AA Options History — December 2015

In December 2015, AA traded between $20.43 and $24.46. ATM implied volatility averaged 42.6%, placing in the 64.5% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 7.2% (HV 20d: 49.8%). Max pain ranged from $21.63 to $28.84. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.74.

Notable Days

2015-12-23: Highest Volume — 50,605 contracts
2015-12-14: Largest IV spike — 9.3% change
2015-12-14: Highest IV Rank — 87.1%
2015-12-14: Largest Expected Move — 14.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.54	$20.43	$24.46	$22.78	$23.72
Max Pain	$26.82	$21.63	$28.84	$21.63	$26.43
ATM IV	42.6%	34.3%	49.9%	34.3%	42.6%
Expected Move	13.1%	10.2%	14.7%	10.2%	13.2%
HV 20d	49.8%	45.8%	55.2%	47.4%	50.5%
HV 60d	48.2%	44.4%	50.2%	45.6%	44.4%
IV Rank	64.5%	39.0%	87.1%	39.0%	64.7%
IV Percentile	78.2%	44.0%	95.2%	44.0%	81.3%
Term Structure	0.8%	-2.7%	7.3%	0.8%	-0.3%
VWIV	46.0%	35.9%	51.7%	35.9%	48.1%
Skew 25d	3.3%	1.9%	5.1%	2.2%	2.9%
Skew 10d	7.2%	3.2%	12.2%	4.4%	4.9%
Call IV 25d	42.3%	34.3%	50.7%	34.3%	42.3%
Put IV 25d	45.7%	36.5%	55.5%	36.5%	45.2%
Bid-Ask Spread %	6.46	2.20	47.77	7.50	7.02
Gamma HHI	0.19	0.14	0.25	0.25	0.23
Net GEX	1.5M	-751.5K	3.6M	2.4M	3.0M
Net DEX	91.9M	-19.9M	189.6M	85.2M	41.3M
Net VEX	-1.3M	-1.5M	-1.1M	-1.3M	-1.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.74	0.55	3.50	1.82	2.19
Total Volume	24,164.818	10,028	50,605	16,585	20,543
Total OI	477,429.727	456,488	504,696	457,166	485,188

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
2015-12-01	$22.78	$21.63	34.3%	10.2%	47.4%	39.0%	35.9%	2.2%	0.8%	2.4M	85.2M	-1.3M	1.82	7.50	N/A	N/A	5,885	10,700	251,891	205,275
2015-12-02	$22.54	$22.83	34.4%	10.6%	46.5%	39.5%	37.4%	3.1%	1.1%	2.0M	97.6M	-1.4M	2.17	47.77	N/A	N/A	6,950	15,049	254,586	211,558
2015-12-03	$21.60	$28.84	36.6%	12.2%	48.9%	46.2%	43.7%	4.3%	0.0%	398.3K	152.4M	-1.2M	3.10	2.35	N/A	N/A	6,411	19,858	256,529	213,919
2015-12-04	$22.44	$28.84	35.9%	12.3%	50.1%	44.0%	42.6%	2.7%	0.3%	857.3K	112.7M	-1.4M	2.14	2.64	N/A	N/A	7,546	16,131	258,135	217,350
2015-12-07	$21.72	$28.84	39.0%	12.8%	51.4%	53.7%	45.0%	3.2%	5.5%	292.3K	140.1M	-1.3M	0.58	2.71	N/A	N/A	6,333	3,695	252,131	211,290
2015-12-08	$20.43	$28.84	42.2%	14.1%	52.5%	63.4%	46.3%	3.7%	7.3%	-751.5K	189.6M	-1.1M	1.78	2.28	N/A	N/A	10,478	18,644	255,855	214,325
2015-12-09	$20.98	$28.84	42.0%	13.4%	52.2%	62.8%	47.5%	4.0%	4.7%	-337.9K	169.6M	-1.2M	2.15	2.94	N/A	N/A	6,240	13,398	260,327	213,715
2015-12-10	$22.11	$28.84	42.3%	13.7%	55.2%	63.7%	48.2%	3.0%	6.5%	926.3K	114.5M	-1.3M	1.00	2.51	N/A	N/A	19,220	19,212	262,286	214,258
2015-12-11	$21.27	$28.84	45.6%	14.4%	50.4%	74.1%	51.7%	5.1%	7.3%	172.4K	155.4M	-1.2M	2.39	2.20	N/A	N/A	8,976	21,416	268,162	215,866
2015-12-14	$21.63	$26.43	49.9%	14.7%	50.3%	87.1%	51.5%	4.8%	-1.8%	314.1K	139.3M	-1.3M	1.37	2.39	N/A	N/A	10,742	14,692	265,849	219,670
2015-12-15	$21.94	$26.43	49.5%	14.4%	49.1%	85.9%	50.1%	4.0%	-2.0%	1.1M	106.0M	-1.3M	1.50	2.91	N/A	N/A	12,753	19,194	270,941	214,238
2015-12-16	$22.18	$26.43	47.9%	13.7%	49.1%	81.1%	47.3%	3.4%	-1.6%	1.0M	101.7M	-1.4M	2.71	2.76	N/A	N/A	4,866	13,202	279,002	224,265
2015-12-17	$22.01	$26.43	48.2%	14.0%	49.3%	82.0%	49.0%	3.1%	-2.7%	729.1K	109.4M	-1.3M	3.50	3.13	N/A	N/A	4,085	14,306	279,770	224,613
2015-12-18	$22.25	$26.43	46.5%	13.6%	47.6%	76.6%	47.0%	3.6%	-2.6%	540.5K	99.0M	-1.3M	1.59	3.22	N/A	N/A	8,919	14,175	280,240	224,456
2015-12-21	$22.40	$26.43	44.1%	13.1%	47.5%	69.3%	45.7%	3.7%	-0.3%	977.0K	106.3M	-1.3M	1.41	5.47	N/A	N/A	7,868	11,125	252,788	203,700
2015-12-22	$22.92	$26.43	41.2%	12.0%	45.8%	60.3%	42.2%	3.5%	-0.4%	2.5M	76.5M	-1.3M	1.14	7.64	N/A	N/A	10,296	11,705	257,577	204,509
2015-12-23	$24.46	$26.43	42.1%	12.8%	50.9%	63.3%	45.3%	2.2%	-0.3%	2.5M	-19.9M	-1.5M	0.55	8.33	N/A	N/A	32,584	18,021	260,980	204,710
2015-12-24	$24.32	$26.43	42.5%	12.7%	49.9%	64.3%	45.3%	1.9%	-2.0%	3.2M	-17.3M	-1.5M	2.36	6.04	N/A	N/A	5,190	12,272	271,031	208,905
2015-12-28	$24.01	$26.43	43.3%	13.3%	50.1%	66.7%	47.6%	3.4%	-0.4%	3.1M	21.7M	-1.4M	1.16	6.60	N/A	N/A	10,537	12,186	266,315	205,268
2015-12-29	$24.32	$26.43	43.7%	13.6%	50.2%	68.0%	47.9%	2.7%	-1.3%	3.6M	13.2M	-1.4M	0.98	6.58	N/A	N/A	10,690	10,478	270,554	208,471
2015-12-30	$23.91	$26.43	42.4%	13.3%	50.6%	64.2%	48.0%	3.2%	-0.2%	3.5M	27.8M	-1.4M	0.70	7.18	N/A	N/A	14,727	10,328	273,978	208,978
2015-12-31	$23.72	$26.43	42.6%	13.2%	50.5%	64.7%	48.1%	2.9%	-0.3%	3.0M	41.3M	-1.4M	2.19	7.02	N/A	N/A	6,433	14,110	275,156	210,032