6K
Net VEX-165.6K-188.7K-142.5K-188.7K-167.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.301.170.530.97
Total Volume1,770.851,4312,7661,6631,431
Total OI16,142.98,27820,45617,89610,430

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$113.59$110.0037.6%10.8%30.7%25.1%38.7%7.1%4.5%-388.1K3.8M-188.7K0.5368.97N/AN/A1,0875767,9789,918
2022-01-04$114.90$110.0036.1%10.3%30.7%20.5%37.1%7.5%4.9%-179.9K306.3K-182.3K0.6070.40N/AN/A9705838,0549,958
2022-01-05$111.62$110.0039.5%11.3%31.7%30.9%38.3%4.4%-2.7%-622.4K9.0M-181.5K0.6057.89N/AN/A9935948,2089,943
2022-01-06$112.08$110.0038.4%11.8%31.3%27.5%45.9%2.9%-0.8%-559.7K7.5M-176.5K0.5973.60N/AN/A9305528,43410,022
2022-01-07$112.85$110.0036.4%12.4%31.5%21.5%42.7%4.4%-2.5%-467.7K5.3M-175.6K0.6269.85N/AN/A1,0256338,47110,030
2022-01-10$115.56$110.0040.4%11.6%32.8%33.9%44.4%5.0%0.3%82.4K-3.1M-168.4K0.6972.90N/AN/A1,0357148,62610,094
2022-01-11$114.51$110.0038.1%12.7%27.8%26.8%44.4%2.5%-2.6%-87.2K71.7K-171.9K0.7168.67N/AN/A1,0567518,65710,047
2022-01-12$112.11$110.0041.6%11.9%28.4%37.8%39.9%1.8%-0.2%-424.4K4.9M-160.2K0.6375.02N/AN/A9646058,82310,150
2022-01-13$111.77$110.0042.5%12.2%28.4%40.5%41.5%1.8%-0.9%-535.5K6.5M-162.3K1.1774.88N/AN/A8551,0028,87310,225
2022-01-14$110.35$110.0041.7%11.9%28.6%37.9%44.7%5.1%-0.6%-988.1K12.4M-164.0K0.7974.10N/AN/A1,2109568,92210,467
2022-01-18$109.82$115.0045.6%13.1%28.0%50.1%46.7%4.6%-3.9%-1.3M14.4M-160.9K0.5671.11N/AN/A1,2436959,28410,847
2022-01-19$107.26$115.0044.0%12.6%26.1%45.2%46.3%1.9%-1.3%-2.1M21.8M-155.5K0.5574.04N/AN/A1,1776479,44710,929
2022-01-20$105.73$115.0044.5%12.8%26.5%46.7%46.1%4.1%-0.9%-3.5M26.0M-149.3K0.4471.50N/AN/A1,2925709,44410,964
2022-01-21$105.61$115.0049.1%14.1%25.7%61.2%52.7%0.8%-5.6%-5.6M27.2M-142.5K0.5980.21N/AN/A1,7401,0269,38411,072
2022-01-24$111.87$110.0050.6%14.5%33.5%65.7%52.8%6.4%-7.2%-32.8K2.9M-154.8K0.4673.86N/AN/A1,3716293,7974,481
2022-01-25$110.50$110.0053.8%15.4%33.6%75.9%61.5%8.2%-7.6%-2.6K1.7M-168.1K0.8071.74N/AN/A8026384,2554,603
2022-01-26$107.59$110.0050.8%14.6%34.8%66.5%59.8%21.5%-2.4%-53.6K6.4M-159.4K0.6575.81N/AN/A8985874,3734,687
2022-01-27$105.10$110.0057.9%16.6%35.6%94.9%58.3%5.3%-10.1%-123.5K8.5M-156.8K0.5172.26N/AN/A1,0365274,4884,776
2022-01-28$107.15$110.0058.6%16.8%34.6%97.3%60.6%4.7%-11.5%62.7K4.2M-166.5K0.3073.67N/AN/A1,5554624,9134,784
2022-01-31$108.20$110.0054.9%15.7%34.6%84.8%60.9%5.9%-11.5%323.0K257.6K-167.7K0.9776.37N/AN/A7277045,6034,827