AA Options History — November 2015

In November 2015, AA traded between $18.82 and $22.66. ATM implied volatility averaged 39.4%, placing in the 54.9% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 1.8% (HV 20d: 41.2%). Max pain ranged from $21.63 to $24.03. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.22.

Notable Days

  • 2015-11-19: Highest Volume — 68,571 contracts
  • 2015-11-09: Largest IV spike — 8.8% change
  • 2015-11-13: Highest IV Rank — 70.2%
  • 2015-11-11: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.15$18.82$22.66$22.04$22.49
Max Pain$23.25$21.63$24.03$24.03$21.63
ATM IV39.4%35.3%44.4%39.8%35.3%
Expected Move11.6%10.4%15.3%11.8%10.5%
HV 20d41.2%29.7%47.8%39.1%47.8%
HV 60d47.0%45.3%49.4%48.5%45.5%
IV Rank54.9%42.2%70.2%56.1%42.2%
IV Percentile71.8%49.6%87.3%79.0%49.6%
Term Structure-2.4%-26.7%1.5%0.4%1.1%
VWIV41.4%36.3%52.8%41.6%37.4%
Skew 25d3.3%2.0%5.2%3.6%3.0%
Skew 10d10.0%3.7%54.7%9.2%6.5%
Call IV 25d39.2%35.0%44.7%38.3%35.0%
Put IV 25d42.5%38.0%49.0%41.9%38.0%
Bid-Ask Spread %17.742.3767.362.988.06
Gamma HHI0.190.150.270.190.19
Net GEX975.4K-801.6K3.1M1.4M1.9M
Net DEX107.3M41.7M177.0M72.3M80.4M
Net VEX-1.2M-1.4M-1.0M-1.3M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.262.730.261.20
Total Volume24,783.27,05768,57119,26317,095
Total OI433,801.15406,342472,940406,342445,601

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$22.04$24.0339.8%11.8%39.1%56.1%41.6%3.6%0.4%1.4M72.3M-1.3M0.262.98N/AN/A15,2883,975238,784167,558
2015-11-03$22.66$22.8336.7%11.0%35.3%46.5%40.0%2.9%0.6%2.5M44.1M-1.4M0.602.51N/AN/A16,6599,975245,539168,313
2015-11-04$22.54$24.0335.8%10.5%35.2%43.8%37.6%2.0%1.0%3.1M41.7M-1.4M1.663.20N/AN/A6,0199,974250,773165,632
2015-11-05$21.99$24.0336.9%11.0%35.4%47.0%40.5%2.7%1.1%2.2M76.0M-1.4M1.6617.07N/AN/A5,4619,064251,456172,288
2015-11-06$21.84$24.0336.7%10.9%29.7%46.4%38.4%2.8%1.2%1.4M76.4M-1.4M1.143.20N/AN/A8,1259,275251,637172,924
2015-11-09$20.69$24.0339.9%11.2%33.4%56.3%40.1%4.1%-0.8%421.6K127.0M-1.2M0.352.67N/AN/A25,9059,152245,898175,497
2015-11-10$20.09$24.0342.1%12.6%34.2%63.2%43.4%2.5%1.5%23.2K126.7M-1.1M0.9610.35N/AN/A19,05118,261246,891170,195
2015-11-11$20.19$24.0342.1%15.3%34.5%63.2%50.2%3.2%-11.7%-63.9K138.7M-1.2M1.0222.03N/AN/A17,25617,655245,355183,925
2015-11-12$18.82$24.0342.2%11.4%40.2%63.5%52.8%4.2%-26.7%-801.6K177.0M-1.0M1.608.58N/AN/A9,53915,250248,149187,072
2015-11-13$19.20$24.0344.4%12.5%41.7%70.2%43.3%4.2%-10.0%-663.3K168.4M-1.1M1.4914.02N/AN/A7,20110,695251,432190,563
2015-11-16$19.92$24.0343.5%12.6%44.6%67.6%44.4%5.2%-1.1%-513.8K151.3M-1.1M0.462.37N/AN/A7,8553,592243,593187,325
2015-11-17$19.94$24.0343.3%12.5%44.7%66.9%42.2%4.3%-1.0%-96.5K147.1M-1.1M1.449.59N/AN/A6,0118,648246,638187,881
2015-11-18$20.19$24.0342.7%12.2%44.3%65.0%42.5%5.0%-1.2%403.7K143.8M-1.1M2.6935.74N/AN/A4,40411,833248,713187,156
2015-11-19$21.00$24.0340.5%11.6%46.9%58.3%40.8%2.0%0.3%856.9K110.4M-1.2M1.1441.88N/AN/A32,07736,494249,705187,476
2015-11-20$20.88$21.6338.7%11.2%46.9%52.7%39.8%2.9%-1.5%247.8K147.7M-1.2M1.7567.36N/AN/A9,13415,996268,466204,474
2015-11-23$21.80$21.6338.0%11.1%47.4%50.6%40.1%2.6%0.7%1.2M102.2M-1.2M0.9211.82N/AN/A18,60517,154242,451188,042
2015-11-24$21.84$21.6337.8%10.9%47.4%49.8%38.0%2.1%-0.3%2.1M89.8M-1.3M0.476.43N/AN/A4,7852,272250,875198,387
2015-11-25$22.59$21.6336.5%10.4%47.7%45.9%36.3%3.1%-1.3%2.2M54.5M-1.4M0.7848.92N/AN/A20,19415,680253,672199,612
2015-11-27$22.40$21.6335.3%10.5%47.8%42.3%37.6%3.4%-0.5%1.8M71.2M-1.3M2.7336.02N/AN/A5,37014,685254,536201,539
2015-11-30$22.49$21.6335.3%10.5%47.8%42.2%37.4%3.0%1.1%1.9M80.4M-1.3M1.208.06N/AN/A7,7829,313248,436197,165