AN Options History — November 2023

In November 2023, AN traded between $131.09 and $140.58. ATM implied volatility averaged 32.9%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 3.8% (HV 20d: 36.6%). Max pain ranged from $135.00 to $150.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 2.06.

Notable Days

  • 2023-11-16: Highest Volume — 2,501 contracts
  • 2023-11-16: Largest IV spike — 14.8% change
  • 2023-11-16: Highest IV Rank — 33.7%
  • 2023-11-16: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$134.61$131.09$140.58$132.59$134.75
Max Pain$139.05$135.00$150.00$150.00$135.00
ATM IV32.9%31.0%36.2%34.4%33.1%
Expected Move9.4%8.9%10.4%9.9%9.5%
HV 20d36.6%27.6%43.5%33.3%43.1%
HV 60d33.7%31.3%35.8%31.3%35.6%
IV Rank23.5%17.7%33.7%28.1%24.3%
IV Percentile23.1%12.7%45.6%29.8%25.8%
Term Structure-0.4%-1.9%0.6%-0.0%-1.5%
VWIV33.1%30.5%36.4%35.8%32.8%
Skew 25d3.8%2.7%5.1%4.7%2.7%
Skew 10d6.1%-6.3%14.2%8.1%5.1%
Call IV 25d31.3%29.5%33.6%33.2%32.2%
Put IV 25d35.2%33.3%38.7%37.9%35.0%
Bid-Ask Spread %42.3116.4476.3960.1934.40
Gamma HHI0.190.070.710.200.07
Net GEX-1.1M-7.7M536.8K-1.5M210.2K
Net DEX7.4M-19.0M31.3M31.3M-485.2K
Net VEX-248.3K-288.7K-213.3K-266.6K-241.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.060.169.640.741.14
Total Volume563.048382,501369120
Total OI21,195.76217,88324,08322,28219,721

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$132.59$150.0034.4%9.9%33.3%28.1%35.8%4.7%-0.0%-1.5M31.3M-266.6K0.7460.19N/AN/A21215711,89010,392
2023-11-02$134.97$145.0032.4%9.5%29.7%22.2%33.7%4.5%0.3%-1.6M24.8M-278.4K0.4436.04N/AN/A2159511,89910,497
2023-11-03$140.06$145.0031.0%9.1%32.3%17.7%30.5%4.1%0.4%-1.4M8.8M-288.7K0.1659.64N/AN/A1,02616111,96810,496
2023-11-06$136.19$145.0033.8%9.5%33.8%26.4%31.9%4.5%0.1%-1.5M20.0M-279.0K0.9547.73N/AN/A11510912,79210,501
2023-11-07$135.17$140.0032.9%9.3%30.3%23.6%32.6%4.0%0.2%-1.6M24.0M-267.1K4.6229.18N/AN/A219712,84410,563
2023-11-08$134.13$140.0032.5%9.3%29.3%22.4%33.8%4.2%0.1%-1.6M10.9M-264.4K0.8834.96N/AN/A37933412,8509,296
2023-11-09$131.19$140.0033.9%9.7%28.5%26.5%34.0%4.5%-0.3%-1.5M18.6M-249.9K1.8426.30N/AN/A509212,9949,175
2023-11-10$132.93$140.0031.4%9.0%29.0%19.0%31.7%4.1%0.6%-1.7M13.1M-257.7K0.4932.84N/AN/A1748513,0229,209
2023-11-13$132.26$140.0033.8%9.7%27.6%26.3%34.0%4.0%-0.6%-2.0M15.7M-242.9K1.5837.05N/AN/A16125513,0019,183
2023-11-14$139.98$140.0031.2%8.9%34.7%18.4%31.6%3.8%0.0%-642.1K-15.7M-261.1K0.6669.39N/AN/A64142513,0869,288
2023-11-15$140.58$140.0031.5%9.0%34.5%19.4%31.6%3.5%-0.1%-411.2K-19.0M-266.2K0.1652.15N/AN/A71011713,4559,526
2023-11-16$131.20$140.0036.2%10.4%41.1%33.7%36.4%5.1%-1.1%-2.1M23.8M-235.7K1.5871.05N/AN/A9711,53014,0249,531
2023-11-17$135.44$135.0032.6%9.4%42.7%22.8%32.8%3.8%-0.2%-7.7M3.4M-238.1K3.7773.72N/AN/A16261114,05710,026
2023-11-20$135.88$135.0033.6%9.6%42.2%25.8%35.8%3.4%-0.8%536.8K-6.8M-241.0K3.1624.13N/AN/A10834111,4746,409
2023-11-21$132.84$135.0032.7%9.4%42.7%23.1%33.2%3.1%-0.7%213.1K408.2K-222.8K7.4476.39N/AN/A8966211,4966,625
2023-11-22$133.25$135.0031.8%9.1%42.4%20.4%32.2%3.1%-0.4%201.8K375.8K-230.0K0.8830.70N/AN/A403511,5167,182
2023-11-24$134.60$135.0031.6%9.1%42.0%19.6%33.6%3.0%-0.3%298.8K-1.9M-232.1K1.3820.29N/AN/A162211,5427,196
2023-11-27$131.09$135.0033.9%9.7%43.2%26.7%33.9%3.4%-1.6%-26.3K5.1M-213.3K1.2323.83N/AN/A668111,5497,211
2023-11-28$132.87$135.0032.7%9.4%43.3%23.0%32.6%3.6%-1.4%117.5K1.6M-215.2K0.5916.44N/AN/A1337811,5477,196
2023-11-29$134.78$135.0033.2%9.5%43.5%24.4%31.0%3.1%-1.9%330.0K-2.8M-221.6K9.6432.14N/AN/A1061,02211,6367,246
2023-11-30$134.75$135.0033.1%9.5%43.1%24.3%32.8%2.7%-1.5%210.2K-485.2K-241.5K1.1434.40N/AN/A566411,6108,111