AA Options History — May 2015

In May 2015, AA traded between $30.06 and $34.00. ATM implied volatility averaged 24.3%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 1.7% (HV 20d: 25.9%). Max pain ranged from $31.24 to $31.24. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.87.

Notable Days

  • 2015-05-01: Highest Volume — 40,449 contracts
  • 2015-05-26: Largest IV spike — 9.5% change
  • 2015-05-06: Highest IV Rank — 18.8%
  • 2015-05-05: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.14$30.06$34.00$34.00$30.06
Max Pain$31.24$31.24$31.24$31.24$31.24
ATM IV24.3%21.6%27.1%25.4%24.0%
Expected Move6.9%6.1%7.7%7.2%6.9%
HV 20d25.9%24.4%28.7%28.1%24.4%
HV 60d28.1%24.7%32.6%32.6%24.7%
IV Rank13.0%7.5%18.8%15.3%12.3%
IV Percentile18.1%3.6%33.7%24.2%16.7%
Term Structure0.1%-0.9%1.0%0.4%0.4%
VWIV25.0%21.4%28.6%26.1%23.8%
Skew 25d1.7%0.8%2.4%1.5%2.4%
Skew 10d3.6%1.3%6.0%5.0%3.7%
Call IV 25d24.0%21.5%26.8%25.2%23.6%
Put IV 25d25.7%23.4%28.1%26.8%26.0%
Bid-Ask Spread %3.022.434.082.602.99
Gamma HHI0.210.160.300.250.30
Net GEX1.4M-3.8M5.0M5.0M-3.8M
Net DEX-29.5M-170.4M94.0M-170.4M94.0M
Net VEX-1.8M-1.9M-1.7M-1.9M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.182.390.320.70
Total Volume14,875.457,39040,44940,44910,348
Total OI332,641.75289,907353,741331,271346,312

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$34.00$31.2425.4%7.2%28.1%15.3%26.1%1.5%0.4%5.0M-170.4M-1.9M0.322.60N/AN/A30,6309,819184,411146,860
2015-05-04$33.67$31.2426.1%7.6%28.2%16.7%27.2%0.8%0.2%5.0M-125.9M-1.9M0.302.98N/AN/A12,3803,774177,835145,637
2015-05-05$33.23$31.2426.5%7.7%28.7%17.5%27.1%1.3%0.2%4.8M-94.9M-1.9M0.732.70N/AN/A6,5044,744183,936147,140
2015-05-06$32.90$31.2427.1%7.7%28.4%18.8%28.6%1.0%0.2%4.0M-80.9M-1.8M0.944.08N/AN/A5,4845,164184,844147,373
2015-05-07$32.92$31.2427.0%7.5%24.8%18.5%27.9%1.8%0.3%3.8M-63.8M-1.8M0.853.23N/AN/A7,2476,190179,406149,026
2015-05-08$33.21$31.2425.0%7.2%24.9%14.5%27.3%1.5%0.2%4.2M-80.9M-1.8M0.182.82N/AN/A20,7043,749182,343151,675
2015-05-11$32.80$31.2425.9%7.2%25.3%16.3%26.2%2.0%-0.9%4.2M-63.6M-1.8M0.632.43N/AN/A4,5322,858190,990150,120
2015-05-12$32.56$31.2425.2%7.1%25.4%14.8%26.1%1.6%-0.5%2.9M-52.8M-1.8M0.462.72N/AN/A7,8933,663193,124151,330
2015-05-13$32.80$31.2424.8%6.9%25.5%14.0%24.3%1.2%-0.7%4.3M-71.4M-1.9M0.603.19N/AN/A5,9533,583197,705151,569
2015-05-14$32.82$31.2423.8%6.8%25.3%12.0%24.1%1.6%-0.2%3.5M-71.0M-1.8M1.342.66N/AN/A4,8546,502198,000151,747
2015-05-15$32.56$31.2423.4%6.6%25.5%11.1%22.9%1.8%-0.0%-33.8K-56.3M-1.8M0.803.08N/AN/A7,0165,632199,303154,438
2015-05-18$32.20$31.2421.9%6.3%25.7%8.1%24.6%1.4%1.0%1.6M-24.7M-1.8M1.843.51N/AN/A9,57617,647163,464126,443
2015-05-19$31.43$31.2422.7%6.5%27.0%9.6%23.2%2.1%-0.0%-53.2K15.3M-1.8M0.763.30N/AN/A9,9907,588170,097138,915
2015-05-20$31.41$31.2422.2%6.4%27.0%8.7%24.8%2.3%0.7%-314.0K13.7M-1.8M2.393.47N/AN/A5,66313,517175,365144,639
2015-05-21$31.29$31.2422.1%6.3%25.3%8.5%22.8%1.8%0.8%-1.3M22.2M-1.8M0.992.90N/AN/A4,0714,017178,303153,196
2015-05-22$31.09$31.2421.6%6.1%25.4%7.5%21.4%1.9%0.5%-1.3M37.1M-1.8M1.062.90N/AN/A4,6354,913179,579154,077
2015-05-26$30.69$31.2423.7%6.5%24.7%11.7%23.5%2.3%0.2%-2.5M58.2M-1.7M0.923.11N/AN/A6,0755,581176,052153,096
2015-05-27$30.78$31.2423.4%6.4%24.7%11.2%23.8%2.1%-0.3%-2.4M50.5M-1.7M0.882.84N/AN/A7,0596,212178,687154,337
2015-05-28$30.42$31.2423.8%6.8%24.5%12.1%23.4%2.1%-0.1%-3.1M75.4M-1.7M0.632.90N/AN/A7,2004,542183,005158,456
2015-05-29$30.06$31.2424.0%6.9%24.4%12.3%23.8%2.4%0.4%-3.8M94.0M-1.7M0.702.99N/AN/A6,0914,257186,096160,216