AN Options History — January 2024

In January 2024, AN traded between $134.93 and $149.88. ATM implied volatility averaged 38.3%, placing in the 40.0% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 6.2% (HV 20d: 32.1%). Max pain ranged from $140.00 to $145.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 2.43.

Notable Days

  • 2024-01-10: Highest Volume — 2,896 contracts
  • 2024-01-10: Largest IV spike — 16.5% change
  • 2024-01-31: Highest IV Rank — 68.6%
  • 2024-01-31: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$141.09$134.93$149.88$149.88$139.83
Max Pain$144.52$140.00$145.00$140.00$145.00
ATM IV38.3%31.6%47.6%31.6%47.6%
Expected Move11.3%9.1%13.7%9.1%13.7%
HV 20d32.1%28.0%37.2%32.5%32.1%
HV 60d36.0%35.1%36.9%35.5%36.5%
IV Rank40.0%19.8%68.6%19.8%68.6%
IV Percentile59.8%20.2%95.6%20.2%95.6%
Term Structure-2.5%-8.8%5.8%5.7%-8.8%
VWIV40.7%32.2%48.0%32.5%48.0%
Skew 25d3.2%0.9%4.3%1.6%2.3%
Skew 10d5.5%-1.3%11.3%2.3%1.4%
Call IV 25d38.6%32.0%47.1%32.0%47.1%
Put IV 25d41.7%33.6%49.3%33.6%49.3%
Bid-Ask Spread %65.0954.5772.9163.0760.19
Gamma HHI0.090.070.120.100.09
Net GEX233.2K-575.4K893.7K893.7K282.8K
Net DEX-5.8M-24.8M9.3M-24.8M-4.4M
Net VEX-214.4K-247.8K-195.4K-247.8K-213.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.430.0214.180.821.53
Total Volume511.19892,896440223
Total OI16,964.14312,43221,73217,33613,140

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-01-02$149.88$140.0031.6%9.1%32.5%19.8%32.5%1.6%5.7%893.7K-24.8M-247.8K0.8263.07N/AN/A2421988,6428,694
2024-01-03$143.32$140.0032.0%9.2%36.7%20.8%32.2%0.9%5.8%197.4K-10.8M-234.1K1.6154.57N/AN/A801298,6618,826
2024-01-04$141.38$145.0032.6%11.1%35.3%22.8%37.6%4.1%-1.6%-78.8K-5.1M-228.6K0.3858.22N/AN/A227878,6368,873
2024-01-05$140.81$145.0031.7%10.9%35.4%20.0%43.2%3.8%-1.4%-111.9K-4.8M-226.3K1.1160.71N/AN/A47528,7668,898
2024-01-08$143.66$145.0032.2%10.9%35.9%21.6%39.1%3.6%-1.2%167.3K-10.7M-225.9K0.0260.67N/AN/A1,070268,7798,940
2024-01-09$142.48$145.0032.3%11.0%36.1%21.8%37.9%3.2%-0.8%713.9K-10.6M-221.4K1.6962.69N/AN/A851449,6798,949
2024-01-10$142.75$145.0037.6%10.8%36.1%38.1%39.9%3.4%-1.7%791.0K-11.8M-220.5K0.4164.65N/AN/A2,0598379,6908,980
2024-01-11$141.05$145.0038.0%10.9%36.0%39.1%41.7%4.3%-1.6%581.1K-6.0M-228.9K4.8867.10N/AN/A13666311,6389,796
2024-01-12$134.93$145.0038.0%10.9%37.2%39.2%41.0%3.5%-1.0%-575.4K9.3M-205.6K3.1761.14N/AN/A27185911,5869,580
2024-01-16$137.35$145.0040.4%11.6%28.7%46.5%43.8%3.5%-2.6%-313.3K1.7M-203.5K14.1866.96N/AN/A6085111,6889,230
2024-01-17$139.33$145.0040.3%11.5%29.3%46.1%42.1%3.8%-2.8%-169.9K-2.1M-211.4K3.2165.95N/AN/A7825011,7149,904
2024-01-18$140.78$145.0039.3%11.3%29.6%43.2%39.8%3.5%-2.0%43.9K-6.7M-208.1K0.4268.47N/AN/A1857811,7349,945
2024-01-19$140.91$145.0039.2%11.2%28.2%42.9%39.4%3.3%-3.2%-16.7K-8.9M-208.0K0.8666.76N/AN/A13711811,8089,924
2024-01-22$142.75$145.0039.6%11.3%28.6%43.9%41.5%3.8%-3.8%521.0K-6.6M-210.5K1.2864.38N/AN/A941206,2146,218
2024-01-23$140.04$145.0040.0%11.5%28.0%45.4%40.9%3.5%-3.9%297.1K-2.8M-201.2K1.2368.25N/AN/A70866,2846,313
2024-01-24$137.04$145.0041.3%11.8%28.7%49.1%41.8%3.3%-4.2%6.7K2.2M-195.4K0.6069.76N/AN/A1721046,3326,379
2024-01-25$137.97$145.0040.9%11.7%28.6%48.1%42.7%2.9%-4.4%101.6K702.7K-200.2K2.8770.39N/AN/A23666,4826,450
2024-01-26$139.65$145.0040.8%11.7%29.2%47.7%41.0%2.8%-4.8%260.6K-2.2M-199.2K8.3572.91N/AN/A171426,4956,442
2024-01-29$143.58$145.0043.0%12.3%31.1%54.5%42.9%3.2%-6.8%646.7K-8.5M-204.9K0.3471.66N/AN/A3121056,5066,397
2024-01-30$143.41$145.0045.1%12.9%31.1%60.7%46.0%2.0%-7.6%657.2K-8.8M-208.0K2.0968.49N/AN/A751576,5816,454
2024-01-31$139.83$145.0047.6%13.7%32.1%68.6%48.0%2.3%-8.8%282.8K-4.4M-213.0K1.5360.19N/AN/A881356,5906,550