AA Options History — January 2016

In January 2016, AA traded between $16.22 and $23.55. ATM implied volatility averaged 52.2%, placing in the 86.1% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded below realized volatility by 2.1% (HV 20d: 54.3%). Max pain ranged from $18.02 to $21.63. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.15.

Notable Days

  • 2016-01-12: Highest Volume — 92,988 contracts
  • 2016-01-20: Largest IV spike — 16.1% change
  • 2016-01-07: Highest IV Rank — 100.0%
  • 2016-01-20: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.10$16.22$23.55$23.55$17.13
Max Pain$20.11$18.02$21.63$21.63$18.02
ATM IV52.2%45.8%61.0%48.0%48.4%
Expected Move14.8%12.7%17.5%12.7%13.9%
HV 20d54.3%47.9%59.8%47.9%56.6%
HV 60d49.8%44.4%52.8%44.4%52.7%
IV Rank86.1%68.1%100.0%81.4%68.1%
IV Percentile94.8%85.7%100.0%91.7%85.7%
Term Structure-0.9%-2.9%1.2%-2.0%-0.9%
VWIV51.6%44.9%59.0%45.2%50.4%
Skew 25d5.4%2.1%10.2%2.1%3.5%
Skew 10d12.2%3.1%25.9%9.5%14.9%
Call IV 25d50.6%46.0%55.7%47.2%47.2%
Put IV 25d56.1%49.3%65.9%49.4%50.7%
Bid-Ask Spread %8.303.3816.734.567.89
Gamma HHI0.270.140.340.200.33
Net GEX394.1K-1.8M2.6M2.5M2.6M
Net DEX115.1M-5.5M251.9M57.8M-5.5M
Net VEX-1.1M-1.4M-837.4K-1.4M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.122.312.050.79
Total Volume37,9456,38192,98824,0976,381
Total OI454,245.263335,848575,748480,332407,142

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$23.55$21.6348.0%12.7%47.9%81.4%45.2%2.1%-2.0%2.5M57.8M-1.4M2.054.56N/AN/A7,91116,186271,192209,140
2016-01-05$22.25$21.6345.8%13.1%50.7%74.6%44.9%3.4%-0.7%190.7K136.0M-1.2M2.024.47N/AN/A7,73415,634273,152213,747
2016-01-06$20.74$21.6351.0%13.5%55.5%90.5%48.2%3.0%-2.0%-697.8K185.5M-1.1M1.325.90N/AN/A15,75520,780276,657216,341
2016-01-07$19.92$21.6354.6%14.8%52.9%100.0%51.5%2.9%-1.4%-890.6K207.2M-1.0M1.654.40N/AN/A11,20518,482284,233220,677
2016-01-08$19.32$21.6354.8%14.8%52.8%100.0%52.1%4.3%-2.5%-970.8K216.5M-1.0M0.763.64N/AN/A25,62919,572288,290224,509
2016-01-11$19.15$21.6354.7%14.8%48.4%99.8%52.1%4.9%-2.9%-719.8K209.8M-1.0M2.313.38N/AN/A25,28358,330289,844223,330
2016-01-12$17.49$21.6352.8%15.2%55.8%93.8%51.1%4.0%0.7%-1.3M246.1M-879.0K2.117.81N/AN/A29,94363,045305,077235,798
2016-01-13$17.13$21.6355.3%15.1%55.0%100.0%51.5%8.2%-2.0%-1.8M235.0M-924.1K1.068.69N/AN/A20,71821,978319,115248,100
2016-01-14$17.45$21.6350.1%14.7%55.2%84.4%50.4%6.0%1.2%-1.8M220.8M-986.3K1.169.21N/AN/A12,18214,092323,448249,655
2016-01-15$16.60$21.6353.7%15.2%56.1%95.2%54.9%7.2%-0.9%-459.6K251.9M-837.4K0.448.03N/AN/A45,11519,946326,642249,106
2016-01-19$16.32$19.2252.5%15.0%56.1%91.7%52.6%7.1%-0.9%288.5K58.7M-938.0K0.3913.50N/AN/A21,0168,177204,558131,290
2016-01-20$16.22$19.2261.0%17.5%55.4%100.0%59.0%10.2%-2.2%584.1K53.4M-989.8K0.7015.64N/AN/A30,00620,970217,213134,567
2016-01-21$17.06$18.0255.4%15.9%59.8%85.7%55.3%8.5%0.1%1.5M10.6M-1.2M1.297.29N/AN/A11,57114,951234,243143,341
2016-01-22$16.53$18.0252.0%14.9%58.4%77.1%52.6%6.9%-0.1%1.4M34.9M-1.1M1.658.00N/AN/A16,53227,348240,831141,806
2016-01-25$16.34$19.2251.4%15.2%50.0%75.7%53.6%6.3%0.4%1.3M29.4M-1.1M0.758.34N/AN/A5,6954,295231,236138,463
2016-01-26$17.13$18.0251.1%15.0%55.3%74.8%51.1%5.0%-0.9%1.9M8.7M-1.2M0.739.03N/AN/A11,6428,458233,097139,531
2016-01-27$16.68$18.0250.4%14.8%55.4%73.1%52.2%5.2%-0.5%1.7M22.7M-1.1M0.1216.73N/AN/A50,9586,047237,105142,372
2016-01-28$16.85$18.0248.9%14.4%55.2%69.1%51.8%4.9%-0.3%2.3M7.1M-1.3M0.6111.21N/AN/A4,5782,810261,174144,638
2016-01-29$17.13$18.0248.4%13.9%56.6%68.1%50.4%3.5%-0.9%2.6M-5.5M-1.3M0.797.89N/AN/A3,5672,814262,256144,886