AN Options History — September 2024

In September 2024, AN traded between $158.48 and $181.85. ATM implied volatility averaged 33.6%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 2.1% (HV 20d: 31.5%). Max pain ranged from $165.00 to $180.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.45.

Notable Days

  • 2024-09-10: Highest Volume — 1,786 contracts
  • 2024-09-10: Largest IV spike — 9.1% change
  • 2024-09-10: Highest IV Rank — 40.9%
  • 2024-09-10: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$170.32$158.48$181.85$172.19$178.62
Max Pain$166.50$165.00$180.00$180.00$165.00
ATM IV33.6%31.1%38.0%33.1%33.0%
Expected Move9.6%8.9%10.6%9.5%9.5%
HV 20d31.5%30.3%34.4%30.3%32.5%
HV 60d38.5%38.1%38.9%38.1%38.9%
IV Rank28.0%20.9%40.9%26.5%26.4%
IV Percentile45.4%23.0%71.4%46.4%45.6%
Term Structure2.5%-0.3%6.2%0.6%6.1%
VWIV33.5%30.8%36.5%32.0%33.7%
Skew 25d4.5%3.4%5.8%4.8%4.2%
Skew 10d9.5%7.9%12.2%9.8%8.2%
Call IV 25d31.3%29.1%34.3%30.0%31.3%
Put IV 25d35.8%33.2%40.2%34.8%35.5%
Bid-Ask Spread %66.7558.2374.4768.2372.95
Gamma HHI0.110.080.180.080.10
Net GEX-63.9K-481.3K515.9K-139.9K468.1K
Net DEX-6.0M-18.2M7.1M-5.1M-15.6M
Net VEX-102.3K-108.3K-97.0K-101.9K-97.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.194.051.191.50
Total Volume233.1341,7865790
Total OI6,058.25,6476,8245,6475,954

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-09-03$172.19$180.0033.1%9.5%30.3%26.5%32.0%4.8%0.6%-139.9K-5.1M-101.9K1.1968.23N/AN/A26312,2373,410
2024-09-04$168.44$180.0033.1%9.5%31.2%26.7%34.5%5.1%0.5%-229.6K-1.8M-101.4K1.6567.12N/AN/A46762,2413,410
2024-09-05$166.25$165.0034.0%9.8%31.0%29.3%33.2%4.7%0.3%-314.3K-133.6K-99.6K3.5660.49N/AN/A9322,2473,408
2024-09-06$162.31$165.0036.1%10.4%30.6%35.3%35.4%5.4%0.2%-374.5K3.3M-98.2K1.5060.24N/AN/A1271912,2523,397
2024-09-09$163.79$165.0034.9%10.1%30.8%31.7%34.9%4.0%0.0%-371.1K1.8M-99.8K0.8461.79N/AN/A64542,2973,431
2024-09-10$159.05$165.0038.0%10.6%32.2%40.9%36.5%5.8%-0.3%-417.7K6.0M-98.3K4.0558.23N/AN/A3541,4322,2873,425
2024-09-11$158.48$165.0036.0%10.3%31.4%34.9%35.9%5.3%-0.0%-481.3K7.1M-107.6K0.1961.74N/AN/A3772,5403,799
2024-09-12$161.08$165.0035.3%10.1%31.8%32.8%34.2%4.0%0.6%-445.6K3.9M-106.8K0.7160.00N/AN/A51362,5533,784
2024-09-13$166.22$165.0034.1%9.8%31.3%29.4%33.7%4.9%1.1%-351.1K-2.0M-108.3K0.9663.70N/AN/A80772,5513,758
2024-09-16$167.35$165.0035.3%10.1%31.3%32.9%35.5%4.9%0.4%-338.9K-3.3M-106.5K1.2762.59N/AN/A15192,5593,798
2024-09-17$169.48$165.0034.2%9.8%31.6%29.9%33.7%4.5%1.1%-262.4K-5.9M-106.1K2.0466.71N/AN/A2404892,5643,798
2024-09-18$170.71$165.0033.8%9.7%31.7%28.6%32.5%5.1%1.2%-236.9K-6.7M-108.3K0.3166.86N/AN/A72222,5734,183
2024-09-19$177.49$165.0031.8%9.1%34.4%23.0%30.8%3.8%4.9%294.9K-15.3M-101.7K1.0270.88N/AN/A52532,6184,171
2024-09-20$174.96$165.0031.5%9.0%34.0%21.9%31.5%3.9%4.4%-142.5K-13.0M-100.3K1.2069.54N/AN/A45542,6534,171
2024-09-23$176.68$165.0031.1%8.9%30.8%20.9%32.2%4.1%5.6%393.5K-13.6M-99.5K2.4772.61N/AN/A511262,4053,281
2024-09-24$178.51$165.0031.2%8.9%30.5%21.1%32.1%3.4%5.4%406.8K-14.9M-101.9K0.7972.42N/AN/A99782,4413,344
2024-09-25$175.07$165.0031.8%9.1%30.5%23.0%33.5%3.9%5.7%331.8K-11.9M-103.5K1.1673.34N/AN/A63732,4803,404
2024-09-26$177.81$165.0031.6%9.1%31.0%22.3%31.8%4.2%5.5%417.9K-14.5M-100.0K1.0071.19N/AN/A37372,4793,375
2024-09-27$181.85$165.0031.9%9.2%32.0%23.3%31.5%3.7%6.2%515.9K-18.2M-99.3K1.5874.47N/AN/A841332,4943,392
2024-09-30$178.62$165.0033.0%9.5%32.5%26.4%33.7%4.2%6.1%468.1K-15.6M-97.0K1.5072.95N/AN/A36542,5733,381