AA Options History — April 2015 In April 2015, AA traded between $31.26 and $32.85. ATM implied volatility averaged 28.6%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 5.6% (HV 20d: 23.0%). Max pain ranged from $31.24 to $33.64. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.64.
Notable Days 2015-04-08 : Highest Volume — 60,434 contracts2015-04-09 : Largest IV drop — 18.5% change2015-04-08 : Highest IV Rank — 37.2%2015-04-01 : Largest Expected Move — 10.7%Monthly Statistics Metric Avg Min Max Open Close Price $32.15 $31.26 $32.85 $31.26 $32.27 Max Pain $32.50 $31.24 $33.64 $33.64 $31.24 ATM IV 28.6% 23.4% 37.7% 34.8% 25.5% Expected Move 8.2% 6.6% 10.7% 10.7% 7.3% HV 20d 23.0% 20.1% 28.5% 27.5% 21.8% HV 60d 32.9% 30.6% 35.0% 34.9% 30.6% IV Rank 21.1% 11.1% 37.2% 31.7% 15.4% IV Percentile 41.2% 13.1% 89.3% 75.0% 24.6% Term Structure -0.2% -1.9% 1.4% -0.3% 0.4% VWIV 29.1% 23.5% 37.9% 37.9% 26.1% Skew 25d 2.1% 0.6% 3.0% 3.0% 2.1% Skew 10d 4.6% 2.6% 7.5% 3.8% 3.8% Call IV 25d 28.4% 23.6% 38.2% 34.2% 25.2% Put IV 25d 30.5% 25.0% 38.7% 37.2% 27.3% Bid-Ask Spread % 2.85 2.46 3.39 3.06 3.18 Gamma HHI 0.19 0.15 0.24 0.16 0.22 Net GEX 1.2M -1.3M 6.2M 845.8K 6.2M Net DEX 6.4M -65.1M 76.6M 73.2M -57.9M Net VEX -1.7M -1.9M -1.6M -1.6M -1.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.64 0.16 1.34 0.73 0.33 Total Volume 22,730.476 9,863 60,434 9,863 20,287 Total OI 332,151.238 288,819 377,817 321,571 330,986
Daily Data (21 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 2015-04-01 $31.26 $33.64 34.8% 10.7% 27.5% 31.7% 37.9% 3.0% -0.3% 845.8K 73.2M -1.6M 0.73 3.06 N/A N/A 5,697 4,166 178,655 142,916 2015-04-02 $31.62 $33.64 34.7% 9.9% 27.9% 31.5% 34.0% 3.0% -0.5% -127.9K 52.0M -1.7M 0.45 2.72 N/A N/A 11,624 5,257 179,624 143,417 2015-04-06 $32.08 $33.64 35.2% 10.2% 28.5% 32.5% 34.7% 2.8% 0.4% 673.7K 35.4M -1.7M 0.39 2.67 N/A N/A 13,883 5,387 178,084 143,307 2015-04-07 $32.30 $33.64 35.8% 10.3% 22.0% 33.6% 35.1% 2.5% 0.2% 1.8M 13.8M -1.7M 0.60 3.04 N/A N/A 18,624 11,101 185,571 144,797 2015-04-08 $32.85 $33.64 37.7% 10.4% 22.2% 37.2% 37.0% 0.6% -1.9% 2.7M -25.0M -1.8M 0.59 3.39 N/A N/A 37,903 22,531 190,461 149,527 2015-04-09 $31.67 $33.64 30.7% 8.8% 25.7% 24.0% 32.1% 2.1% -0.2% -1.3M 76.6M -1.6M 0.71 3.05 N/A N/A 33,854 23,993 208,147 158,307 2015-04-10 $31.60 $33.64 29.6% 8.5% 24.9% 23.9% 30.5% 1.7% -0.6% -1.2M 65.1M -1.7M 1.01 3.05 N/A N/A 11,124 11,267 211,858 165,959 2015-04-13 $31.91 $33.64 29.0% 8.4% 24.7% 22.6% 29.5% 1.3% -1.0% -869.0K 36.8M -1.7M 0.66 2.65 N/A N/A 10,705 7,085 196,675 158,511 2015-04-14 $32.10 $33.64 28.7% 8.3% 23.6% 22.1% 28.5% 2.4% -1.1% -210.6K 33.8M -1.7M 0.59 2.54 N/A N/A 9,065 5,351 197,533 161,635 2015-04-15 $32.10 $33.64 27.9% 8.0% 22.7% 20.5% 27.8% 2.3% -0.8% -202.2K 34.1M -1.7M 0.58 2.46 N/A N/A 6,680 3,898 199,025 160,808 2015-04-16 $32.39 $33.64 27.9% 8.0% 22.1% 20.4% 28.7% 2.1% -1.4% 1.8M 10.8M -1.7M 0.62 2.56 N/A N/A 14,839 9,171 199,835 160,732 2015-04-17 $32.39 $31.24 27.3% 7.9% 20.1% 19.3% 28.2% 1.9% -0.8% 4.7M 8.3M -1.8M 0.55 2.71 N/A N/A 15,282 8,391 204,508 164,978 2015-04-20 $32.61 $31.24 25.9% 7.4% 20.1% 16.4% 27.9% 2.8% -0.1% 1.5M -30.5M -1.8M 0.53 2.68 N/A N/A 14,255 7,623 155,513 133,306 2015-04-21 $32.46 $31.24 25.3% 7.1% 20.3% 15.1% 26.6% 2.3% -0.3% 1.7M -26.3M -1.8M 0.69 2.77 N/A N/A 7,047 4,879 159,871 137,286 2015-04-22 $32.56 $31.24 24.8% 6.9% 20.2% 14.0% 25.2% 2.1% -0.1% 2.3M -33.3M -1.8M 1.02 2.77 N/A N/A 5,856 5,990 161,933 139,009 2015-04-23 $31.70 $31.24 24.6% 6.9% 22.3% 13.6% 25.3% 2.3% -0.2% -317.0K 16.4M -1.8M 0.77 3.19 N/A N/A 16,444 12,649 163,730 141,682 2015-04-24 $31.74 $31.24 24.4% 6.7% 22.2% 13.2% 23.5% 2.2% 0.5% -360.4K 786.2K -1.8M 1.34 2.90 N/A N/A 6,983 9,365 172,360 147,893 2015-04-27 $32.32 $31.24 23.4% 6.6% 22.0% 11.1% 23.9% 1.5% 0.7% 989.3K -36.3M -1.8M 0.36 2.84 N/A N/A 13,149 4,755 166,705 144,703 2015-04-28 $32.44 $31.24 23.5% 6.7% 21.0% 11.4% 24.1% 1.6% 0.5% 2.3M -48.7M -1.8M 0.64 2.64 N/A N/A 7,101 4,532 172,005 144,603 2015-04-29 $32.73 $31.24 24.2% 7.0% 21.0% 12.8% 25.0% 1.4% 1.4% 3.0M -65.1M -1.9M 0.16 2.89 N/A N/A 25,421 4,126 173,340 145,381 2015-04-30 $32.27 $31.24 25.5% 7.3% 21.8% 15.4% 26.1% 2.1% 0.4% 6.2M -57.9M -1.9M 0.33 3.18 N/A N/A 15,272 5,015 185,130 145,856
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