AA Options History — October 2015

In October 2015, AA traded between $20.95 and $26.43. ATM implied volatility averaged 42.8%, placing in the 65.2% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 9.9% (HV 20d: 52.6%). Max pain ranged from $24.03 to $24.03. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.00.

Notable Days

2015-10-09: Highest Volume — 54,570 contracts
2015-10-09: Largest IV drop — 9.9% change
2015-10-01: Highest IV Rank — 96.3%
2015-10-01: Largest Expected Move — 16.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.20	$20.95	$26.43	$22.66	$21.53
Max Pain	$24.03	$24.03	$24.03	$24.03	$24.03
ATM IV	42.8%	39.3%	52.8%	52.8%	39.4%
Expected Move	12.4%	11.1%	16.7%	16.7%	11.7%
HV 20d	52.6%	38.3%	57.2%	39.5%	51.5%
HV 60d	48.4%	42.6%	49.6%	42.7%	49.3%
IV Rank	65.2%	54.3%	96.3%	96.3%	55.0%
IV Percentile	84.9%	76.2%	99.2%	99.2%	76.2%
Term Structure	-0.8%	-2.5%	0.9%	-1.0%	0.5%
VWIV	44.1%	39.3%	58.7%	56.5%	41.3%
Skew 25d	3.7%	2.1%	5.4%	4.7%	3.8%
Skew 10d	7.4%	3.6%	13.6%	4.8%	5.0%
Call IV 25d	42.3%	38.5%	52.7%	52.7%	39.4%
Put IV 25d	46.0%	42.0%	57.4%	57.4%	43.2%
Bid-Ask Spread %	3.77	2.39	9.92	9.92	3.40
Gamma HHI	0.18	0.15	0.23	0.19	0.16
Net GEX	1.4M	-303.3K	4.2M	1.6M	779.9K
Net DEX	59.4M	-106.0M	122.7M	80.5M	97.9M
Net VEX	-1.5M	-1.8M	-1.2M	-1.6M	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.43	3.04	1.07	0.76
Total Volume	26,724.682	10,738	54,570	21,112	14,820
Total OI	424,877.545	374,736	471,547	444,084	417,065

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
2015-10-01	$22.66	$24.03	52.8%	16.7%	39.5%	96.3%	56.5%	4.7%	-1.0%	1.6M	80.5M	-1.6M	1.07	9.92	N/A	N/A	10,218	10,894	261,657	182,427
2015-10-02	$22.83	$24.03	51.4%	16.5%	38.3%	91.7%	58.7%	3.9%	-1.3%	1.4M	76.8M	-1.6M	2.15	5.79	N/A	N/A	8,195	17,594	260,543	184,529
2015-10-05	$25.02	$24.03	46.6%	13.2%	50.2%	76.9%	46.0%	4.9%	-0.5%	3.8M	-31.7M	-1.7M	0.43	2.93	N/A	N/A	24,424	10,536	253,851	175,352
2015-10-06	$26.31	$24.03	45.9%	12.5%	52.6%	74.9%	46.6%	3.5%	-0.8%	4.1M	-105.8M	-1.8M	0.54	4.50	N/A	N/A	24,208	13,144	257,076	180,858
2015-10-07	$26.31	$24.03	45.3%	12.4%	51.9%	73.0%	44.8%	5.1%	-1.2%	4.2M	-106.0M	-1.8M	0.94	5.11	N/A	N/A	21,255	19,950	259,850	184,775
2015-10-08	$26.43	$24.03	47.9%	12.9%	51.9%	80.9%	47.5%	4.6%	-2.5%	4.0M	-104.1M	-1.8M	1.16	4.35	N/A	N/A	23,730	27,635	263,422	192,342
2015-10-09	$24.87	$24.03	43.1%	12.7%	57.2%	66.2%	44.5%	5.4%	0.0%	2.2M	17.2M	-1.6M	2.10	3.99	N/A	N/A	17,576	36,994	267,760	203,787
2015-10-12	$24.17	$24.03	41.5%	11.9%	57.1%	61.4%	42.8%	2.2%	0.2%	1.1M	67.7M	-1.6M	0.86	3.57	N/A	N/A	12,076	10,431	253,330	198,698
2015-10-13	$24.10	$24.03	40.7%	11.5%	56.4%	58.9%	40.4%	4.8%	-1.0%	1.6M	73.0M	-1.5M	0.73	2.72	N/A	N/A	13,208	9,693	256,838	195,911
2015-10-14	$23.98	$24.03	39.7%	11.2%	55.8%	55.8%	39.3%	3.2%	-1.1%	2.0M	73.4M	-1.5M	0.92	3.29	N/A	N/A	7,170	6,577	261,843	195,628
2015-10-15	$23.24	$24.03	39.7%	11.1%	56.8%	55.7%	40.4%	3.9%	-1.6%	1.2M	111.4M	-1.4M	1.17	3.50	N/A	N/A	10,031	11,707	263,027	194,752
2015-10-16	$22.95	$24.03	39.3%	11.2%	57.0%	54.3%	40.0%	4.1%	-0.2%	336.3K	115.3M	-1.4M	0.78	2.39	N/A	N/A	17,322	13,517	265,026	191,630
2015-10-19	$22.64	$24.03	39.7%	11.4%	57.1%	55.6%	40.5%	3.2%	-1.5%	370.4K	91.0M	-1.3M	0.86	3.30	N/A	N/A	10,612	9,177	215,032	159,704
2015-10-20	$22.56	$24.03	40.0%	11.4%	54.2%	56.5%	41.7%	3.6%	-1.5%	453.8K	92.8M	-1.3M	0.45	3.01	N/A	N/A	10,835	4,854	219,625	160,918
2015-10-21	$21.92	$24.03	41.1%	11.8%	54.5%	60.0%	41.0%	2.1%	-1.9%	-230.0K	109.2M	-1.3M	0.82	3.27	N/A	N/A	8,889	7,268	221,482	161,571
2015-10-22	$21.87	$24.03	40.9%	11.8%	54.5%	59.3%	41.1%	2.8%	-1.6%	-303.3K	107.2M	-1.3M	0.64	3.35	N/A	N/A	18,516	11,810	224,758	162,035
2015-10-23	$21.92	$24.03	40.1%	11.6%	54.4%	56.9%	41.1%	2.9%	-1.5%	248.0K	101.7M	-1.3M	0.74	2.87	N/A	N/A	11,564	8,536	235,232	161,542
2015-10-26	$21.07	$24.03	42.5%	12.8%	51.6%	64.4%	45.7%	2.8%	0.0%	173.0K	120.7M	-1.2M	0.72	2.39	N/A	N/A	14,604	10,486	228,117	158,065
2015-10-27	$20.95	$24.03	42.5%	12.6%	51.4%	64.5%	43.8%	3.4%	-0.0%	193.5K	122.7M	-1.2M	3.04	3.00	N/A	N/A	9,067	27,558	234,488	160,006
2015-10-28	$21.58	$24.03	40.8%	12.2%	52.0%	59.2%	43.0%	3.5%	0.4%	521.9K	99.8M	-1.3M	0.44	3.57	N/A	N/A	14,278	6,246	237,778	170,803
2015-10-29	$21.55	$24.03	39.8%	12.0%	51.6%	55.9%	43.5%	3.4%	0.9%	838.7K	96.0M	-1.3M	0.64	2.69	N/A	N/A	6,539	4,199	244,106	170,067
2015-10-30	$21.53	$24.03	39.4%	11.7%	51.5%	55.0%	41.3%	3.8%	0.5%	779.9K	97.9M	-1.3M	0.76	3.40	N/A	N/A	8,418	6,402	246,979	170,086