AN Options History — September 2023

In September 2023, AN traded between $150.06 and $160.71. ATM implied volatility averaged 33.9%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 2.5% (HV 20d: 31.4%). Max pain ranged from $155.00 to $160.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.81.

Notable Days

  • 2023-09-20: Highest Volume — 1,911 contracts
  • 2023-09-15: Largest IV spike — 16.2% change
  • 2023-09-27: Highest IV Rank — 42.9%
  • 2023-09-27: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$153.67$150.06$160.71$160.71$151.13
Max Pain$158.75$155.00$160.00$160.00$155.00
ATM IV33.9%25.2%41.1%25.2%37.8%
Expected Move9.9%7.2%11.8%7.2%10.8%
HV 20d31.4%27.6%35.8%30.1%29.8%
HV 60d37.8%36.2%38.5%38.2%37.7%
IV Rank23.5%0.0%42.9%0.0%33.9%
IV Percentile28.3%0.0%65.9%0.0%49.2%
Term Structure2.1%-0.4%5.5%5.5%2.1%
VWIV34.7%26.2%40.7%26.2%37.6%
Skew 25d3.3%1.9%5.9%1.9%3.2%
Skew 10d5.9%0.3%16.6%2.8%6.7%
Call IV 25d33.1%24.4%39.1%24.4%36.5%
Put IV 25d36.5%26.3%43.9%26.3%39.7%
Bid-Ask Spread %66.0641.7375.8671.5467.70
Gamma HHI0.140.110.180.110.15
Net GEX229.8K-594.2K1.5M1.5M-144.3K
Net DEX-3.7M-23.8M9.9M-23.8M3.4M
Net VEX-306.1K-319.1K-276.1K-315.3K-295.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.139.740.701.67
Total Volume617.41631,911179879
Total OI19,825.618,29721,10218,29721,102

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$160.71$160.0025.2%7.2%30.1%0.0%26.2%1.9%5.5%1.5M-23.8M-315.3K0.7071.54N/AN/A105749,7698,528
2023-09-05$160.03$160.0028.0%9.1%30.2%7.5%31.1%2.8%2.4%1.4M-21.1M-309.3K0.4264.36N/AN/A2401029,7768,579
2023-09-06$156.61$160.0029.8%9.4%31.2%12.6%32.1%3.5%1.9%667.5K-11.1M-301.2K1.9769.33N/AN/A1563079,8078,635
2023-09-07$152.59$160.0030.4%9.4%32.2%14.0%31.9%3.1%3.0%-106.1K2.0M-294.5K0.1367.41N/AN/A741999,8398,820
2023-09-08$151.73$160.0028.4%9.4%32.3%8.8%32.0%2.3%3.0%-47.0K1.6M-296.1K0.7475.17N/AN/A16011810,3888,868
2023-09-11$150.06$160.0032.4%9.4%28.2%19.4%32.7%3.2%2.0%-594.2K9.9M-276.1K2.1170.44N/AN/A26455810,5089,072
2023-09-12$150.84$160.0033.4%9.0%28.3%22.2%31.3%2.5%3.4%-471.7K7.7M-295.5K0.4968.03N/AN/A1738410,6339,565
2023-09-13$151.34$160.0032.2%9.2%27.6%18.9%32.5%3.0%2.9%-566.8K6.3M-302.1K0.3565.95N/AN/A31310910,7039,585
2023-09-14$158.81$160.0031.5%9.0%32.5%17.0%33.8%4.6%2.5%995.0K-16.8M-319.1K0.4770.70N/AN/A48922810,9269,629
2023-09-15$152.45$160.0036.6%10.5%35.8%30.7%35.5%3.1%-0.4%4612.0M-314.4K0.5575.86N/AN/A54329711,2089,730
2023-09-18$155.08$160.0033.2%9.5%35.4%21.5%33.7%2.4%2.4%213.5K-7.5M-311.1K0.8265.45N/AN/A1841509,8549,151
2023-09-19$155.85$160.0034.0%9.8%34.4%23.9%34.0%3.5%1.9%348.9K-9.6M-316.8K1.0161.30N/AN/A81829,9619,191
2023-09-20$154.47$160.0034.0%9.7%33.9%23.6%34.3%3.4%2.0%360.9K-6.9M-313.0K9.7466.02N/AN/A1781,73310,4209,210
2023-09-21$153.18$160.0035.9%10.3%33.2%28.8%36.6%3.5%2.0%315.8K-4.9M-313.4K0.2367.41N/AN/A61414010,5269,080
2023-09-22$150.56$160.0037.4%10.7%30.8%32.8%38.4%4.5%1.4%-8.8K3.7M-302.6K2.2864.79N/AN/A24255211,1129,128
2023-09-25$151.57$155.0038.0%10.9%30.9%34.4%38.9%3.3%2.0%64.6K-1.4M-313.3K2.8661.52N/AN/A19756311,3039,408
2023-09-26$151.50$155.0040.6%11.6%30.7%41.5%40.6%3.5%0.5%132.2K-677.6K-307.3K1.1264.07N/AN/A15016811,3909,352
2023-09-27$152.41$155.0041.1%11.8%30.7%42.9%40.7%3.6%-0.0%299.6K-4.0M-310.0K2.4341.73N/AN/A16439911,4289,328
2023-09-28$152.56$155.0038.4%11.0%30.0%35.6%40.1%5.9%1.8%286.9K-3.4M-314.9K6.1262.54N/AN/A10061211,5249,476
2023-09-29$151.13$155.0037.8%10.8%29.8%33.9%37.6%3.2%2.1%-144.3K3.4M-295.4K1.6767.70N/AN/A32955011,5319,571