AA Options History — February 2016

In February 2016, AA traded between $16.70 and $21.53. ATM implied volatility averaged 51.3%, placing in the 75.2% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded below realized volatility by 18.8% (HV 20d: 70.1%). Max pain ranged from $18.02 to $19.22. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.28.

Notable Days

  • 2016-02-04: Highest Volume — 58,533 contracts
  • 2016-02-08: Largest IV spike — 10.7% change
  • 2016-02-11: Highest IV Rank — 99.0%
  • 2016-02-11: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.47$16.70$21.53$17.35$21.53
Max Pain$19.04$18.02$19.22$18.02$19.22
ATM IV51.3%46.3%60.6%47.6%46.7%
Expected Move14.7%13.8%17.2%14.2%13.8%
HV 20d70.1%57.5%80.6%57.5%78.5%
HV 60d59.6%52.4%64.9%52.4%64.8%
IV Rank75.2%62.7%99.0%65.9%63.8%
IV Percentile87.5%73.8%99.6%82.9%75.0%
Term Structure-2.1%-11.0%6.0%-0.4%-0.3%
VWIV52.5%45.3%65.5%48.2%49.4%
Skew 25d5.7%2.5%11.5%4.8%4.7%
Skew 10d12.4%4.8%19.7%9.6%11.7%
Call IV 25d49.7%45.4%59.9%45.6%45.4%
Put IV 25d55.4%50.1%66.2%50.3%50.1%
Bid-Ask Spread %47.586.9971.0610.6152.27
Gamma HHI0.290.190.400.400.20
Net GEX3.0M1.4M4.4M2.4M3.5M
Net DEX-91.5M-172.6M17.0M-4.1M-172.6M
Net VEX-1.6M-1.7M-1.3M-1.3M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.173.641.920.83
Total Volume24,411.18,61858,53323,96614,115
Total OI445,249.8398,796477,096398,796445,534

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$17.35$18.0247.6%14.2%57.5%65.9%48.2%4.8%-0.4%2.4M-4.1M-1.3M1.9210.61N/AN/A8,22115,745258,385140,411
2016-02-02$16.70$18.0248.2%14.3%57.9%67.4%51.9%4.7%1.0%1.8M17.0M-1.3M0.766.99N/AN/A6,3164,768261,710151,941
2016-02-03$18.12$18.0248.5%14.2%65.7%68.3%60.0%5.9%-0.3%3.0M-35.8M-1.5M0.179.14N/AN/A25,2634,306261,267153,648
2016-02-04$19.97$19.2250.7%14.4%72.0%73.8%49.5%4.0%-1.0%4.0M-154.6M-1.6M0.4213.32N/AN/A41,08017,453276,596153,467
2016-02-05$19.44$19.2251.6%14.1%71.2%76.0%45.3%6.8%-0.8%3.8M-126.8M-1.6M1.4236.13N/AN/A15,40021,816285,413163,528
2016-02-08$19.01$19.2257.1%16.1%70.8%90.1%59.7%6.3%-8.1%2.9M-86.8M-1.6M1.4537.12N/AN/A12,88018,675279,909169,444
2016-02-09$18.79$19.2258.5%16.1%70.8%93.6%58.4%5.9%-7.3%2.5M-70.4M-1.6M3.2068.04N/AN/A5,32117,025281,895176,120
2016-02-10$18.09$19.2257.3%16.1%64.1%90.6%56.7%8.3%-6.7%1.8M-27.0M-1.5M3.6462.60N/AN/A4,48116,291276,169181,576
2016-02-11$17.71$19.2260.6%17.2%64.2%99.0%65.5%6.3%-11.0%1.4M-8.7M-1.5M3.0463.41N/AN/A6,14918,719278,164191,826
2016-02-12$18.48$19.2257.3%15.6%65.6%90.5%54.9%6.8%-5.5%2.2M-39.5M-1.6M1.1369.53N/AN/A7,0357,920279,584197,512
2016-02-16$19.51$19.2252.4%15.0%64.9%78.2%52.7%5.7%-0.8%3.5M-92.7M-1.6M0.4667.89N/AN/A13,0925,976273,951187,602
2016-02-17$20.50$19.2248.9%14.0%65.8%69.4%49.9%5.7%0.7%4.4M-149.9M-1.6M0.7570.67N/AN/A14,70311,065277,479187,578
2016-02-18$19.54$19.2249.8%14.2%68.9%71.6%49.5%11.5%6.0%4.1M-94.8M-1.5M1.0470.71N/AN/A5,5625,777280,517191,444
2016-02-19$18.96$19.2248.7%14.0%68.4%68.7%49.2%4.1%-0.7%1.6M-38.0M-1.5M0.8571.06N/AN/A7,8486,690281,052193,605
2016-02-22$21.43$19.2248.8%14.3%78.6%68.9%50.4%5.4%-1.6%3.0M-153.5M-1.6M0.3553.09N/AN/A38,02113,498242,528169,660
2016-02-23$20.55$19.2249.1%14.2%80.6%69.9%47.5%6.0%-0.7%3.3M-125.4M-1.6M0.8053.56N/AN/A10,9118,688259,635173,131
2016-02-24$21.05$19.2249.1%14.5%79.6%69.9%51.8%2.5%-1.8%3.3M-144.6M-1.6M2.3555.50N/AN/A7,64817,986258,216177,362
2016-02-25$21.36$19.2247.8%14.1%78.4%66.6%50.7%4.4%-2.0%3.6M-159.8M-1.6M0.4525.70N/AN/A5,9332,685260,057183,162
2016-02-26$21.31$19.2246.3%13.8%78.6%62.7%48.8%4.2%-0.5%3.1M-160.9M-1.6M0.5254.29N/AN/A15,2307,930260,431183,487
2016-02-29$21.53$19.2246.7%13.8%78.5%63.8%49.4%4.7%-0.3%3.5M-172.6M-1.7M0.8352.27N/AN/A7,7126,403261,462184,072