AN Options History — August 2023

In August 2023, AN traded between $153.75 and $161.76. ATM implied volatility averaged 29.8%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 11.5% (HV 20d: 41.3%). Max pain ranged from $155.00 to $170.00. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.78.

Notable Days

  • 2023-08-11: Highest Volume — 1,650 contracts
  • 2023-08-18: Largest IV drop — 6.7% change
  • 2023-08-17: Highest IV Rank — 16.1%
  • 2023-08-17: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$157.42$153.75$161.76$161.02$157.16
Max Pain$160.43$155.00$170.00$170.00$160.00
ATM IV29.8%26.7%32.0%28.2%28.0%
Expected Move8.6%7.7%9.2%8.1%8.0%
HV 20d41.3%25.7%52.6%51.5%29.8%
HV 60d41.7%38.7%43.3%42.1%38.7%
IV Rank10.0%1.3%16.1%5.5%4.8%
IV Percentile4.4%0.4%9.9%0.8%0.8%
Term Structure2.7%0.7%5.1%1.1%3.6%
VWIV30.2%26.9%32.1%29.4%28.2%
Skew 25d2.8%1.6%3.3%1.6%1.7%
Skew 10d5.0%3.0%6.7%3.5%4.0%
Call IV 25d29.2%26.2%31.0%27.7%26.9%
Put IV 25d31.9%28.5%34.1%29.4%28.6%
Bid-Ask Spread %56.0631.6868.5750.0531.68
Gamma HHI0.130.100.180.140.11
Net GEX487.4K-311.5K1.5M97.0K879.1K
Net DEX-1.8M-28.4M22.4M-6.2M-13.9M
Net VEX-330.9K-348.8K-306.4K-348.8K-321.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.311.541.480.67
Total Volume542.565971,65055597
Total OI19,894.95716,71122,96020,10918,261

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-08-01$161.02$170.0028.2%8.1%51.5%5.5%29.4%1.6%1.1%97.0K-6.2M-348.8K1.4850.05N/AN/A2243319,15010,959
2023-08-02$158.66$170.0029.8%8.5%51.5%9.9%31.0%2.2%0.7%36.3K1.9M-348.1K0.9364.10N/AN/A1661549,13910,948
2023-08-03$158.97$160.0029.3%8.7%51.4%8.5%30.5%2.6%2.3%74.2K731.9K-342.6K1.2457.70N/AN/A841049,15510,925
2023-08-04$156.22$160.0029.1%8.8%51.1%8.0%30.5%3.2%2.4%-30.5K12.0M-329.5K0.3155.88N/AN/A5461679,17710,949
2023-08-07$156.06$160.0029.0%8.7%50.7%7.6%31.0%2.8%2.2%78.0K13.2M-320.7K0.4266.03N/AN/A3841629,43111,047
2023-08-08$156.03$160.0029.6%8.9%49.9%9.4%31.1%2.8%2.4%116.5K13.4M-325.0K0.7855.13N/AN/A1521189,74611,138
2023-08-09$153.75$160.0030.7%8.8%49.7%12.4%31.5%3.3%2.0%-131.6K22.4M-314.5K0.6067.61N/AN/A4822889,80411,183
2023-08-10$153.84$155.0030.4%8.7%49.7%11.5%31.3%3.1%2.3%-259.2K21.7M-306.4K0.3658.37N/AN/A9083249,66211,061
2023-08-11$160.45$155.0029.3%8.4%52.6%8.6%29.7%2.4%2.7%774.7K-7.4M-340.8K0.4565.50N/AN/A1,14150910,50011,126
2023-08-14$159.92$160.0030.6%8.8%52.5%12.0%31.6%3.2%2.3%917.2K-5.4M-345.9K0.6554.61N/AN/A43728611,23411,205
2023-08-15$156.58$160.0032.0%9.2%52.3%15.9%31.4%3.2%1.8%254.4K8.8M-343.0K0.9861.72N/AN/A18818411,51311,279
2023-08-16$154.98$160.0031.8%9.1%52.0%15.4%32.1%2.9%2.0%-86.0K15.8M-332.2K0.7361.69N/AN/A22616611,55011,410
2023-08-17$154.66$160.0032.0%9.2%51.7%16.1%30.0%3.1%2.2%-311.5K16.7M-328.8K1.0555.43N/AN/A23825111,51011,371
2023-08-18$158.19$160.0029.9%8.6%29.5%10.1%30.2%3.0%3.4%1.0M1.8M-340.2K0.7465.62N/AN/A43432311,47311,389
2023-08-21$161.76$160.0030.4%8.7%25.7%11.5%30.1%3.3%2.7%1.4M-27.8M-339.1K1.0263.20N/AN/A2572629,0557,656
2023-08-22$158.75$160.0030.5%8.8%26.0%11.9%31.0%3.0%3.1%1.1M-19.5M-341.3K0.6541.80N/AN/A2091369,2387,821
2023-08-23$161.72$160.0030.4%8.7%25.9%11.6%30.2%3.2%3.1%1.5M-28.4M-341.8K0.4863.09N/AN/A144699,3567,867
2023-08-24$155.50$160.0030.8%8.8%29.6%12.8%30.3%3.2%2.5%756.3K-11.3M-317.3K1.5468.57N/AN/A3495379,4137,872
2023-08-25$154.56$160.0029.8%8.5%29.6%9.7%30.4%2.7%3.7%503.6K-7.8M-320.4K1.2232.41N/AN/A2172659,4738,299
2023-08-28$155.71$160.0029.5%8.5%29.1%9.1%29.0%2.6%3.6%593.9K-9.4M-321.7K0.3664.42N/AN/A188689,5368,455
2023-08-29$156.83$160.0028.2%8.1%29.2%5.6%27.7%2.6%4.3%783.9K-12.7M-314.5K0.3349.29N/AN/A180599,6428,464
2023-08-30$159.34$160.0026.7%7.7%29.4%1.3%26.9%2.3%5.1%1.2M-20.6M-326.4K0.9535.57N/AN/A2392269,6918,451
2023-08-31$157.16$160.0028.0%8.0%29.8%4.8%28.2%1.7%3.6%879.1K-13.9M-321.8K0.6731.68N/AN/A58399,7588,503