AN Options History — July 2022

In July 2022, AN traded between $110.94 and $123.67. ATM implied volatility averaged 46.9%, placing in the 40.0% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 2.4% (HV 20d: 49.3%). Max pain ranged from $110.00 to $120.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.67.

Notable Days

  • 2022-07-15: Highest Volume — 5,956 contracts
  • 2022-07-11: Largest IV spike — 18.0% change
  • 2022-07-12: Highest IV Rank — 59.5%
  • 2022-07-14: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$115.53$110.94$123.67$114.68$119.00
Max Pain$116.75$110.00$120.00$110.00$120.00
ATM IV46.9%37.9%54.1%44.8%38.3%
Expected Move13.6%10.9%15.3%12.8%11.0%
HV 20d49.3%38.5%58.1%55.6%46.4%
HV 60d52.2%50.8%53.3%52.7%51.5%
IV Rank40.0%14.8%59.5%35.6%16.1%
IV Percentile68.3%26.2%94.0%63.1%27.4%
Term Structure-1.8%-4.3%5.1%5.1%0.4%
VWIV49.0%38.8%58.3%46.8%38.8%
Skew 25d8.6%6.3%11.3%7.8%6.4%
Skew 10d17.5%12.8%22.5%16.6%12.8%
Call IV 25d43.9%35.5%49.3%41.5%35.5%
Put IV 25d52.5%41.9%58.4%49.3%41.9%
Bid-Ask Spread %37.3629.0754.1754.1730.91
Gamma HHI0.200.100.820.170.15
Net GEX673.3K-596.5K4.6M1.2M330.3K
Net DEX-701.9K-22.3M19.0M-12.7M-461.6K
Net VEX-155.6K-204.8K-108.0K-157.2K-204.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.554.211.131.31
Total Volume2,624.451,2165,9561,4132,386
Total OI17,60410,11321,18818,68318,967

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-07-01$114.68$110.0044.8%12.8%55.6%35.6%46.8%7.8%5.1%1.2M-12.7M-157.2K1.1354.17N/AN/A6647498,09510,588
2022-07-05$117.33$115.0049.5%14.8%56.3%48.1%51.8%9.8%-4.3%1.8M-22.3M-146.0K1.0529.07N/AN/A5936238,17810,622
2022-07-06$112.94$115.0047.8%14.7%57.2%42.1%54.6%9.7%-2.1%994.1K-5.2M-140.2K0.9734.79N/AN/A7086908,21210,747
2022-07-07$115.55$115.0047.9%14.6%58.0%42.3%49.5%9.6%-3.2%1.6M-13.5M-140.3K1.3233.92N/AN/A1,2231,6138,37810,860
2022-07-08$114.13$115.0042.4%14.0%58.1%27.4%48.6%9.0%-2.4%1.1M-6.4M-129.2K0.5535.74N/AN/A1,4347958,00311,208
2022-07-11$113.03$115.0050.1%14.4%57.5%48.5%50.7%10.8%-3.3%793.7K-2.7M-120.6K1.1539.20N/AN/A7168217,89311,269
2022-07-12$114.12$115.0054.1%14.7%56.8%59.5%50.9%10.4%-3.9%1.2M-6.1M-118.6K1.2335.49N/AN/A7829657,94211,357
2022-07-13$114.42$115.0052.7%15.1%50.0%55.6%58.3%9.5%-4.0%1.4M-6.9M-114.5K1.0032.05N/AN/A9809768,03211,433
2022-07-14$111.51$115.0053.5%15.3%49.1%57.8%57.3%9.1%-3.0%150.8K4.1M-109.6K2.7332.86N/AN/A8252,2538,27211,568
2022-07-15$114.22$115.0048.7%14.0%49.6%44.6%54.9%9.0%-2.1%4.6M-1.9M-108.0K2.0738.40N/AN/A1,9414,0158,34412,844
2022-07-18$116.73$115.0050.7%14.5%38.9%50.1%52.7%8.6%-4.1%-54.6K59.7K-129.5K1.2736.45N/AN/A8091,0312,6557,458
2022-07-19$123.67$115.0050.4%14.5%38.5%49.4%53.7%11.3%-3.2%91.3K-5.8M-137.1K1.6136.16N/AN/A2,1103,3952,8717,656
2022-07-20$121.97$120.0049.4%14.2%39.1%46.6%51.1%9.0%-2.4%11.8K-2.5M-193.4K2.0538.53N/AN/A8731,7894,34610,019
2022-07-21$114.92$120.0044.1%12.6%45.0%31.9%43.8%7.8%-0.1%-340.4K10.8M-194.0K1.1034.61N/AN/A1,8442,0234,71511,136
2022-07-22$117.15$120.0044.0%12.6%45.4%31.6%44.9%7.4%-0.8%-19.3K4.7M-202.8K2.0333.81N/AN/A8301,6875,53511,378
2022-07-25$114.10$120.0044.8%12.9%44.7%34.0%46.9%6.5%-1.8%-293.2K11.4M-193.1K2.9839.69N/AN/A5721,7025,73311,609
2022-07-26$110.94$120.0046.5%13.3%45.5%38.4%44.1%7.2%-1.1%-596.5K19.0M-189.7K4.2140.32N/AN/A5262,2125,78612,021
2022-07-27$112.54$120.0041.4%11.9%45.8%24.5%41.4%7.0%-0.1%-564.5K16.9M-188.9K2.4247.26N/AN/A8151,9765,85912,307
2022-07-28$117.56$120.0037.9%10.9%48.5%14.8%38.9%6.3%1.0%-47.4K5.5M-194.5K1.2843.72N/AN/A1,1141,4295,85012,334
2022-07-29$119.00$120.0038.3%11.0%46.4%16.1%38.8%6.4%0.4%330.3K-461.6K-204.8K1.3130.91N/AN/A1,0321,3546,50612,461