AN Options History — March 2023 In March 2023, AN traded between $124.69 and $142.76. ATM implied volatility averaged 42.1%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 8.1% (HV 20d: 50.2%). Max pain ranged from $125.00 to $135.00. Net GEX was positive for 6 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 5.57.
Notable Days 2023-03-23 : Highest Volume — 3,554 contracts2023-03-13 : Largest IV spike — 35.6% change2023-03-14 : Highest IV Rank — 85.8%2023-03-15 : Largest Expected Move — 13.4%Monthly Statistics Metric Avg Min Max Open Close Price $132.38 $124.69 $142.76 $137.47 $133.57 Max Pain $133.04 $125.00 $135.00 $135.00 $135.00 ATM IV 42.1% 31.3% 58.0% 35.8% 39.5% Expected Move 11.9% 9.0% 13.4% 10.3% 11.3% HV 20d 50.2% 34.8% 63.6% 62.3% 35.4% HV 60d 44.0% 42.9% 44.7% 43.4% 44.4% IV Rank 34.4% 0.0% 85.8% 10.7% 26.4% IV Percentile 39.8% 0.0% 98.8% 3.6% 19.8% Term Structure 0.0% -2.4% 3.8% 1.4% -1.3% VWIV 43.5% 32.3% 53.2% 33.5% 42.2% Skew 25d 7.0% 4.3% 10.3% 6.5% 4.3% Skew 10d 12.4% 1.8% 17.5% 11.2% 9.4% Call IV 25d 38.5% 29.9% 44.0% 32.2% 38.5% Put IV 25d 45.5% 34.8% 51.6% 38.7% 42.9% Bid-Ask Spread % 66.31 56.07 76.09 69.06 66.60 Gamma HHI 0.14 0.08 0.24 0.12 0.10 Net GEX -662.6K -2.6M 846.8K 159.4K -237.0K Net DEX 5.0M -44.7M 60.2M -24.2M -6.2M Net VEX -331.3K -361.3K -310.2K -357.3K -336.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 5.57 0.36 21.96 1.79 5.34 Total Volume 1,303.522 135 3,554 429 735 Total OI 26,372.87 21,336 30,653 26,712 25,094
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2023-03-01 $137.47 $135.00 35.8% 10.3% 62.3% 10.7% 33.5% 6.5% 1.4% 159.4K -24.2M -357.3K 1.79 69.06 N/A N/A 154 275 11,140 15,572 2023-03-02 $136.27 $135.00 34.0% 9.7% 61.3% 4.4% 32.6% 5.2% 2.6% -87.5K -21.1M -338.9K 0.36 73.92 N/A N/A 282 101 11,168 15,644 2023-03-03 $140.06 $135.00 31.3% 9.0% 58.9% 0.0% 32.3% 4.9% 3.8% 388.7K -34.2M -325.2K 0.74 70.68 N/A N/A 453 337 10,962 15,621 2023-03-06 $139.28 $125.00 32.6% 10.2% 58.9% 4.3% 42.5% 5.6% 0.7% 255.1K -32.2M -323.1K 1.51 59.31 N/A N/A 185 279 11,176 15,776 2023-03-07 $141.53 $125.00 33.4% 10.4% 58.8% 7.0% 40.6% 6.1% 0.5% 621.6K -40.0M -327.9K 3.42 59.59 N/A N/A 99 339 11,143 15,886 2023-03-08 $142.76 $125.00 31.5% 10.0% 58.5% 0.7% 39.3% 6.3% 1.0% 846.8K -44.7M -321.1K 3.36 57.46 N/A N/A 193 649 11,175 15,952 2023-03-09 $141.32 $125.00 38.4% 11.1% 58.6% 22.8% 39.1% 6.9% 0.3% 435.8K -38.5M -326.1K 11.79 63.54 N/A N/A 196 2,310 11,141 16,222 2023-03-10 $137.96 $130.00 42.5% 12.1% 59.4% 36.1% 44.7% 7.3% -1.5% -1.7M -7.4M -361.3K 20.24 59.60 N/A N/A 104 2,105 11,128 18,366 2023-03-13 $132.30 $135.00 57.6% 13.1% 61.4% 84.7% 53.2% 7.5% -2.4% -2.6M 27.5M -348.1K 1.43 56.16 N/A N/A 700 1,003 11,151 19,152 2023-03-14 $126.94 $135.00 58.0% 13.1% 62.8% 85.8% 45.1% 8.4% -2.4% -1.8M 53.2M -323.8K 2.98 56.07 N/A N/A 252 750 11,043 19,478 2023-03-15 $124.92 $135.00 46.8% 13.4% 61.2% 49.8% 51.7% 7.8% -2.0% -1.3M 60.2M -314.1K 5.27 65.31 N/A N/A 510 2,687 11,049 19,604 2023-03-16 $129.82 $135.00 44.0% 12.6% 63.1% 41.1% 49.0% 5.1% 0.3% -1.4M 36.7M -322.1K 5.00 76.09 N/A N/A 130 650 11,030 18,987 2023-03-17 $126.51 $135.00 46.4% 13.3% 63.6% 48.8% 50.5% 8.8% -1.7% -1.5M 45.4M -310.2K 21.96 74.41 N/A N/A 106 2,328 11,066 19,248 2023-03-20 $127.29 $135.00 45.8% 13.1% 45.4% 46.8% 44.5% 7.0% 0.5% -941.4K 19.0M -318.5K 0.63 69.14 N/A N/A 994 626 7,465 13,871 2023-03-21 $130.60 $135.00 43.4% 12.4% 34.8% 39.1% 45.7% 8.1% 0.4% -682.5K 10.1M -333.7K 17.15 66.92 N/A N/A 60 1,029 8,168 14,229 2023-03-22 $127.75 $135.00 43.4% 12.4% 35.3% 39.1% 47.3% 10.3% 0.2% -878.1K 19.4M -331.4K 7.37 75.09 N/A N/A 144 1,061 8,185 14,241 2023-03-23 $125.01 $135.00 46.5% 13.3% 35.7% 48.9% 45.7% 10.1% -1.2% -1.3M 30.6M -329.8K 0.66 64.22 N/A N/A 2,136 1,418 8,102 14,789 2023-03-24 $124.69 $135.00 46.2% 13.2% 34.9% 47.9% 47.7% 7.0% -0.8% -1.0M 24.2M -348.3K 4.11 72.44 N/A N/A 206 847 8,952 15,104 2023-03-27 $127.22 $135.00 45.0% 12.9% 35.9% 44.0% 46.1% 7.6% -0.4% -884.9K 17.7M -335.1K 8.24 67.74 N/A N/A 231 1,903 9,156 15,252 2023-03-28 $128.96 $135.00 41.6% 11.9% 36.1% 33.2% 41.8% 6.8% 2.1% -661.4K 12.8M -328.7K 0.63 57.80 N/A N/A 464 292 9,241 15,224 2023-03-29 $130.35 $135.00 42.4% 12.2% 36.4% 35.9% 43.8% 7.7% -0.3% -566.9K 7.3M -325.5K 1.50 73.30 N/A N/A 54 81 9,486 15,336 2023-03-30 $132.16 $135.00 41.8% 12.0% 36.7% 34.0% 42.3% 5.4% 0.3% -328.3K -576.5K -333.2K 2.63 70.56 N/A N/A 144 379 9,474 15,327 2023-03-31 $133.57 $135.00 39.5% 11.3% 35.4% 26.4% 42.2% 4.3% -1.3% -237.0K -6.2M -336.3K 5.34 66.60 N/A N/A 116 619 9,547 15,547
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