AA Options History — January 2015

In January 2015, AA traded between $35.83 and $38.88. ATM implied volatility averaged 34.8%, placing in the 31.6% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 4.4% (HV 20d: 39.2%). Max pain ranged from $38.45 to $40.85. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.67.

Notable Days

  • 2015-01-12: Highest Volume — 61,970 contracts
  • 2015-01-14: Largest IV spike — 18.7% change
  • 2015-01-06: Highest IV Rank — 44.5%
  • 2015-01-06: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.63$35.83$38.88$38.23$37.61
Max Pain$38.93$38.45$40.85$38.45$38.45
ATM IV34.8%29.4%41.6%35.9%32.6%
Expected Move9.7%8.4%11.2%9.9%9.2%
HV 20d39.2%34.6%43.9%34.6%39.9%
HV 60d34.3%33.3%36.0%33.8%33.5%
IV Rank31.6%21.6%44.5%33.8%27.6%
IV Percentile71.8%46.8%92.1%78.2%66.7%
Term Structure-0.3%-2.1%1.3%-0.2%0.2%
VWIV33.8%30.2%38.5%34.4%31.9%
Skew 25d4.1%2.7%6.1%6.1%2.9%
Skew 10d8.5%5.0%12.2%9.7%6.7%
Call IV 25d33.5%28.1%38.7%34.0%31.2%
Put IV 25d37.6%31.8%44.3%40.1%34.2%
Bid-Ask Spread %3.993.016.194.623.86
Gamma HHI0.240.140.540.190.21
Net GEX4.6M1.7M9.6M4.7M3.7M
Net DEX-224.3M-456.4M-67.6M-409.2M-94.6M
Net VEX-1.6M-1.7M-1.5M-1.7M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.201.291.090.78
Total Volume23,880.37,54661,97014,00010,934
Total OI369,629.65198,322504,779476,896241,394

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$38.23$38.4535.9%9.9%34.6%33.8%34.4%6.1%-0.2%4.7M-409.2M-1.7M1.094.62N/AN/A6,7027,298256,659220,237
2015-01-05$35.95$38.4540.6%10.9%40.1%42.6%36.4%4.5%-0.9%1.7M-233.7M-1.6M1.074.43N/AN/A15,94517,061254,893222,002
2015-01-06$36.21$38.4541.6%11.2%40.2%44.5%36.6%5.7%-1.7%2.3M-250.4M-1.7M0.496.19N/AN/A8,3674,079257,358223,737
2015-01-07$37.15$38.4539.6%11.1%39.7%40.8%36.8%5.0%-0.3%3.3M-303.9M-1.7M0.924.18N/AN/A11,64410,710260,226225,625
2015-01-08$38.16$38.4537.6%10.1%40.7%37.0%35.3%4.3%-1.6%6.4M-401.5M-1.7M0.664.17N/AN/A13,1018,674263,700221,928
2015-01-09$38.74$40.8536.1%9.8%39.7%34.2%34.2%5.1%-1.3%6.1M-456.4M-1.7M0.503.23N/AN/A27,10113,426263,742223,819
2015-01-12$38.88$40.8539.2%10.7%37.9%40.0%38.2%4.5%-2.1%6.3M-441.1M-1.6M1.293.12N/AN/A27,11534,855260,270229,414
2015-01-13$37.90$40.8532.8%9.4%38.6%27.8%33.3%4.0%0.3%2.9M-340.6M-1.6M0.963.39N/AN/A25,31124,310266,718235,506
2015-01-14$35.83$40.8538.9%10.9%43.9%39.4%38.5%4.4%-1.0%4.5M-164.5M-1.5M0.754.05N/AN/A23,26317,511269,253230,944
2015-01-15$35.97$38.4537.1%10.6%42.1%36.0%37.8%3.5%0.6%9.6M-183.3M-1.6M0.573.93N/AN/A9,8065,604274,351230,428
2015-01-16$36.72$38.4535.6%10.1%40.5%33.2%34.6%4.9%-0.6%4.5M-276.2M-1.5M0.434.81N/AN/A15,9146,901269,366229,277
2015-01-20$37.37$38.4532.7%9.3%37.1%27.8%32.6%3.5%0.7%1.9M-67.6M-1.5M0.243.88N/AN/A19,0464,569107,82890,494
2015-01-21$38.26$38.4530.7%8.8%37.9%24.0%31.3%4.1%0.6%3.8M-115.7M-1.6M0.254.26N/AN/A15,6203,864117,94193,250
2015-01-22$38.47$38.4529.4%8.4%37.6%21.6%30.4%3.7%0.3%5.1M-123.1M-1.6M0.413.01N/AN/A9,0093,729120,32193,883
2015-01-23$37.90$38.4530.2%8.6%38.0%23.0%30.8%3.0%0.7%2.6M-94.7M-1.6M0.214.34N/AN/A23,0414,921121,43194,945
2015-01-26$38.64$38.4530.3%8.7%38.7%23.2%30.2%3.9%1.3%5.1M-143.4M-1.7M0.203.86N/AN/A9,7431,941130,24194,991
2015-01-27$38.26$38.4531.4%8.9%38.8%25.3%31.1%3.7%-0.4%5.5M-132.0M-1.7M0.483.45N/AN/A5,1092,437133,41995,780
2015-01-28$37.94$38.4531.6%9.0%38.9%25.8%31.5%2.8%0.1%5.4M-116.1M-1.6M0.783.85N/AN/A6,2754,898134,82097,453
2015-01-29$38.40$38.4531.5%8.8%39.2%25.4%30.6%2.7%0.2%6.6M-137.6M-1.7M1.233.24N/AN/A7,9839,789136,44898,501
2015-01-30$37.61$38.4532.6%9.2%39.9%27.6%31.9%2.9%0.2%3.7M-94.6M-1.7M0.783.86N/AN/A6,1594,775139,026102,368