AN Options History — September 2022

In September 2022, AN traded between $100.80 and $122.33. ATM implied volatility averaged 47.0%, placing in the 39.1% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 8.8% (HV 20d: 38.3%). Max pain ranged from $115.00 to $130.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.56.

Notable Days

  • 2022-09-07: Highest Volume — 4,064 contracts
  • 2022-09-29: Largest IV spike — 27.5% change
  • 2022-09-29: Highest IV Rank — 81.8%
  • 2022-09-29: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.73$100.80$122.33$122.33$101.91
Max Pain$119.29$115.00$130.00$130.00$115.00
ATM IV47.0%36.2%62.4%42.8%59.4%
Expected Move13.6%11.4%17.9%12.3%17.0%
HV 20d38.3%33.0%53.7%36.2%53.7%
HV 60d42.9%39.5%47.4%46.6%45.5%
IV Rank39.1%8.5%81.8%28.3%73.5%
IV Percentile63.6%7.1%98.8%49.6%97.2%
Term Structure-0.4%-6.6%5.5%2.7%-4.4%
VWIV49.0%41.6%63.5%43.5%59.0%
Skew 25d6.7%4.0%10.8%5.4%10.2%
Skew 10d12.9%5.5%24.9%8.2%18.2%
Call IV 25d44.7%38.4%55.5%39.7%53.6%
Put IV 25d51.4%42.4%66.3%45.1%63.9%
Bid-Ask Spread %51.8336.4365.5256.7554.79
Gamma HHI0.200.090.630.300.13
Net GEX-830.7K-2.6M-10.5K-1.6M-690.3K
Net DEX15.8M1.1M35.1M14.6M18.6M
Net VEX-132.9K-168.6K-115.2K-163.9K-146.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.560.4811.265.092.47
Total Volume1,506.1432224,0647553,358
Total OI15,282.42911,44918,26517,60315,230

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$122.33$130.0042.8%12.3%36.2%28.3%43.5%5.4%2.7%-1.6M14.6M-163.9K5.0956.75N/AN/A1246315,22612,377
2022-09-02$121.89$130.0039.7%11.4%36.2%19.9%41.6%4.0%5.5%-1.8M16.9M-168.6K11.2665.52N/AN/A465185,23012,706
2022-09-06$116.21$120.0045.9%13.5%38.8%36.9%47.9%6.6%-0.8%-2.0M34.8M-156.2K2.5243.63N/AN/A9792,4665,23512,724
2022-09-07$119.54$120.0041.4%13.0%39.5%23.0%49.2%6.9%-0.2%-1.2M16.4M-132.6K6.3136.43N/AN/A5563,5085,25811,223
2022-09-08$116.94$120.0043.2%13.1%39.3%28.1%44.4%6.8%-0.1%-1.1M21.8M-136.0K0.4843.30N/AN/A150726,02311,310
2022-09-09$117.90$120.0036.2%12.2%39.4%8.5%48.4%6.6%1.0%-1.2M20.6M-130.0K0.8544.35N/AN/A3693146,06011,333
2022-09-12$116.82$120.0045.7%12.4%39.3%35.2%44.6%6.3%0.2%-1.1M22.0M-120.6K2.1344.11N/AN/A952026,21811,388
2022-09-13$110.70$120.0049.8%12.9%43.2%46.7%47.1%4.9%0.2%-1.0M35.1M-116.1K2.1244.95N/AN/A5231,1086,26811,414
2022-09-14$113.22$120.0044.0%12.6%35.5%30.5%45.2%4.3%0.8%-1.1M26.3M-115.2K0.4855.23N/AN/A1,0715176,33511,166
2022-09-15$111.00$120.0045.9%13.1%34.8%35.6%48.9%6.6%0.9%-629.8K25.0M-128.9K0.7150.32N/AN/A7735497,17511,090
2022-09-16$109.80$120.0045.8%13.1%34.6%35.5%49.8%5.5%0.3%-2.6M20.9M-128.2K1.4450.85N/AN/A1,1241,6227,68710,554
2022-09-19$110.94$120.0045.4%13.0%35.2%34.2%46.3%6.2%0.0%-74.5K3.7M-125.2K0.7445.47N/AN/A4903614,3587,091
2022-09-20$107.94$120.0046.6%13.4%36.0%37.6%45.8%6.2%-0.4%-126.8K5.6M-128.7K1.5857.16N/AN/A1161834,6287,297
2022-09-21$108.20$120.0046.4%13.3%35.9%37.1%45.8%5.5%-0.1%-115.7K5.3M-122.0K2.5559.64N/AN/A2015134,6767,293
2022-09-22$107.42$115.0047.8%13.7%35.5%41.0%48.3%6.7%-1.3%-135.1K6.4M-126.9K1.3054.75N/AN/A1491944,8417,644
2022-09-23$106.65$115.0049.9%14.3%33.5%46.7%51.8%6.6%-1.4%-151.9K7.4M-130.3K2.0257.69N/AN/A1984004,9377,680
2022-09-26$105.98$115.0051.1%14.6%33.0%50.2%54.3%7.3%-2.2%-151.6K7.5M-125.2K1.6353.68N/AN/A4417204,9737,653
2022-09-27$107.60$115.0049.7%14.2%33.1%46.3%50.8%7.3%-1.8%-138.5K6.2M-126.7K1.1356.72N/AN/A4615224,9437,671
2022-09-28$112.63$115.0048.9%14.0%38.0%44.2%53.4%9.4%-1.4%-10.5K1.1M-131.0K2.1057.51N/AN/A6341,3304,9517,717
2022-09-29$100.80$115.0062.4%17.9%53.3%81.8%63.5%10.8%-6.6%-426.6K15.4M-131.3K4.7555.58N/AN/A7033,3385,1538,195
2022-09-30$101.91$115.0059.4%17.0%53.7%73.5%59.0%10.2%-4.4%-690.3K18.6M-146.9K2.4754.79N/AN/A9672,3915,2899,941