AN Options History — October 2022

In October 2022, AN traded between $95.50 and $108.16. ATM implied volatility averaged 53.2%, placing in the 55.8% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded above realized volatility by 0.6% (HV 20d: 52.6%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 1.72.

Notable Days

  • 2022-10-05: Highest Volume — 5,743 contracts
  • 2022-10-27: Largest IV drop — 14.6% change
  • 2022-10-03: Highest IV Rank — 71.8%
  • 2022-10-03: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$102.89$95.50$108.16$106.82$106.71
Max Pain$108.10$105.00$110.00$110.00$105.00
ATM IV53.2%43.9%58.8%58.8%44.5%
Expected Move15.6%12.6%16.9%16.9%12.7%
HV 20d52.6%36.2%58.1%57.3%36.2%
HV 60d45.0%43.3%47.3%46.5%43.9%
IV Rank55.8%29.1%71.8%71.8%30.7%
IV Percentile83.1%39.3%96.4%96.4%42.5%
Term Structure-5.5%-7.8%-1.8%-5.9%-2.0%
VWIV56.5%42.3%64.8%59.6%42.3%
Skew 25d8.5%3.2%12.4%9.3%7.4%
Skew 10d16.7%0.5%26.4%19.3%12.6%
Call IV 25d51.8%40.4%58.6%52.9%41.2%
Put IV 25d60.2%47.9%64.6%62.2%48.5%
Bid-Ask Spread %56.7635.3569.8754.2266.57
Gamma HHI0.170.120.320.120.16
Net GEX-1.0M-3.2M73.3K-469.0K73.3K
Net DEX19.4M-4.8M50.4M9.7M-4.8M
Net VEX-168.4K-188.6K-151.9K-151.9K-173.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.720.584.241.161.98
Total Volume3,0011,3625,7431,8044,920
Total OI20,06615,20024,05916,77819,792

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-10-03$106.82$110.0058.8%16.9%57.3%71.8%59.6%9.3%-5.9%-469.0K9.7M-151.9K1.1654.22N/AN/A8359695,79210,986
2022-10-04$108.16$110.0053.0%15.2%55.5%55.5%52.6%8.9%-4.4%-374.7K7.1M-155.0K0.6850.87N/AN/A1,7691,1985,95411,175
2022-10-05$105.69$110.0055.2%15.8%54.6%61.8%55.2%7.6%-1.8%-229.6K8.1M-161.7K1.0453.00N/AN/A2,8162,9277,12511,575
2022-10-06$101.80$110.0051.9%16.1%55.4%52.4%56.4%3.2%-6.1%-1.0M25.1M-174.6K0.6460.48N/AN/A1,6101,0256,81113,258
2022-10-07$100.50$110.0048.4%15.8%55.2%42.7%58.7%4.7%-5.8%-1.2M27.2M-172.3K2.0655.61N/AN/A7541,5556,95313,258
2022-10-10$102.59$110.0050.1%15.9%56.1%47.4%60.4%8.9%-6.8%-1.1M23.1M-169.9K1.6350.77N/AN/A6149987,12013,841
2022-10-11$103.75$110.0049.9%16.1%53.5%46.1%58.8%8.6%-6.7%-1.1M21.6M-170.9K1.9635.35N/AN/A5181,0137,22014,265
2022-10-12$105.02$110.0056.6%16.2%53.0%65.3%59.1%8.9%-7.4%-972.2K19.0M-173.1K1.5948.42N/AN/A5959487,26114,580
2022-10-13$105.07$110.0056.1%16.1%52.6%63.8%59.6%9.6%-7.5%-1.0M19.0M-167.4K1.3450.42N/AN/A6789097,21914,871
2022-10-14$101.94$110.0057.5%16.5%53.5%67.6%58.8%8.9%-7.6%-1.6M28.5M-167.2K0.8248.72N/AN/A1,4561,1977,23315,228
2022-10-17$102.01$110.0057.3%16.4%53.3%67.2%60.5%7.9%-7.7%-1.8M27.2M-152.7K1.9556.71N/AN/A4629006,31415,287
2022-10-18$102.23$110.0056.5%16.2%52.6%64.8%64.8%8.3%-7.8%-1.8M27.1M-154.2K3.4356.71N/AN/A5511,8886,32215,516
2022-10-19$97.68$110.0056.3%16.1%54.7%64.4%57.7%9.8%-7.5%-2.6M42.2M-159.3K1.3663.24N/AN/A1,9802,7026,39716,612
2022-10-20$95.50$105.0056.0%16.0%55.0%63.3%57.5%7.9%-3.6%-3.2M50.4M-162.0K1.2365.45N/AN/A1,5601,9146,90116,946
2022-10-21$96.81$105.0055.0%15.8%55.5%60.7%55.6%9.0%-4.4%-909.5K41.1M-158.9K1.3153.67N/AN/A1,9212,5247,29816,761
2022-10-24$100.41$105.0055.7%16.0%57.4%62.7%58.0%11.4%-6.0%-736.4K17.3M-173.0K0.9369.87N/AN/A1,1431,0674,83010,370
2022-10-25$103.28$105.0054.3%15.6%58.1%58.7%54.7%10.8%-6.3%-477.7K8.7M-181.7K0.5867.98N/AN/A1,8321,0585,42210,627
2022-10-26$102.52$105.0054.3%15.6%55.3%58.7%61.2%12.4%-6.2%-493.8K10.8M-188.6K2.6158.68N/AN/A7391,9305,80210,922
2022-10-27$105.80$105.0046.4%13.3%40.0%36.2%50.0%7.2%-2.5%-290.4K461.9K-183.5K3.5459.00N/AN/A1,2604,4645,99211,897
2022-10-28$106.30$105.0043.9%12.6%39.8%29.1%44.2%7.5%-1.8%-48.1K-2.1M-184.9K4.2466.14N/AN/A7303,0926,53513,118
2022-10-31$106.71$105.0044.5%12.7%36.2%30.7%42.3%7.4%-2.0%73.3K-4.8M-173.9K1.9866.57N/AN/A1,6533,2676,63713,155