AN Options History — December 2023

In December 2023, AN traded between $134.42 and $152.13. ATM implied volatility averaged 33.0%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 5.7% (HV 20d: 38.6%). Max pain ranged from $135.00 to $140.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.62.

Notable Days

  • 2023-12-14: Highest Volume — 1,807 contracts
  • 2023-12-13: Largest IV drop — 14.4% change
  • 2023-12-11: Highest IV Rank — 39.7%
  • 2023-12-07: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$144.15$134.42$152.13$139.59$150.84
Max Pain$137.50$135.00$140.00$135.00$140.00
ATM IV33.0%29.6%38.2%31.5%29.6%
Expected Move9.1%8.5%9.4%9.0%8.5%
HV 20d38.6%33.6%45.1%44.4%34.1%
HV 60d36.5%33.9%37.8%36.1%36.9%
IV Rank23.9%13.4%39.7%19.2%13.4%
IV Percentile27.0%6.7%59.5%15.9%6.7%
Term Structure4.4%-0.7%6.5%-0.7%6.5%
VWIV33.0%31.2%35.1%32.5%31.9%
Skew 25d2.8%1.8%3.8%3.4%2.0%
Skew 10d4.9%2.4%6.8%5.7%3.4%
Call IV 25d30.9%29.2%32.4%30.1%29.2%
Put IV 25d33.7%31.2%34.7%33.5%31.2%
Bid-Ask Spread %49.9224.6974.8246.5751.29
Gamma HHI0.090.070.160.080.10
Net GEX829.0K254.1K2.5M752.7K1.0M
Net DEX-18.9M-42.5M-1.0M-11.6M-27.6M
Net VEX-250.0K-272.9K-223.0K-250.0K-254.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.185.321.462.33
Total Volume434.1501,80722450
Total OI18,827.7516,20421,16819,77317,320

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$139.59$135.0031.5%9.0%44.4%19.2%32.5%3.4%-0.7%752.7K-11.6M-250.0K1.4646.57N/AN/A9113311,6318,142
2023-12-04$139.02$135.0034.3%9.1%42.4%27.9%31.6%3.8%3.7%736.5K-10.6M-242.3K1.7870.06N/AN/A508911,6818,133
2023-12-05$135.00$135.0035.3%9.3%42.6%30.8%34.4%3.7%3.7%254.1K-1.0M-233.9K1.4270.40N/AN/A10514911,6868,155
2023-12-06$135.51$135.0035.3%9.3%42.5%30.9%33.3%3.7%3.7%313.4K-1.9M-234.8K1.0568.26N/AN/A626511,7448,229
2023-12-07$135.65$135.0035.8%9.4%42.4%32.5%34.9%3.4%4.0%325.7K-2.6M-231.7K0.9629.85N/AN/A949011,7838,246
2023-12-08$136.53$135.0033.8%9.2%41.6%26.3%34.9%3.6%4.1%389.6K-3.6M-237.0K3.4166.64N/AN/A6823211,8328,313
2023-12-11$136.17$135.0038.2%9.3%41.4%39.7%32.3%3.5%4.3%310.0K-3.0M-227.5K0.4131.55N/AN/A48519711,8588,419
2023-12-12$134.42$135.0037.4%9.1%41.6%37.2%31.6%3.2%4.7%321.8K-1.5M-223.0K0.7824.69N/AN/A947312,2178,534
2023-12-13$139.50$135.0032.0%9.2%38.6%20.8%32.7%3.1%3.6%912.9K-16.5M-233.5K1.4374.82N/AN/A13018612,2858,733
2023-12-14$148.91$135.0032.5%9.3%45.1%22.4%32.5%1.8%5.2%2.5M-42.5M-254.5K0.1829.24N/AN/A1,52528212,3468,822
2023-12-15$147.20$140.0031.8%9.1%36.8%20.3%32.9%3.2%4.1%723.5K-34.9M-255.3K0.9166.68N/AN/A90181912,0448,908
2023-12-18$147.45$140.0031.5%9.0%35.5%19.5%33.5%3.0%4.5%744.4K-20.4M-261.7K1.7047.97N/AN/A2343988,2417,963
2023-12-19$150.79$140.0030.9%8.9%36.0%17.5%32.7%2.0%5.1%1.0M-28.1M-266.5K4.1948.16N/AN/A1094578,3558,197
2023-12-20$149.07$140.0032.3%9.3%35.1%21.8%33.7%2.1%4.4%852.9K-24.3M-268.5K0.5549.69N/AN/A138768,4018,518
2023-12-21$152.03$140.0032.6%9.4%35.4%22.8%32.8%2.2%4.2%1.1M-30.7M-268.9K0.4942.74N/AN/A204998,4648,556
2023-12-22$150.95$140.0031.4%9.0%35.7%19.1%32.6%2.0%5.1%1.0M-29.0M-272.9K1.1456.24N/AN/A50578,6088,574
2023-12-26$152.13$140.0032.2%9.2%33.6%21.4%35.1%2.0%5.2%1.2M-31.7M-263.9K5.3232.92N/AN/A693678,6068,605
2023-12-27$150.71$140.0031.1%8.9%34.1%18.0%33.1%2.1%5.8%1.0M-28.0M-260.3K1.2357.64N/AN/A1581958,6208,503
2023-12-28$151.53$140.0030.4%8.7%34.0%16.1%31.2%2.0%6.0%1.1M-29.3M-260.1K1.7332.94N/AN/A37648,6238,660
2023-12-29$150.84$140.0029.6%8.5%34.1%13.4%31.9%2.0%6.5%1.0M-27.6M-254.5K2.3351.29N/AN/A15358,6378,683