AA Options History — June 2015

In June 2015, AA traded between $26.87 and $30.33. ATM implied volatility averaged 28.5%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 15.6% (HV 20d: 12.9%). Max pain ranged from $31.24 to $33.64. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.79.

Notable Days

  • 2015-06-09: Highest Volume — 18,860 contracts
  • 2015-06-08: Largest IV spike — 13.8% change
  • 2015-06-30: Highest IV Rank — 29.6%
  • 2015-06-30: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.87$26.87$30.33$29.85$26.87
Max Pain$31.35$31.24$33.64$31.24$31.24
ATM IV28.5%24.5%32.4%24.8%32.4%
Expected Move8.4%7.0%10.3%7.1%10.3%
HV 20d12.9%10.7%15.4%12.6%14.0%
HV 60d21.4%19.9%24.9%24.6%20.7%
IV Rank21.7%13.4%29.6%14.0%29.6%
IV Percentile43.2%19.0%67.1%20.2%67.1%
Term Structure0.2%-2.0%4.4%2.9%-0.3%
VWIV29.4%24.0%36.1%25.6%36.1%
Skew 25d1.6%0.3%2.8%2.7%1.3%
Skew 10d2.8%-1.9%5.6%5.1%2.1%
Call IV 25d28.3%23.3%32.3%24.1%32.3%
Put IV 25d29.9%25.6%33.7%26.7%33.6%
Bid-Ask Spread %2.921.913.753.382.77
Gamma HHI0.350.130.690.340.17
Net GEX-3.7M-11.8M269.0K-4.2M-200.5K
Net DEX117.3M62.6M177.1M106.6M127.0M
Net VEX-1.6M-1.8M-1.4M-1.6M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.261.520.820.46
Total Volume11,425.7277,51718,86013,40713,055
Total OI354,907.909322,352377,894341,778346,867

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$29.85$31.2424.8%7.1%12.6%14.0%25.6%2.7%2.9%-4.2M106.6M-1.6M0.823.38N/AN/A7,3536,054183,171158,607
2015-06-02$30.33$31.2424.5%7.2%14.9%13.4%24.9%2.0%4.3%-2.8M62.6M-1.7M0.742.94N/AN/A6,6304,934186,370159,851
2015-06-03$30.33$31.2425.4%7.0%14.7%15.3%24.0%2.2%3.5%-2.7M67.6M-1.8M0.943.21N/AN/A5,9245,564189,112163,141
2015-06-04$30.01$33.6426.2%8.4%14.7%16.8%29.4%2.3%3.9%-3.4M88.3M-1.7M1.272.48N/AN/A6,1957,889191,154163,955
2015-06-05$29.82$31.2426.1%8.4%14.6%16.7%29.0%2.8%4.4%-4.2M107.5M-1.7M0.952.32N/AN/A5,6005,326194,376167,519
2015-06-08$29.44$31.2429.7%8.4%13.9%24.2%29.1%2.0%-1.5%-5.0M129.1M-1.6M0.852.35N/AN/A5,1324,381190,743166,021
2015-06-09$29.27$31.2429.9%8.4%13.7%24.6%30.4%2.4%-0.6%-5.1M127.2M-1.7M0.433.41N/AN/A13,1605,700193,831164,765
2015-06-10$29.24$31.2429.6%8.4%13.8%23.9%29.7%1.8%-0.3%-5.1M129.4M-1.6M0.702.61N/AN/A5,3413,750202,293166,141
2015-06-11$29.08$31.2429.6%8.3%12.9%23.8%28.7%1.2%-0.7%-6.4M136.8M-1.6M1.523.75N/AN/A4,1976,367204,272166,804
2015-06-12$28.98$31.2429.7%8.4%12.7%24.2%29.3%1.6%-0.3%-6.2M138.9M-1.6M1.083.10N/AN/A4,9685,347205,981169,114
2015-06-15$28.86$31.2430.3%8.6%12.7%25.3%30.5%1.6%-1.3%-7.1M144.9M-1.6M0.693.30N/AN/A4,4543,086203,402169,447
2015-06-16$28.91$31.2430.6%8.8%12.8%26.0%30.9%1.7%-0.8%-6.6M141.1M-1.6M0.263.53N/AN/A13,2153,457205,090169,338
2015-06-17$28.74$31.2429.7%8.5%10.8%24.1%31.1%1.1%-1.0%-9.3M153.2M-1.6M0.703.42N/AN/A6,8664,795205,582169,642
2015-06-18$28.64$31.2429.1%8.4%10.7%22.8%29.9%0.3%-1.1%-11.8M154.9M-1.6M0.853.24N/AN/A4,7034,012207,199168,838
2015-06-19$28.72$31.2428.1%8.1%11.0%20.9%29.2%0.3%0.0%1.5K177.1M-1.5M0.981.97N/AN/A5,1275,032208,758169,136
2015-06-22$28.24$31.2428.1%8.2%11.8%20.8%28.2%1.9%-0.6%-666.5K99.4M-1.5M0.451.91N/AN/A7,9033,527189,632132,720
2015-06-23$28.24$31.2427.4%8.1%11.5%19.3%27.5%1.2%-0.5%-365.9K89.5M-1.5M0.703.00N/AN/A5,4823,836193,081133,466
2015-06-24$28.21$31.2427.9%8.3%11.3%20.4%28.3%1.8%-0.2%-311.8K96.1M-1.5M0.492.51N/AN/A5,0612,456195,331135,724
2015-06-25$27.83$31.2427.6%8.3%11.5%19.9%28.9%1.5%-1.5%-990.3K109.4M-1.4M0.603.13N/AN/A7,9134,760197,773134,866
2015-06-26$28.14$31.2428.7%8.8%12.4%22.0%30.4%1.1%-2.0%93.9K88.8M-1.6M0.362.77N/AN/A8,3362,973204,839138,000
2015-06-29$27.32$31.2432.1%10.0%15.4%29.0%35.0%1.4%-0.7%269.0K104.8M-1.5M1.473.12N/AN/A4,6596,846204,672137,350
2015-06-30$26.87$31.2432.4%10.3%14.0%29.6%36.1%1.3%-0.3%-200.5K127.0M-1.4M0.462.77N/AN/A8,9564,099206,748140,119