AA Options History — August 2015

In August 2015, AA traded between $19.75 and $24.17. ATM implied volatility averaged 41.1%, placing in the 73.3% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 1.9% (HV 20d: 43.0%). Max pain ranged from $24.03 to $24.03. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2015-08-28: Highest Volume — 47,378 contracts
  • 2015-08-24: Largest IV spike — 22.3% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-28: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.22$19.75$24.17$23.16$22.66
Max Pain$24.03$24.03$24.03$24.03$24.03
ATM IV41.1%34.6%54.1%35.7%49.5%
Expected Move12.1%9.8%16.6%10.3%15.3%
HV 20d43.0%26.9%57.8%32.3%57.2%
HV 60d29.6%21.7%38.4%21.7%38.4%
IV Rank73.3%54.6%100.0%59.2%86.2%
IV Percentile88.9%71.4%100.0%78.6%98.8%
Term Structure0.9%-5.6%21.7%-0.6%2.3%
VWIV42.8%34.7%58.1%36.4%58.1%
Skew 25d3.7%0.6%22.2%1.2%2.3%
Skew 10d5.6%1.0%15.1%2.1%1.0%
Call IV 25d40.9%34.9%55.0%36.5%50.5%
Put IV 25d44.6%36.1%59.3%37.7%52.7%
Bid-Ask Spread %25.292.3966.073.3844.22
Gamma HHI0.180.140.240.180.16
Net GEX940.7K-389.9K2.7M1.0M2.5M
Net DEX128.4M53.6M170.4M128.1M61.4M
Net VEX-1.4M-1.6M-1.2M-1.4M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.271.740.480.28
Total Volume18,91710,68047,37810,87937,838
Total OI410,767.905384,278432,477384,278418,372

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$23.16$24.0335.7%10.3%32.3%59.2%36.4%1.2%-0.6%1.0M128.1M-1.4M0.483.38N/AN/A7,3603,519226,792157,486
2015-08-04$23.33$24.0334.6%9.8%32.4%54.8%34.9%1.0%-0.7%1.6M118.7M-1.5M0.679.47N/AN/A8,7875,896229,370160,291
2015-08-05$23.43$24.0335.2%10.1%26.9%57.0%34.7%2.1%-0.9%1.6M114.5M-1.5M0.788.62N/AN/A8,6176,725233,004161,930
2015-08-06$23.81$24.0334.6%9.9%27.0%54.6%35.9%1.9%-1.2%2.5M97.4M-1.5M0.7816.43N/AN/A6,0124,668234,625162,275
2015-08-07$22.64$24.0336.5%10.9%31.7%62.7%37.9%1.8%-0.4%658.3K147.6M-1.4M0.2715.55N/AN/A24,7436,787236,557162,969
2015-08-10$24.17$24.0334.6%10.1%40.2%54.9%36.6%1.9%1.2%2.7M68.4M-1.6M0.5913.90N/AN/A13,8338,099238,558162,417
2015-08-11$22.78$24.0337.3%11.2%44.8%65.7%39.1%0.6%1.9%1.2M122.0M-1.5M0.522.39N/AN/A8,7604,561242,946161,968
2015-08-12$22.85$24.0338.9%11.5%44.8%72.2%42.7%2.2%-5.6%1.3M114.9M-1.5M0.6716.84N/AN/A7,9635,296248,031166,316
2015-08-13$22.40$24.0338.8%11.6%45.1%71.8%41.7%1.0%2.0%517.6K139.3M-1.5M0.638.16N/AN/A9,9706,257251,258167,280
2015-08-14$22.54$24.0338.5%11.3%45.3%70.7%40.6%1.2%1.7%901.4K129.6M-1.5M1.7423.55N/AN/A7,11012,357254,868168,343
2015-08-17$22.66$24.0338.9%11.3%44.7%72.4%39.3%2.2%-1.3%734.3K132.8M-1.5M0.6923.99N/AN/A6,9454,758250,285172,549
2015-08-18$22.30$24.0338.3%11.0%44.8%70.0%38.8%3.6%-0.9%234.7K150.9M-1.4M0.8023.15N/AN/A6,0994,904252,959173,866
2015-08-19$21.89$24.0337.8%10.8%44.6%67.7%38.4%2.4%0.5%54.1K149.5M-1.4M1.052.92N/AN/A5,3765,650254,396171,586
2015-08-20$21.63$24.0338.9%11.2%44.7%72.5%39.4%3.5%-0.7%-340.0K165.5M-1.4M0.8919.85N/AN/A6,0855,390256,618174,246
2015-08-21$21.03$24.0343.1%12.0%45.4%89.6%44.9%22.2%21.7%227.6K168.8M-1.3M1.0566.07N/AN/A8,9649,373258,252174,225
2015-08-24$19.85$24.0352.8%15.5%48.8%100.0%56.9%9.2%0.2%-389.9K170.4M-1.2M0.4745.34N/AN/A16,6307,769232,598164,361
2015-08-25$19.75$24.0350.3%15.0%47.3%92.3%52.0%6.0%-0.4%-125.3K169.4M-1.2M1.0147.42N/AN/A6,2056,282242,749165,237
2015-08-26$19.82$24.0349.4%14.5%44.8%89.5%49.4%6.6%0.4%-209.7K169.0M-1.2M1.6648.10N/AN/A9,12115,109244,487167,331
2015-08-27$21.24$24.0345.1%12.9%52.7%75.8%45.7%2.9%1.0%1.5M123.8M-1.3M0.5346.99N/AN/A13,1506,911247,263161,568
2015-08-28$22.59$24.0354.1%16.6%57.8%100.0%54.4%1.8%-2.0%1.6M53.6M-1.6M0.3944.74N/AN/A34,12513,253252,124163,770
2015-08-31$22.66$24.0349.5%15.3%57.2%86.2%58.1%2.3%2.3%2.5M61.4M-1.6M0.2844.22N/AN/A29,6228,216251,914166,458