AIA Options History — November 2020

In November 2020, AIA traded between $75.31 and $83.96. ATM implied volatility averaged 25.2%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 5.1% (HV 20d: 20.0%). Max pain ranged from $74.00 to $75.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.06.

Notable Days

  • 2020-11-30: Highest Volume — 103 contracts
  • 2020-11-17: Largest IV spike — 30.8% change
  • 2020-11-03: Highest IV Rank — 21.3%
  • 2020-11-03: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.64$75.31$83.96$75.31$81.72
Max Pain$74.85$74.00$75.00$74.00$75.00
ATM IV25.2%18.6%30.8%30.8%26.3%
Expected Move7.0%5.3%8.8%8.8%7.6%
HV 20d20.0%16.1%21.9%16.1%21.9%
HV 60d17.5%16.4%17.9%16.4%17.9%
IV Rank15.5%8.8%21.3%21.3%16.7%
IV Percentile39.2%6.3%67.5%67.5%46.0%
Term Structure-2.2%-6.0%5.6%-2.8%-4.9%
VWIV20.6%12.0%25.8%25.8%17.6%
Skew 25d3.7%-6.7%14.6%-6.7%4.8%
Skew 10d5.7%-3.8%19.2%-2.7%2.9%
Call IV 25d22.2%12.0%30.8%30.8%21.5%
Put IV 25d25.9%21.7%34.8%24.2%26.4%
Bid-Ask Spread %136.80119.35149.87124.96140.50
Gamma HHI0.540.240.910.410.75
Net GEX-65.5K-131.5K-891-131.5K-45.6K
Net DEX63.9K-143.9K911.5K911.5K-79.7K
Net VEX-1.3K-3.5K-76-3.5K-431
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.005.000.000.00
Total Volume6.601030103
Total OI391.1176475469181

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$75.31$74.0030.8%8.8%16.1%21.3%0.0%-6.7%-2.8%-131.5K911.5K-3.5K0.00124.96N/AN/A0054415
2020-11-03$76.39$74.0030.8%8.8%16.7%21.3%0.0%4.8%-0.1%-115.8K736.4K-3.3K0.00125.80N/AN/A1054415
2020-11-04$78.60$74.0025.8%7.4%18.3%16.2%0.0%5.5%-4.0%-113.6K192.6K-2.4K0.00119.35N/AN/A0055415
2020-11-05$80.08$75.0027.8%6.8%19.2%18.2%25.8%2.0%-1.3%-81.7K30.8K-2.1K2.00144.22N/AN/A2455415
2020-11-06$79.99$75.0029.6%7.9%19.2%20.0%0.0%-1.4%-6.0%-85.8K32.7K-2.0K0.00126.24N/AN/A0055419
2020-11-09$80.30$75.0030.1%6.8%18.8%20.6%25.5%1.6%-2.0%-79.0K-51.5K-1.7K0.00142.44N/AN/A0155419
2020-11-10$79.06$75.0024.2%6.6%19.9%14.5%0.0%0.8%-1.1%-106.2K135.8K-2.1K0.00145.97N/AN/A1055419
2020-11-11$79.50$75.0023.9%6.8%19.7%14.2%0.0%14.6%0.9%-79.9K67.1K-1.9K0.00145.23N/AN/A0056419
2020-11-12$78.84$75.0022.9%6.6%19.3%13.2%0.0%1.3%-1.9%-102.4K154.9K-2.1K0.00143.07N/AN/A0056419
2020-11-13$80.76$75.0024.3%7.0%20.7%14.7%0.0%1.6%2.1%-63.8K-128.4K-1.3K0.00137.91N/AN/A0056419
2020-11-16$82.34$75.0018.6%5.3%21.3%8.8%12.0%3.5%5.6%-43.1K435-7570.00147.51N/AN/A1020419
2020-11-17$82.07$75.0024.3%7.0%21.4%14.7%0.0%2.2%-3.0%-44.8K21.0K-8630.00132.95N/AN/A0021419
2020-11-18$81.99$75.0026.6%7.6%21.5%17.0%0.0%9.6%-4.5%-46.7K-14.7K-7650.00129.23N/AN/A0022419
2020-11-19$81.67$75.0022.1%6.4%21.7%12.5%20.0%5.2%-5.3%-37.8K-142.6K-761.00139.12N/AN/A1122419
2020-11-20$82.22$75.0022.6%6.5%21.7%12.9%22.8%9.4%-1.4%-52.8K-78.4K-4980.50131.20N/AN/A2122420
2020-11-23$82.33$75.0023.9%6.8%21.0%14.2%17.6%0.8%-4.9%-34.0K-120.7K-2035.00134.68N/AN/A21019157
2020-11-24$83.07$75.0022.8%6.5%21.0%13.1%0.0%7.1%-5.5%-25.0K-113.1K-3040.00138.19N/AN/A0021158
2020-11-25$82.56$75.0022.8%6.5%20.2%13.1%0.0%0.8%-1.8%-891-143.9K-1010.00149.87N/AN/A0021158
2020-11-27$83.96$75.0023.0%6.6%20.5%13.3%0.0%6.6%-2.6%-19.7K-131.9K-2060.00137.53N/AN/A2021158
2020-11-30$81.72$75.0026.3%7.6%21.9%16.7%0.0%4.8%-4.9%-45.6K-79.7K-4310.00140.50N/AN/A010323158