AA Options History — September 2015 In September 2015, AA traded between $21.82 and $23.91. ATM implied volatility averaged 48.3%, placing in the 82.2% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 0.8% (HV 20d: 47.5%). Max pain ranged from $24.03 to $26.43. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.82.
Notable Days 2015-09-28 : Highest Volume — 58,593 contracts2015-09-28 : Largest IV spike — 10.9% change2015-09-01 : Highest IV Rank — 98.1%2015-09-30 : Largest Expected Move — 16.6%Monthly Statistics Metric Avg Min Max Open Close Price $22.93 $21.82 $23.91 $22.11 $23.16 Max Pain $24.26 $24.03 $26.43 $24.03 $24.03 ATM IV 48.3% 41.3% 53.4% 53.4% 52.5% Expected Move 14.3% 12.0% 16.6% 16.5% 16.6% HV 20d 47.5% 38.8% 58.5% 57.7% 38.8% HV 60d 40.9% 38.5% 43.9% 38.5% 43.9% IV Rank 82.2% 60.7% 98.1% 98.1% 95.2% IV Percentile 95.4% 88.5% 99.6% 99.6% 98.0% Term Structure 0.1% -2.9% 5.9% 2.8% -1.1% VWIV 51.0% 42.6% 60.3% 60.3% 58.5% Skew 25d 2.8% 1.5% 4.7% 2.4% 4.4% Skew 10d 4.2% -0.5% 9.1% 2.2% 9.1% Call IV 25d 48.6% 41.6% 53.8% 53.8% 51.6% Put IV 25d 51.4% 44.6% 56.4% 56.3% 55.9% Bid-Ask Spread % 8.75 2.34 43.29 43.29 6.88 Gamma HHI 0.24 0.14 0.46 0.14 0.20 Net GEX 2.9M 817.0K 6.7M 1.9M 3.0M Net DEX 62.2M 17.3M 121.7M 78.1M 46.7M Net VEX -1.6M -1.7M -1.4M -1.6M -1.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.82 0.32 1.49 0.61 1.49 Total Volume 20,054.667 9,828 58,593 15,110 27,720 Total OI 428,977.429 404,297 442,283 420,568 436,167
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 2015-09-01 $22.11 $24.03 53.4% 16.5% 57.7% 98.1% 60.3% 2.4% 2.8% 1.9M 78.1M -1.6M 0.61 43.29 N/A N/A 9,365 5,745 253,266 167,302 2015-09-02 $22.40 $24.03 50.1% 15.1% 57.9% 87.8% 53.3% 2.2% 3.7% 2.3M 76.1M -1.6M 0.34 41.00 N/A N/A 18,375 6,327 253,424 167,805 2015-09-03 $23.02 $26.43 47.8% 14.5% 58.5% 80.6% 52.1% 2.1% 5.9% 3.6M 39.3M -1.7M 0.47 4.19 N/A N/A 15,727 7,332 265,378 169,418 2015-09-04 $22.88 $26.43 49.9% 15.1% 55.7% 87.2% 53.2% 2.8% 5.2% 6.4M 40.9M -1.7M 0.38 4.15 N/A N/A 16,619 6,381 269,057 170,360 2015-09-08 $23.36 $24.03 52.5% 14.6% 50.7% 95.3% 53.0% 2.6% -1.9% 3.2M 29.3M -1.7M 0.38 3.52 N/A N/A 8,087 3,102 263,632 165,775 2015-09-09 $22.95 $24.03 49.7% 14.2% 46.4% 86.6% 51.3% 1.7% -0.2% 2.9M 51.8M -1.6M 0.54 3.13 N/A N/A 14,144 7,599 265,733 168,215 2015-09-10 $23.12 $24.03 49.0% 13.9% 46.5% 84.5% 50.4% 3.2% -0.6% 3.1M 50.0M -1.6M 0.82 3.54 N/A N/A 6,775 5,577 266,321 171,001 2015-09-11 $23.16 $24.03 48.7% 13.8% 45.8% 83.4% 49.5% 1.9% -0.7% 2.5M 52.9M -1.6M 0.99 3.50 N/A N/A 5,742 5,697 266,650 172,081 2015-09-14 $22.49 $24.03 49.7% 14.3% 47.1% 86.6% 51.5% 1.6% -2.9% 1.7M 91.5M -1.5M 0.79 3.57 N/A N/A 8,424 6,679 261,633 169,408 2015-09-15 $23.14 $24.03 46.9% 13.4% 48.2% 77.8% 48.1% 2.5% -0.7% 3.2M 56.8M -1.5M 0.86 2.98 N/A N/A 5,295 4,533 264,714 168,929 2015-09-16 $23.72 $24.03 44.9% 12.9% 48.4% 71.7% 47.4% 1.8% -0.7% 5.1M 30.7M -1.6M 0.83 2.34 N/A N/A 7,784 6,452 267,702 170,136 2015-09-17 $23.91 $24.03 43.2% 12.4% 47.7% 66.5% 43.9% 1.5% -1.3% 6.7M 17.3M -1.6M 1.03 3.88 N/A N/A 7,059 7,237 268,959 171,772 2015-09-18 $23.91 $24.03 43.0% 12.5% 47.4% 66.0% 44.2% 2.6% -1.0% 3.1M 34.4M -1.6M 1.34 3.05 N/A N/A 12,888 17,305 269,816 172,467 2015-09-21 $23.79 $24.03 41.3% 12.0% 45.9% 60.7% 42.6% 3.0% -0.1% 3.3M 41.1M -1.6M 0.63 6.33 N/A N/A 12,919 8,154 239,477 164,820 2015-09-22 $22.61 $24.03 44.5% 13.0% 44.7% 70.5% 47.2% 4.0% -0.2% 1.8M 93.4M -1.4M 1.22 6.38 N/A N/A 6,393 7,823 245,554 166,134 2015-09-23 $22.08 $24.03 46.5% 14.0% 45.8% 76.8% 48.5% 4.7% -1.1% 954.9K 114.5M -1.4M 1.41 8.73 N/A N/A 5,060 7,151 248,522 168,424 2015-09-24 $22.08 $24.03 47.9% 14.4% 45.9% 81.2% 50.6% 3.3% -0.3% 817.0K 117.1M -1.4M 0.83 6.51 N/A N/A 11,055 9,172 249,778 170,302 2015-09-25 $21.82 $24.03 47.5% 14.2% 39.5% 79.8% 50.0% 3.2% -1.3% 874.0K 121.7M -1.4M 0.96 8.74 N/A N/A 7,913 7,628 253,919 172,085 2015-09-28 $23.12 $24.03 52.7% 16.5% 38.8% 95.8% 57.1% 3.4% -0.9% 2.6M 56.7M -1.6M 0.32 10.38 N/A N/A 44,552 14,041 250,592 169,102 2015-09-29 $22.71 $24.03 52.2% 16.5% 39.4% 94.2% 58.5% 4.5% -1.0% 2.1M 66.0M -1.6M 1.06 7.59 N/A N/A 12,262 13,055 260,732 171,964 2015-09-30 $23.16 $24.03 52.5% 16.6% 38.8% 95.2% 58.5% 4.4% -1.1% 3.0M 46.7M -1.6M 1.49 6.88 N/A N/A 11,144 16,576 261,780 174,387
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