AN Options History — November 2022

In November 2022, AN traded between $106.29 and $124.25. ATM implied volatility averaged 41.4%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 1.0% (HV 20d: 42.4%). Max pain ranged from $105.00 to $115.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 3.27.

Notable Days

  • 2022-11-02: Highest Volume — 4,474 contracts
  • 2022-11-03: Largest IV drop — 6.3% change
  • 2022-11-02: Highest IV Rank — 39.2%
  • 2022-11-02: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.03$106.29$124.25$111.96$124.25
Max Pain$110.48$105.00$115.00$105.00$115.00
ATM IV41.4%35.4%47.5%45.3%35.4%
Expected Move11.7%10.2%13.6%13.0%10.2%
HV 20d42.4%38.6%48.8%39.8%38.6%
HV 60d45.7%44.3%46.4%44.7%44.9%
IV Rank21.9%5.1%39.2%32.9%5.1%
IV Percentile24.5%0.8%58.7%46.8%0.8%
Term Structure-0.4%-4.0%1.9%-2.2%0.7%
VWIV42.7%35.6%54.6%44.6%35.6%
Skew 25d6.5%5.3%9.1%6.8%5.4%
Skew 10d12.5%7.3%17.4%14.0%9.7%
Call IV 25d38.8%34.2%43.7%42.2%34.2%
Put IV 25d45.3%39.7%49.2%49.1%39.7%
Bid-Ask Spread %48.4532.0562.1256.6352.42
Gamma HHI0.190.140.250.160.25
Net GEX1.4M315.3K2.6M972.6K1.8M
Net DEX-34.5M-67.1M-1.8M-24.3M-36.0M
Net VEX-184.9K-203.2K-167.6K-180.9K-203.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.270.218.424.240.21
Total Volume2,742.7141684,4743,6371,981
Total OI21,265.47614,81827,24021,08217,155

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$111.96$105.0045.3%13.0%39.8%32.9%44.6%6.8%-2.2%972.6K-24.3M-180.9K4.2456.63N/AN/A6942,9437,74813,334
2022-11-02$106.96$105.0047.5%13.6%42.4%39.2%54.6%5.5%-4.0%449.2K-7.2M-183.8K8.4262.12N/AN/A4753,9997,98213,505
2022-11-03$107.93$110.0044.5%12.2%40.0%30.8%41.2%5.9%-0.5%550.8K-9.6M-180.7K5.2145.65N/AN/A6193,2258,00913,866
2022-11-04$106.29$110.0046.0%12.5%40.1%35.2%42.6%7.7%-0.8%315.3K-1.8M-181.2K6.2052.67N/AN/A5673,5158,16713,947
2022-11-07$110.41$110.0046.4%12.2%41.6%36.2%41.4%8.2%-0.3%967.2K-17.1M-174.6K6.9744.85N/AN/A4713,2828,22114,392
2022-11-08$113.71$110.0045.5%11.9%42.5%33.6%42.6%9.1%-0.7%1.5M-30.6M-167.6K6.5844.68N/AN/A4563,0008,30014,638
2022-11-09$111.87$110.0044.0%12.6%43.1%29.5%41.3%7.7%-0.6%1.2M-23.9M-172.9K2.1649.58N/AN/A1,3522,9148,42014,637
2022-11-10$119.71$110.0041.6%11.9%48.8%22.5%43.1%7.1%-0.2%2.1M-56.8M-176.6K3.1832.05N/AN/A9082,8909,44314,674
2022-11-11$121.05$110.0041.6%11.9%46.8%22.7%44.9%7.1%-0.5%2.2M-63.6M-196.1K3.0644.36N/AN/A9432,88410,41314,744
2022-11-14$121.25$110.0042.9%12.3%46.8%26.1%44.2%7.4%-1.4%2.4M-67.1M-186.8K2.4843.68N/AN/A5681,41110,55314,920
2022-11-15$120.67$110.0041.4%11.9%47.0%22.0%46.1%5.7%-0.4%2.4M-66.3M-190.0K2.5341.24N/AN/A8842,23310,68715,184
2022-11-16$120.01$110.0040.8%11.7%42.8%20.4%43.7%6.8%0.2%2.6M-63.2M-195.8K2.1554.91N/AN/A7491,61411,03015,653
2022-11-17$120.47$110.0040.6%11.6%41.2%19.7%44.3%5.7%-0.1%2.4M-65.8M-191.9K2.3950.30N/AN/A7491,79211,04815,786
2022-11-18$119.32$110.0039.2%11.2%41.8%15.9%41.8%6.5%0.9%891.8K-48.8M-189.2K1.6556.74N/AN/A1,0851,79211,05716,183
2022-11-21$117.89$110.0038.6%11.1%41.4%13.9%41.2%5.8%0.3%919.1K-18.3M-182.1K2.3551.17N/AN/A5351,2557,0277,791
2022-11-22$120.71$110.0036.8%10.5%41.1%8.8%39.1%5.7%1.9%1.2M-25.3M-186.8K2.0539.87N/AN/A5331,0917,0908,117
2022-11-23$119.54$110.0036.6%10.5%41.2%8.4%38.4%5.7%0.3%1.1M-21.4M-187.5K1.8643.67N/AN/A5741,0707,1348,209
2022-11-25$121.12$115.0037.1%10.6%40.3%9.7%47.5%5.3%1.1%1.2M-25.7M-188.7K1.5143.72N/AN/A671017,3098,313
2022-11-28$119.67$115.0039.2%11.2%40.9%15.9%39.9%5.3%-1.0%1.1M-23.4M-179.7K3.1453.95N/AN/A2267107,3928,311
2022-11-29$122.84$115.0037.5%10.7%41.5%10.8%37.7%5.4%-0.6%1.3M-29.2M-186.3K0.2853.19N/AN/A1,1253157,4238,763
2022-11-30$124.25$115.0035.4%10.2%38.6%5.1%35.6%5.4%0.7%1.8M-36.0M-203.2K0.2152.42N/AN/A1,6393428,2698,886