AA Options History — February 2015

In February 2015, AA traded between $35.54 and $41.07. ATM implied volatility averaged 31.6%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 7.5% (HV 20d: 39.1%). Max pain ranged from $38.45 to $38.45. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.71.

Notable Days

  • 2015-02-09: Highest Volume — 39,655 contracts
  • 2015-02-09: Largest IV spike — 14.9% change
  • 2015-02-11: Highest IV Rank — 32.3%
  • 2015-02-11: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.04$35.54$41.07$38.62$35.54
Max Pain$38.45$38.45$38.45$38.45$38.45
ATM IV31.6%28.7%35.1%31.8%29.7%
Expected Move9.0%7.9%10.6%8.7%8.5%
HV 20d39.1%35.3%43.7%40.9%41.0%
HV 60d36.6%33.7%37.9%33.7%37.9%
IV Rank25.6%20.3%32.3%26.1%22.0%
IV Percentile60.4%42.5%77.8%63.1%49.2%
Term Structure0.4%-0.4%1.9%0.0%-0.4%
VWIV31.7%27.1%37.0%30.1%29.8%
Skew 25d3.6%2.8%4.5%4.0%3.8%
Skew 10d7.6%5.9%9.1%8.5%5.9%
Call IV 25d30.6%27.2%34.0%30.5%29.5%
Put IV 25d34.2%29.9%38.5%34.6%33.3%
Bid-Ask Spread %3.412.654.183.753.17
Gamma HHI0.250.210.310.230.22
Net GEX5.2M1.6M9.8M4.6M1.6M
Net DEX-131.5M-295.1M-9.3M-138.3M-9.3M
Net VEX-1.7M-1.8M-1.5M-1.7M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.192.120.190.65
Total Volume15,8074,68339,6558,26311,527
Total OI243,314.895225,756257,392234,487244,121

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$38.62$38.4531.8%8.7%40.9%26.1%30.1%4.0%0.0%4.6M-138.3M-1.7M0.193.75N/AN/A6,9161,347134,337100,150
2015-02-03$39.91$38.4529.5%7.9%35.3%21.7%28.1%3.2%-0.0%6.3M-208.9M-1.7M0.312.90N/AN/A18,5645,730136,221100,097
2015-02-04$39.51$38.4528.7%7.9%35.7%20.3%27.1%3.3%1.0%6.7M-199.2M-1.7M0.622.79N/AN/A8,1515,069140,662100,895
2015-02-05$41.07$38.4528.8%8.2%37.0%20.4%29.8%2.8%0.3%7.0M-295.1M-1.7M0.543.76N/AN/A15,0568,055142,67599,181
2015-02-06$39.79$38.4529.2%8.4%38.2%21.1%29.7%3.0%0.9%9.8M-232.8M-1.7M0.633.76N/AN/A12,9368,134146,272101,054
2015-02-09$37.63$38.4533.5%9.6%43.1%29.3%33.9%4.4%0.1%4.5M-107.3M-1.7M0.653.25N/AN/A24,03515,620145,126101,067
2015-02-10$38.23$38.4534.2%10.1%43.5%30.5%35.2%4.0%0.9%4.7M-158.8M-1.8M0.263.65N/AN/A31,2238,014152,814104,578
2015-02-11$37.15$38.4535.1%10.6%43.7%32.3%37.0%4.5%1.9%3.4M-83.2M-1.7M0.924.05N/AN/A7,3986,790145,085104,207
2015-02-12$37.58$38.4534.2%9.8%38.7%30.6%35.1%3.4%-0.0%3.8M-103.5M-1.7M2.123.25N/AN/A5,68012,027146,608106,231
2015-02-13$37.99$38.4533.1%9.5%38.8%28.4%34.4%3.8%0.1%5.6M-129.2M-1.7M0.902.65N/AN/A5,0304,508147,918104,336
2015-02-17$37.80$38.4533.9%9.7%38.3%30.0%34.2%3.3%0.2%5.6M-121.2M-1.7M0.794.14N/AN/A4,0563,215145,312102,464
2015-02-18$38.02$38.4533.0%9.5%37.9%28.3%34.1%3.8%0.4%6.4M-130.6M-1.7M0.804.18N/AN/A3,5012,816146,431103,290
2015-02-19$38.45$38.4532.4%9.3%37.2%27.2%32.5%3.6%0.3%7.2M-155.4M-1.7M0.402.81N/AN/A3,3501,333146,552102,991
2015-02-20$37.94$38.4530.8%8.7%37.4%24.1%30.8%3.2%1.3%5.3M-118.4M-1.6M0.363.31N/AN/A6,2432,223147,424103,217
2015-02-23$37.27$38.4531.5%8.9%37.6%25.6%31.2%3.7%0.5%4.6M-94.1M-1.6M0.533.50N/AN/A5,6953,041132,80392,953
2015-02-24$37.82$38.4529.6%8.4%37.3%21.9%28.7%3.2%0.5%5.9M-119.8M-1.6M0.402.92N/AN/A5,4962,197133,37294,211
2015-02-25$36.07$38.4530.1%8.9%40.7%22.9%31.1%3.7%-0.3%2.5M-41.5M-1.5M1.003.15N/AN/A11,61411,569134,91694,541
2015-02-26$36.33$38.4530.6%8.8%40.8%23.8%30.2%4.3%-0.0%2.8M-52.3M-1.6M1.443.81N/AN/A4,9887,186139,75299,119
2015-02-27$35.54$38.4529.7%8.5%41.0%22.0%29.8%3.8%-0.4%1.6M-9.3M-1.5M0.653.17N/AN/A6,9664,561141,286102,835