AA Options History — March 2015 In March 2015, AA traded between $30.52 and $36.45. ATM implied volatility averaged 36.0%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 1.5% (HV 20d: 34.4%). Max pain ranged from $33.64 to $37.25. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.84.
Notable Days 2015-03-09 : Highest Volume — 40,830 contracts2015-03-04 : Largest IV spike — 11.6% change2015-03-13 : Highest IV Rank — 41.3%2015-03-16 : Largest Expected Move — 11.3%Monthly Statistics Metric Avg Min Max Open Close Price $32.53 $30.52 $36.45 $35.95 $31.09 Max Pain $35.12 $33.64 $37.25 $37.25 $33.64 ATM IV 36.0% 29.4% 39.9% 29.8% 35.0% Expected Move 10.4% 8.5% 11.3% 8.6% 10.4% HV 20d 34.4% 29.6% 40.8% 40.8% 29.6% HV 60d 37.7% 36.4% 39.4% 37.9% 37.0% IV Rank 33.9% 21.5% 41.3% 22.3% 32.0% IV Percentile 80.0% 46.4% 92.9% 50.0% 75.8% Term Structure -0.0% -1.9% 3.4% 2.0% -0.7% VWIV 36.6% 29.4% 39.8% 30.2% 37.6% Skew 25d 3.2% 2.4% 4.1% 2.4% 2.8% Skew 10d 6.9% 5.1% 8.4% 6.5% 6.9% Call IV 25d 35.2% 28.7% 39.2% 29.4% 34.4% Put IV 25d 38.5% 31.3% 43.0% 31.7% 37.1% Bid-Ask Spread % 3.27 2.41 4.72 3.25 3.09 Gamma HHI 0.18 0.13 0.42 0.24 0.15 Net GEX -61.2K -4.3M 4.1M 2.5M 488.5K Net DEX 57.0M -63.9M 109.3M -34.0M 77.3M Net VEX -1.6M -1.6M -1.4M -1.5M -1.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.84 0.35 2.17 0.35 0.94 Total Volume 17,218.636 7,831 40,830 9,733 14,037 Total OI 293,091.318 240,177 332,639 240,177 316,362
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-03-02 $35.95 $37.25 29.8% 8.6% 40.8% 22.3% 30.2% 2.4% 2.0% 2.5M -34.0M -1.5M 0.35 3.25 N/A N/A 7,200 2,533 138,658 101,519 2015-03-03 $36.45 $37.25 29.4% 8.5% 39.9% 21.5% 29.4% 2.7% 2.8% 4.1M -63.9M -1.5M 0.84 3.22 N/A N/A 6,341 5,337 140,951 102,077 2015-03-04 $35.04 $37.25 32.8% 9.6% 39.5% 27.9% 33.1% 2.9% 2.1% 1.0M 937.5K -1.5M 0.58 3.00 N/A N/A 20,934 12,222 142,945 104,412 2015-03-05 $34.56 $36.05 33.4% 10.4% 39.6% 29.0% 35.2% 3.1% 3.4% 637.5K 11.8M -1.6M 1.62 4.72 N/A N/A 12,956 20,971 153,067 110,551 2015-03-06 $34.72 $36.05 33.6% 10.2% 36.1% 29.4% 35.0% 3.4% 2.0% 1.0M 9.2M -1.6M 2.17 3.47 N/A N/A 6,451 13,990 156,386 114,830 2015-03-09 $32.92 $36.05 37.3% 10.4% 38.7% 36.3% 37.3% 4.1% -1.2% -943.4K 67.1M -1.4M 0.56 3.25 N/A N/A 26,142 14,688 152,084 110,995 2015-03-10 $32.44 $36.05 38.6% 11.2% 34.7% 38.9% 38.1% 3.9% 0.0% -724.8K 70.2M -1.5M 1.06 3.36 N/A N/A 10,025 10,633 167,984 118,504 2015-03-11 $32.66 $36.05 38.8% 10.7% 34.0% 39.1% 37.7% 3.1% -1.4% -433.7K 62.6M -1.5M 0.59 2.68 N/A N/A 7,052 4,151 173,940 122,561 2015-03-12 $33.16 $36.05 37.1% 10.5% 34.1% 36.1% 36.1% 3.3% -0.4% 255.1K 39.3M -1.6M 0.46 2.85 N/A N/A 5,373 2,458 177,866 124,413 2015-03-13 $32.61 $36.05 39.9% 11.2% 33.6% 41.3% 39.8% 3.8% -1.9% -933.5K 54.9M -1.6M 1.00 3.27 N/A N/A 10,327 10,340 180,203 124,567 2015-03-16 $31.94 $36.05 39.5% 11.3% 33.3% 40.6% 39.7% 3.9% -1.3% -344.0K 79.2M -1.6M 1.02 2.98 N/A N/A 8,045 8,189 182,012 127,363 2015-03-17 $31.38 $36.05 38.9% 11.1% 33.4% 39.4% 39.3% 3.4% -0.7% -825.7K 100.2M -1.5M 0.76 2.41 N/A N/A 7,767 5,895 184,996 132,633 2015-03-18 $31.91 $33.64 38.8% 11.1% 34.3% 39.2% 39.2% 3.1% -1.4% -343.3K 79.9M -1.6M 0.98 3.94 N/A N/A 8,278 8,090 189,014 134,400 2015-03-19 $31.14 $33.64 37.9% 10.9% 33.8% 37.5% 38.2% 3.6% -0.4% -1.5M 108.9M -1.5M 0.81 3.13 N/A N/A 7,260 5,894 191,695 136,027 2015-03-20 $31.17 $33.64 36.6% 10.5% 34.1% 35.2% 36.9% 2.6% -0.4% -4.3M 106.9M -1.5M 0.84 3.15 N/A N/A 6,044 5,094 195,090 137,549 2015-03-23 $31.24 $33.64 36.5% 10.5% 34.2% 34.8% 37.3% 3.1% -1.8% -112.3K 73.0M -1.6M 0.43 4.17 N/A N/A 11,504 4,953 158,154 126,196 2015-03-24 $31.46 $33.64 35.4% 10.4% 33.6% 32.9% 36.5% 2.9% -0.3% 232.7K 67.0M -1.6M 0.62 3.02 N/A N/A 6,851 4,272 164,072 130,442 2015-03-25 $31.17 $33.64 35.3% 10.5% 30.4% 32.6% 36.3% 2.9% 0.2% 49.0K 74.6M -1.6M 0.59 3.12 N/A N/A 5,134 3,034 166,918 132,457 2015-03-26 $31.00 $33.64 35.8% 10.6% 29.9% 33.6% 37.2% 2.9% -0.7% -216.4K 83.5M -1.6M 1.23 3.26 N/A N/A 8,989 11,035 169,030 133,642 2015-03-27 $30.52 $33.64 36.0% 10.8% 29.6% 34.0% 37.5% 3.3% -0.1% -836.9K 109.3M -1.5M 0.58 2.90 N/A N/A 6,988 4,060 172,501 140,419 2015-03-30 $31.17 $33.64 34.9% 10.5% 30.6% 31.8% 36.7% 3.9% -0.4% -74.3K 75.3M -1.6M 0.36 3.77 N/A N/A 12,737 4,536 170,584 137,940 2015-03-31 $31.09 $33.64 35.0% 10.4% 29.6% 32.0% 37.6% 2.8% -0.7% 488.5K 77.3M -1.6M 0.94 3.09 N/A N/A 7,242 6,795 177,325 139,037
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