Any antiseize compound at your auto supply outlet will do just fine. Permatex
makes the kind that mechanics like best.. Some are copper fillled, others are
aluminum filled, both work just fine. HTH

Sound like the auto supply store where I went is not well stocked.

Anyway, I have decided not to use anti-seize compound. Instead, I will
wrap the thread 3/4 way with teflon tape and leave 1/4 threaded
surface to have a solid contact. Then, I will have an easy time to
unscrew it next year while the anode rod still has contact with the
water heater body to allow it to function.

Jay Chan