AA Options History — July 2015

In July 2015, AA traded between $23.14 and $26.70. ATM implied volatility averaged 33.2%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 8.6% (HV 20d: 24.5%). Max pain ranged from $24.03 to $31.24. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.75.

Notable Days

2015-07-08: Highest Volume — 47,266 contracts
2015-07-09: Largest IV drop — 19.3% change
2015-07-27: Highest IV Rank — 72.5%
2015-07-08: Largest Expected Move — 11.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.00	$23.14	$26.70	$26.58	$23.77
Max Pain	$27.09	$24.03	$31.24	$31.24	$24.03
ATM IV	33.2%	27.1%	42.1%	32.4%	34.3%
Expected Move	9.5%	7.7%	11.5%	10.4%	9.7%
HV 20d	24.5%	13.9%	31.7%	13.9%	31.5%
HV 60d	21.5%	19.1%	22.3%	20.7%	21.4%
IV Rank	43.1%	24.0%	72.5%	29.7%	53.6%
IV Percentile	65.6%	25.8%	96.8%	67.1%	72.6%
Term Structure	-0.3%	-1.7%	1.3%	-0.6%	0.3%
VWIV	33.5%	27.6%	40.5%	36.7%	34.3%
Skew 25d	1.5%	-0.2%	2.7%	1.6%	0.8%
Skew 10d	2.4%	-0.6%	6.2%	3.4%	-0.6%
Call IV 25d	33.5%	27.7%	43.1%	32.9%	35.3%
Put IV 25d	35.0%	29.7%	43.9%	34.6%	36.1%
Bid-Ask Spread %	3.56	2.59	10.96	3.05	3.49
Gamma HHI	0.22	0.13	0.32	0.19	0.19
Net GEX	940.0K	-228.6K	2.5M	-228.6K	1.7M
Net DEX	121.3M	74.1M	139.5M	135.3M	103.9M
Net VEX	-1.5M	-1.7M	-1.3M	-1.4M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.19	1.50	0.45	0.95
Total Volume	19,028.227	8,881	47,266	14,102	9,546
Total OI	373,188.318	315,834	411,958	351,218	390,995

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
2015-07-01	$26.58	$31.24	32.4%	10.4%	13.9%	29.7%	36.7%	1.6%	-0.6%	-228.6K	135.3M	-1.4M	0.45	3.05	N/A	N/A	9,698	4,404	209,965	141,253
2015-07-02	$26.70	$31.24	32.1%	10.6%	14.4%	29.1%	37.9%	-0.2%	-0.9%	289.5K	125.6M	-1.4M	0.67	3.34	N/A	N/A	6,647	4,422	212,350	142,051
2015-07-06	$26.48	$28.84	35.5%	9.5%	14.4%	31.6%	33.6%	0.6%	-0.8%	321.4K	122.8M	-1.5M	0.59	2.97	N/A	N/A	11,090	6,507	212,581	141,654
2015-07-07	$26.60	$28.84	37.7%	10.1%	14.6%	36.3%	35.3%	1.3%	-0.9%	734.3K	115.4M	-1.5M	0.19	3.28	N/A	N/A	34,871	6,679	220,419	143,816
2015-07-08	$25.16	$28.84	42.1%	11.5%	23.2%	46.2%	39.7%	0.8%	-0.7%	799.5K	139.5M	-1.4M	0.63	4.27	N/A	N/A	29,056	18,210	233,181	146,037
2015-07-09	$25.52	$28.84	34.0%	9.3%	24.3%	52.4%	33.2%	1.3%	0.2%	1.6M	128.0M	-1.5M	0.58	3.17	N/A	N/A	22,489	13,150	252,134	155,804
2015-07-10	$25.54	$28.84	32.1%	8.9%	24.5%	44.7%	31.6%	1.5%	0.3%	1.3M	126.4M	-1.5M	0.88	2.94	N/A	N/A	7,868	6,901	254,323	157,635
2015-07-13	$25.93	$28.84	29.4%	8.5%	25.6%	33.6%	29.7%	1.7%	0.2%	1.7M	118.2M	-1.4M	0.72	2.62	N/A	N/A	8,333	6,000	243,250	151,165
2015-07-14	$25.83	$28.84	29.6%	8.2%	25.6%	34.1%	28.9%	2.1%	-1.7%	2.1M	111.0M	-1.5M	0.43	3.07	N/A	N/A	8,813	3,755	246,382	149,955
2015-07-15	$25.42	$26.43	28.5%	7.9%	25.8%	29.8%	29.1%	1.2%	-1.2%	1.4M	132.6M	-1.4M	1.50	2.80	N/A	N/A	6,346	9,544	250,569	150,036
2015-07-16	$25.28	$26.43	27.1%	7.7%	25.8%	24.0%	27.6%	2.0%	-0.7%	942.9K	137.3M	-1.5M	0.82	3.17	N/A	N/A	4,881	4,000	252,506	153,307
2015-07-17	$25.21	$26.43	28.5%	8.4%	25.8%	29.9%	28.4%	2.2%	1.3%	1.0M	137.8M	-1.4M	1.00	2.59	N/A	N/A	6,782	6,777	253,492	153,567
2015-07-20	$24.53	$26.43	30.1%	8.6%	26.5%	36.5%	29.6%	2.2%	0.6%	357.3K	115.0M	-1.3M	0.97	3.71	N/A	N/A	8,980	8,697	184,448	131,386
2015-07-21	$24.61	$26.43	30.2%	8.7%	26.6%	36.8%	30.8%	2.3%	-0.1%	207.2K	117.4M	-1.4M	0.97	3.62	N/A	N/A	6,096	5,909	192,578	143,637
2015-07-22	$24.05	$26.43	29.9%	8.6%	27.0%	35.5%	30.5%	2.2%	-0.0%	-224.4K	130.0M	-1.4M	0.55	3.09	N/A	N/A	7,577	4,186	195,127	145,064
2015-07-23	$23.91	$26.43	31.9%	9.2%	26.9%	43.9%	32.5%	1.6%	-0.8%	-118.2K	130.0M	-1.4M	1.38	3.02	N/A	N/A	7,815	10,789	198,763	145,657
2015-07-24	$23.60	$26.43	36.9%	10.7%	26.9%	64.0%	37.3%	1.5%	-1.3%	2.2K	138.3M	-1.4M	0.49	10.96	N/A	N/A	21,584	10,599	201,180	150,905
2015-07-27	$23.14	$24.03	38.9%	11.3%	26.1%	72.5%	40.5%	1.8%	-0.1%	553.4K	126.1M	-1.4M	0.52	3.28	N/A	N/A	13,859	7,199	210,340	150,752
2015-07-28	$23.72	$24.03	37.7%	10.8%	27.7%	67.4%	38.5%	2.7%	-0.1%	1.4M	109.2M	-1.5M	0.84	3.35	N/A	N/A	13,493	11,313	218,678	151,871
2015-07-29	$24.53	$24.03	35.7%	10.4%	31.0%	59.1%	36.2%	1.8%	-0.1%	2.4M	74.1M	-1.7M	0.73	3.36	N/A	N/A	6,976	5,060	225,607	159,017
2015-07-30	$23.96	$24.03	35.3%	10.1%	31.7%	57.5%	35.4%	1.0%	0.7%	2.5M	95.3M	-1.6M	0.62	3.25	N/A	N/A	7,221	4,499	227,368	159,338
2015-07-31	$23.77	$24.03	34.3%	9.7%	31.5%	53.6%	34.3%	0.8%	0.3%	1.7M	103.9M	-1.6M	0.95	3.49	N/A	N/A	4,901	4,645	230,341	160,654