AA Options History — November 2014

In November 2014, AA traded between $39.05 and $42.29. ATM implied volatility averaged 28.5%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 3.4% (HV 20d: 31.9%). Max pain ranged from $36.05 to $43.25. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.89.

Notable Days

  • 2014-11-21: Highest Volume — 32,488 contracts
  • 2014-11-06: Largest IV drop — 6.2% change
  • 2014-11-05: Highest IV Rank — 27.0%
  • 2014-11-05: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.54$39.05$42.29$40.68$41.55
Max Pain$38.71$36.05$43.25$36.05$43.25
ATM IV28.5%25.7%32.3%30.5%26.2%
Expected Move9.2%8.3%9.6%9.2%8.8%
HV 20d31.9%24.8%41.7%40.1%27.5%
HV 60d30.2%28.8%31.5%28.8%31.5%
IV Rank19.9%14.5%27.0%23.7%15.5%
IV Percentile44.5%25.8%69.4%57.1%29.8%
Term Structure0.2%-0.6%1.6%1.2%-0.2%
VWIV32.5%29.8%34.4%33.3%32.8%
Skew 25d3.7%1.7%4.7%3.9%3.5%
Skew 10d8.4%5.3%10.5%7.6%7.1%
Call IV 25d27.7%24.1%30.8%29.8%25.4%
Put IV 25d31.4%27.7%35.3%33.7%28.9%
Bid-Ask Spread %5.014.096.914.965.65
Gamma HHI0.230.150.350.190.16
Net GEX7.3M3.8M13.6M5.9M5.7M
Net DEX-593.5M-749.4M-463.0M-634.0M-618.8M
Net VEX-2.2M-2.5M-2.0M-2.5M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.121.830.900.30
Total Volume17,294.3166,78132,48819,22810,618
Total OI519,751.895490,502531,056531,056507,753

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$40.68$36.0530.5%9.2%40.1%23.7%33.3%3.9%1.2%5.9M-634.0M-2.5M0.904.96N/AN/A10,1219,107279,698251,358
2014-11-04$39.84$36.0531.5%9.4%41.0%25.5%33.7%3.7%-0.1%5.8M-572.7M-2.4M0.784.64N/AN/A6,8305,330279,986248,875
2014-11-05$39.05$36.0532.3%9.6%41.7%27.0%34.0%4.5%-0.6%4.4M-463.0M-2.5M1.235.01N/AN/A4,2475,226273,493249,468
2014-11-06$39.31$36.0530.3%9.5%38.6%23.3%32.7%4.7%-0.2%4.9M-507.0M-2.4M1.634.45N/AN/A6,68210,905273,100250,834
2014-11-07$39.27$38.4529.3%9.4%37.7%21.3%33.0%3.9%0.3%3.8M-480.2M-2.4M1.834.68N/AN/A4,7338,672274,577253,841
2014-11-10$39.19$38.4529.4%9.4%33.7%21.6%32.5%3.3%1.1%4.4M-489.9M-2.3M1.035.70N/AN/A5,4245,614269,893248,652
2014-11-11$39.51$38.4528.8%9.3%33.7%20.4%32.0%3.6%1.1%5.1M-508.9M-2.4M0.984.19N/AN/A5,5685,439270,223247,085
2014-11-12$40.61$38.4527.8%9.2%34.4%18.5%32.0%4.5%-0.4%7.6M-623.4M-2.2M0.824.09N/AN/A9,1507,459273,467249,257
2014-11-13$40.27$38.4527.7%9.2%34.8%18.3%31.9%3.5%-0.1%8.6M-576.7M-2.3M1.794.84N/AN/A9,66217,282276,554251,171
2014-11-14$40.71$38.4528.3%9.2%26.6%19.5%32.7%3.8%-0.5%10.4M-618.7M-2.3M1.165.42N/AN/A10,81812,562275,031247,773
2014-11-17$40.44$38.4528.3%9.1%26.8%19.4%32.6%4.3%-0.1%7.6M-612.3M-2.2M1.765.27N/AN/A6,32011,094275,179249,793
2014-11-18$41.24$38.4528.5%9.2%24.8%19.9%33.3%3.8%0.6%8.1M-661.7M-2.2M0.514.56N/AN/A17,3328,760275,859254,629
2014-11-19$40.11$38.4528.0%9.2%26.8%18.8%32.6%3.9%1.6%7.6M-576.1M-2.1M0.126.17N/AN/A13,7071,614276,986248,995
2014-11-20$41.12$38.4528.2%9.3%28.0%19.2%34.4%3.3%0.4%10.6M-671.2M-2.1M0.564.24N/AN/A13,1467,338273,406247,231
2014-11-21$41.93$38.4527.5%9.2%27.9%18.0%31.9%3.8%-0.6%13.6M-749.4M-2.0M0.385.03N/AN/A23,4948,994277,534249,310
2014-11-24$41.38$0.0027.5%8.7%28.0%17.8%31.3%3.4%-0.5%6.1M-594.2M-2.1M0.314.54N/AN/A14,2564,436250,909239,593
2014-11-25$41.76$43.2526.0%8.6%27.7%15.1%29.8%1.7%0.2%7.8M-641.6M-2.0M0.586.91N/AN/A12,5497,322254,950242,298
2014-11-26$42.29$43.2525.7%8.3%26.4%14.5%30.3%3.6%-0.1%9.7M-676.6M-2.0M0.264.93N/AN/A5,3901,391259,798246,727
2014-11-28$41.55$43.2526.2%8.8%27.5%15.5%32.8%3.5%-0.2%5.7M-618.8M-2.1M0.305.65N/AN/A8,1572,461260,342247,411