AN Options History — December 2022

In December 2022, AN traded between $104.04 and $121.75. ATM implied volatility averaged 40.0%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 9.0% (HV 20d: 30.9%). Max pain ranged from $110.00 to $120.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 3.32.

Notable Days

  • 2022-12-21: Highest Volume — 6,913 contracts
  • 2022-12-14: Largest IV drop — 23.0% change
  • 2022-12-13: Highest IV Rank — 38.3%
  • 2022-12-21: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.32$104.04$121.75$121.75$107.07
Max Pain$115.71$110.00$120.00$115.00$110.00
ATM IV40.0%36.3%47.1%37.7%39.2%
Expected Move10.9%10.3%12.1%10.8%11.2%
HV 20d30.9%24.6%37.5%35.1%29.6%
HV 60d42.6%36.5%45.2%44.7%36.5%
IV Rank17.8%7.6%38.3%11.6%12.0%
IV Percentile18.4%2.4%57.5%6.3%11.9%
Term Structure2.7%-1.4%5.2%-1.4%4.3%
VWIV39.8%35.1%44.4%35.7%39.6%
Skew 25d5.6%3.9%7.2%5.2%6.0%
Skew 10d10.5%7.4%14.0%8.4%11.1%
Call IV 25d35.9%33.6%41.7%35.4%36.1%
Put IV 25d41.5%38.9%47.6%40.6%42.1%
Bid-Ask Spread %64.5854.4577.0361.3366.52
Gamma HHI0.170.120.240.240.16
Net GEX-461.4K-2.5M1.9M1.9M-2.2M
Net DEX10.1M-32.5M50.7M-32.5M30.8M
Net VEX-227.4K-279.5K-191.8K-220.9K-246.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.320.267.740.465.77
Total Volume1,840.4762936,9133131,469
Total OI22,771.8118,37427,91118,37427,499

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$121.75$115.0037.7%10.8%35.1%11.6%35.7%5.2%-1.4%1.9M-32.5M-220.9K0.4661.33N/AN/A215989,3659,009
2022-12-02$121.16$115.0036.4%10.4%35.3%7.9%36.7%3.9%-1.3%1.8M-30.1M-216.2K1.5768.00N/AN/A1231939,3779,033
2022-12-05$117.00$115.0040.5%10.5%37.5%19.3%40.3%6.1%3.9%1.1M-15.1M-199.5K3.9562.72N/AN/A1295099,3759,058
2022-12-06$119.50$115.0039.4%10.4%35.9%16.3%35.1%5.3%4.0%1.5M-22.5M-209.2K6.8765.02N/AN/A1541,0589,4149,370
2022-12-07$119.36$120.0040.2%10.5%34.7%18.5%37.5%5.7%4.7%1.3M-18.7M-214.1K0.5062.26N/AN/A2431219,4809,924
2022-12-08$117.83$120.0038.6%10.3%34.4%14.0%44.4%5.1%3.8%938.8K-12.7M-210.0K7.7462.21N/AN/A1381,0689,6639,999
2022-12-09$116.44$120.0040.3%10.6%24.7%19.0%36.4%5.1%4.7%621.0K-7.8M-208.2K1.2954.45N/AN/A2373059,75910,678
2022-12-12$117.59$120.0046.9%10.5%24.6%37.5%42.1%5.6%4.9%630.6K-10.3M-205.6K3.5764.58N/AN/A1164149,82510,887
2022-12-13$113.63$120.0047.1%10.3%27.2%38.3%41.0%5.8%3.7%-279.8K4.6M-191.8K4.6462.43N/AN/A1687809,80411,136
2022-12-14$114.16$120.0036.3%10.4%27.3%7.6%37.3%5.7%2.6%-419.8K3.2M-192.0K2.0366.76N/AN/A1,2742,5839,76711,441
2022-12-15$114.63$120.0037.3%10.7%27.4%10.4%36.2%4.0%3.1%-859.0K3.2M-222.3K0.2658.78N/AN/A1,69143510,97413,435
2022-12-16$111.20$120.0038.9%11.1%29.0%14.8%38.4%6.3%0.8%-38.1K13.9M-219.4K1.7463.72N/AN/A1,4102,45611,72113,571
2022-12-19$108.16$120.0039.6%11.4%30.2%17.0%42.6%7.2%1.9%-1.2M31.2M-223.8K3.7569.31N/AN/A7912,9668,14012,852
2022-12-20$104.20$115.0042.3%12.1%32.2%24.4%44.0%6.3%0.6%-1.6M43.5M-227.7K3.9970.83N/AN/A1,0464,1757,56014,533
2022-12-21$104.20$115.0042.3%12.1%30.4%24.7%44.3%5.9%1.2%-1.7M44.0M-246.8K6.2877.03N/AN/A9495,9648,09515,658
2022-12-22$104.04$110.0038.6%11.1%30.4%14.1%40.7%5.7%2.1%-2.5M50.7M-279.5K4.0262.12N/AN/A5252,1128,82819,083
2022-12-23$106.91$110.0038.5%11.0%32.0%13.8%39.0%5.3%5.2%-2.1M35.6M-266.9K1.9273.77N/AN/A3105968,76118,521
2022-12-27$107.14$110.0040.0%11.5%32.1%17.9%40.7%6.3%3.3%-2.1M32.2M-264.8K2.3362.01N/AN/A882058,90218,667
2022-12-28$105.78$110.0039.7%11.4%29.9%17.2%41.4%5.0%2.5%-2.3M39.1M-251.8K3.3160.27N/AN/A2137058,92618,716
2022-12-29$107.03$110.0039.8%11.4%29.9%17.5%42.7%5.6%3.1%-2.1M30.0M-258.4K3.7962.13N/AN/A1294898,92618,476
2022-12-30$107.07$110.0039.2%11.2%29.6%12.0%39.6%6.0%4.3%-2.2M30.8M-246.0K5.7766.52N/AN/A2171,2528,99718,502