AN Options History — March 2024

In March 2024, AN traded between $145.55 and $167.49. ATM implied volatility averaged 32.4%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 3.5% (HV 20d: 28.8%). Max pain ranged from $145.00 to $150.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.46.

Notable Days

  • 2024-03-15: Highest Volume — 2,622 contracts
  • 2024-03-11: Largest IV spike — 13.1% change
  • 2024-03-11: Highest IV Rank — 38.3%
  • 2024-03-05: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$155.94$145.55$167.49$152.12$166.14
Max Pain$149.75$145.00$150.00$145.00$150.00
ATM IV32.4%28.8%37.7%31.3%28.8%
Expected Move9.3%8.3%10.2%9.0%8.3%
HV 20d28.8%22.7%34.2%32.8%26.0%
HV 60d31.9%30.2%33.6%33.5%31.6%
IV Rank22.3%11.6%38.3%18.7%11.6%
IV Percentile28.1%4.4%65.1%16.3%4.4%
Term Structure1.6%-0.7%4.3%2.3%4.3%
VWIV32.6%29.5%35.9%31.5%29.5%
Skew 25d2.0%1.4%2.3%1.4%2.3%
Skew 10d4.7%3.6%5.8%4.0%4.8%
Call IV 25d31.8%28.0%34.6%30.7%28.0%
Put IV 25d33.7%30.4%36.8%32.2%30.4%
Bid-Ask Spread %31.1312.3756.1745.5812.37
Gamma HHI0.130.090.190.130.16
Net GEX2.2M712.2K3.4M1.7M3.4M
Net DEX-31.9M-54.6M-10.1M-26.0M-50.3M
Net VEX-189.7K-205.8K-175.4K-205.8K-183.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.460.064.711.210.31
Total Volume496.3972,622267181
Total OI15,327.913,08316,57015,39115,063

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-03-01$152.12$145.0031.3%9.0%32.8%18.7%31.5%1.4%2.3%1.7M-26.0M-205.8K1.2145.58N/AN/A1211467,7157,676
2024-03-04$148.55$150.0033.0%9.7%34.1%23.9%34.4%2.0%0.3%1.2M-16.9M-194.2K1.9056.17N/AN/A2414577,7647,721
2024-03-05$147.43$150.0035.5%10.2%33.5%31.7%35.5%2.3%-0.1%994.0K-15.0M-199.9K0.8251.61N/AN/A1251037,9457,731
2024-03-06$145.55$150.0034.9%10.1%33.8%29.6%35.7%2.3%-0.2%712.2K-10.1M-194.4K1.7138.96N/AN/A38658,0087,766
2024-03-07$147.51$150.0033.7%9.9%34.1%26.0%34.6%2.2%-0.0%1.1M-15.9M-194.2K0.3143.33N/AN/A148468,0347,800
2024-03-08$149.31$150.0033.3%10.0%34.2%24.9%35.9%2.1%0.1%1.5M-20.4M-193.9K2.1942.73N/AN/A1132478,1167,807
2024-03-11$147.80$150.0037.7%10.0%31.3%38.3%35.0%2.1%-0.7%1.2M-15.9M-181.7K0.0638.02N/AN/A15898,1447,925
2024-03-12$149.35$150.0034.5%9.6%31.0%28.4%34.2%2.3%0.4%1.7M-20.7M-175.4K0.4739.96N/AN/A92438,1827,927
2024-03-13$153.94$150.0033.1%9.5%29.6%24.3%33.9%1.9%0.1%2.6M-34.0M-184.7K0.7934.56N/AN/A100798,2677,933
2024-03-14$154.74$150.0033.0%9.5%26.9%24.0%33.8%2.1%-0.2%3.0M-36.1M-182.7K1.2131.12N/AN/A2753328,2997,918
2024-03-15$158.00$150.0032.5%9.3%27.5%23.4%32.3%1.8%2.0%2.0M-46.3M-190.7K0.4132.74N/AN/A1,8547688,4328,138
2024-03-18$159.54$150.0031.7%9.1%27.4%20.7%31.6%1.9%1.9%2.2M-34.5M-185.8K4.1921.05N/AN/A2138926,8986,185
2024-03-19$160.13$150.0031.2%8.9%23.8%19.0%31.8%1.8%3.0%2.4M-36.3M-186.9K2.8621.61N/AN/A1454157,0216,945
2024-03-20$160.73$150.0030.2%8.7%22.7%16.1%29.8%1.9%3.3%2.5M-37.3M-184.8K0.3022.89N/AN/A5011527,0777,229
2024-03-21$165.43$150.0030.5%8.7%23.9%16.9%30.3%1.4%3.0%3.1M-50.4M-201.3K0.1117.79N/AN/A1,0441197,5347,341
2024-03-22$162.09$150.0030.4%8.7%25.6%16.8%30.8%1.8%3.0%2.8M-41.0M-196.2K3.4819.43N/AN/A401397,5477,369
2024-03-25$161.16$150.0031.4%9.0%26.0%19.7%31.6%2.0%3.1%2.7M-37.7M-186.0K4.7118.13N/AN/A17807,5677,422
2024-03-26$161.89$150.0030.6%8.8%25.3%17.2%30.2%1.6%3.5%2.8M-39.0M-185.3K0.9617.88N/AN/A1111077,5717,464
2024-03-27$167.49$150.0029.8%8.6%27.1%14.8%30.1%2.1%3.8%3.4M-54.6M-186.6K1.1916.62N/AN/A961147,5737,504
2024-03-28$166.14$150.0028.8%8.3%26.0%11.6%29.5%2.3%4.3%3.4M-50.3M-183.5K0.3112.37N/AN/A138437,5677,496