AN Options History — January 2023

In January 2023, AN traded between $107.28 and $125.69. ATM implied volatility averaged 40.0%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 11.1% (HV 20d: 28.9%). Max pain ranged from $110.00 to $125.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 2.01.

Notable Days

  • 2023-01-10: Highest Volume — 2,931 contracts
  • 2023-01-11: Largest IV spike — 13.7% change
  • 2023-01-31: Highest IV Rank — 36.4%
  • 2023-01-31: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$114.01$107.28$125.69$107.28$125.69
Max Pain$115.00$110.00$125.00$110.00$110.00
ATM IV40.0%33.6%46.4%40.8%46.4%
Expected Move11.7%10.3%13.3%11.7%13.3%
HV 20d28.9%26.6%32.6%29.8%28.4%
HV 60d35.0%32.3%36.8%35.6%32.3%
IV Rank17.1%0.0%36.4%16.8%36.4%
IV Percentile21.0%0.0%56.3%23.0%56.3%
Term Structure-2.0%-8.6%4.2%4.2%-8.6%
VWIV41.6%38.0%47.4%42.0%46.5%
Skew 25d6.1%4.6%8.2%6.2%5.7%
Skew 10d14.6%7.4%23.1%12.4%9.0%
Call IV 25d38.4%34.4%44.1%37.8%44.1%
Put IV 25d44.5%40.9%49.9%44.0%49.9%
Bid-Ask Spread %72.3851.8884.6665.6761.81
Gamma HHI0.150.100.230.170.11
Net GEX-669.0K-2.5M774.9K-2.2M774.9K
Net DEX-4.0M-33.3M29.0M29.0M-33.3M
Net VEX-217.2K-234.7K-189.0K-232.1K-233.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.010.216.021.501.76
Total Volume982.152242,931756470
Total OI24,360.8515,30631,82227,47417,246

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-01-03$107.28$110.0040.8%11.7%29.8%16.8%42.0%6.2%4.2%-2.2M29.0M-232.1K1.5065.67N/AN/A3024549,06018,414
2023-01-04$109.82$110.0038.5%11.1%29.5%9.3%38.0%5.0%3.0%-1.6M14.8M-221.1K2.2070.96N/AN/A3698129,17418,251
2023-01-05$109.25$125.0036.9%11.7%28.0%4.5%41.6%8.1%0.9%-1.8M14.8M-225.0K4.8069.10N/AN/A442119,35817,855
2023-01-06$110.93$125.0035.7%11.4%28.9%0.9%41.7%8.2%1.2%-1.5M5.9M-210.7K0.5274.01N/AN/A147779,39117,894
2023-01-09$110.66$125.0036.1%11.1%28.7%2.0%41.1%6.9%1.3%-1.5M6.0M-196.0K3.6368.06N/AN/A2117669,48617,899
2023-01-10$113.02$125.0033.6%10.5%29.7%0.0%39.1%7.3%0.9%-810.8K-6.5M-189.0K0.9772.58N/AN/A1,4881,4439,44017,722
2023-01-11$115.65$120.0038.1%10.9%30.7%13.0%38.5%5.3%-0.3%122.0K-17.9M-212.1K0.2174.49N/AN/A1,19625510,06118,641
2023-01-12$115.96$120.0036.0%10.3%28.1%7.0%47.4%5.9%0.8%384.3K-21.5M-194.4K6.0278.06N/AN/A814889,50418,663
2023-01-13$110.81$120.0039.6%11.3%32.5%17.0%40.1%5.2%-0.2%-1.6M4.5M-204.1K3.9084.66N/AN/A4381,7099,49619,062
2023-01-17$109.51$120.0040.7%11.7%32.6%20.2%43.8%8.0%-1.3%-2.5M16.7M-210.2K2.3982.05N/AN/A4641,1089,67220,220
2023-01-18$110.27$110.0040.4%11.6%31.0%19.4%40.7%5.0%-1.4%-2.0M8.2M-209.7K0.9979.03N/AN/A6526439,97220,255
2023-01-19$110.45$110.0040.2%11.5%29.3%18.9%41.4%7.1%-1.4%-1.8M4.5M-213.6K1.9283.63N/AN/A43383010,34920,506
2023-01-20$113.44$110.0040.2%11.5%26.9%18.8%41.5%6.0%-3.1%115.0K-14.9M-223.7K1.2074.52N/AN/A24229110,90220,920
2023-01-23$115.59$110.0041.7%12.0%27.3%23.2%40.7%5.5%-4.5%155.9K-8.0M-221.5K0.9877.22N/AN/A4484416,1169,190
2023-01-24$114.47$110.0042.1%12.1%27.7%24.1%42.1%4.6%-5.6%131.0K-5.3M-224.3K0.7777.40N/AN/A2571996,4319,358
2023-01-25$115.85$110.0043.7%12.5%26.6%28.7%42.5%5.7%-7.7%296.6K-9.8M-228.3K1.3951.88N/AN/A3164386,6629,442
2023-01-26$116.98$110.0042.7%12.2%26.7%25.9%41.8%5.6%-5.8%446.3K-12.9M-230.1K2.2664.46N/AN/A1212746,9609,653
2023-01-27$121.16$110.0041.7%12.0%28.0%23.2%41.8%6.0%-5.3%678.4K-23.6M-234.7K1.8574.44N/AN/A1653057,0279,826
2023-01-30$123.31$110.0045.3%13.0%28.2%33.3%40.3%5.5%-7.7%756.1K-30.6M-230.9K0.9563.49N/AN/A5405157,12010,019
2023-01-31$125.69$110.0046.4%13.3%28.4%36.4%46.5%5.7%-8.6%774.9K-33.3M-233.3K1.7661.81N/AN/A1703007,00210,244