AA Options History — March 2016

In March 2016, AA traded between $21.92 and $24.05. ATM implied volatility averaged 47.7%, placing in the 66.3% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded below realized volatility by 17.3% (HV 20d: 65.0%). Max pain ranged from $19.22 to $21.63. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.90.

Notable Days

2016-03-04: Highest Volume — 88,807 contracts
2016-03-16: Largest IV drop — 6.8% change
2016-03-15: Highest IV Rank — 79.3%
2016-03-08: Largest Expected Move — 15.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.10	$21.92	$24.05	$21.92	$23.02
Max Pain	$20.64	$19.22	$21.63	$19.22	$21.63
ATM IV	47.7%	44.2%	52.8%	44.5%	46.3%
Expected Move	14.4%	13.2%	15.7%	13.3%	14.6%
HV 20d	65.0%	50.6%	78.6%	78.6%	51.4%
HV 60d	65.4%	63.9%	66.5%	64.8%	66.1%
IV Rank	66.3%	57.4%	79.3%	58.0%	62.7%
IV Percentile	75.9%	66.7%	94.4%	70.2%	66.7%
Term Structure	0.6%	-2.0%	5.2%	0.3%	-1.0%
VWIV	50.0%	39.6%	54.9%	46.8%	51.4%
Skew 25d	4.4%	2.6%	6.2%	6.2%	3.2%
Skew 10d	8.9%	1.9%	17.4%	11.9%	5.3%
Call IV 25d	46.4%	42.0%	52.3%	42.0%	45.3%
Put IV 25d	50.8%	47.8%	56.3%	48.1%	48.5%
Bid-Ask Spread %	12.23	3.21	55.28	54.13	6.62
Gamma HHI	0.25	0.20	0.53	0.20	0.26
Net GEX	5.2M	3.6M	12.8M	3.9M	5.7M
Net DEX	-241.1M	-329.6M	-156.4M	-191.8M	-205.5M
Net VEX	-2.0M	-2.1M	-1.7M	-1.7M	-1.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.47	1.88	0.57	1.31
Total Volume	26,094.136	8,532	88,807	9,861	9,648
Total OI	528,532.318	447,381	577,322	447,381	560,845

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
2016-03-01	$21.92	$19.22	44.5%	13.3%	78.6%	58.0%	46.8%	6.2%	0.3%	3.9M	-191.8M	-1.7M	0.57	54.13	N/A	N/A	6,280	3,581	263,140	184,241
2016-03-02	$23.21	$19.22	44.2%	13.5%	77.9%	57.4%	47.5%	6.2%	0.4%	4.6M	-261.3M	-1.7M	0.64	55.28	N/A	N/A	31,392	20,006	265,160	184,292
2016-03-03	$22.76	$19.22	44.5%	14.5%	74.9%	58.2%	51.1%	4.6%	0.4%	4.9M	-247.8M	-1.8M	0.77	4.64	N/A	N/A	7,596	5,833	282,468	198,107
2016-03-04	$23.09	$19.22	46.2%	14.5%	67.7%	62.4%	51.6%	4.7%	1.4%	4.3M	-264.5M	-1.8M	0.49	6.21	N/A	N/A	59,658	29,149	283,316	199,335
2016-03-07	$24.05	$19.22	48.1%	15.0%	67.5%	67.4%	53.2%	4.9%	4.1%	4.5M	-325.8M	-2.0M	0.56	5.11	N/A	N/A	44,502	25,067	306,466	195,799
2016-03-08	$22.37	$19.22	49.3%	15.7%	72.8%	70.2%	52.7%	4.5%	5.2%	3.9M	-209.3M	-2.0M	1.88	4.85	N/A	N/A	10,189	19,157	318,850	206,331
2016-03-09	$22.66	$19.22	49.5%	15.5%	72.5%	70.9%	54.9%	5.5%	4.0%	3.9M	-220.4M	-2.1M	0.85	4.35	N/A	N/A	6,998	5,933	321,380	214,730
2016-03-10	$23.02	$19.22	49.1%	15.1%	70.3%	69.8%	54.1%	6.0%	3.5%	4.2M	-252.2M	-2.1M	0.66	4.57	N/A	N/A	5,855	3,845	322,748	210,205
2016-03-11	$22.88	$19.22	49.3%	14.9%	69.6%	70.2%	53.2%	3.7%	4.1%	4.1M	-248.6M	-2.1M	1.08	4.59	N/A	N/A	22,858	24,677	324,330	211,437
2016-03-14	$23.19	$21.63	51.1%	14.9%	68.7%	74.8%	39.6%	4.0%	0.3%	4.5M	-249.4M	-2.1M	0.90	3.21	N/A	N/A	16,949	15,228	321,517	220,097
2016-03-15	$21.96	$21.63	52.8%	15.3%	70.5%	79.3%	53.2%	3.8%	-0.7%	3.6M	-164.5M	-2.0M	0.87	8.24	N/A	N/A	14,958	13,035	322,627	221,968
2016-03-16	$23.41	$21.63	49.3%	14.1%	71.8%	70.2%	50.1%	3.7%	-0.1%	4.9M	-268.7M	-2.1M	0.99	14.97	N/A	N/A	13,673	13,471	324,964	222,724
2016-03-17	$23.96	$21.63	48.4%	13.9%	69.0%	68.0%	49.3%	4.1%	-1.1%	6.4M	-329.6M	-2.1M	1.53	5.15	N/A	N/A	8,347	12,778	329,747	221,392
2016-03-18	$23.96	$21.63	47.3%	13.6%	67.5%	65.2%	48.6%	4.1%	-0.7%	12.8M	-309.3M	-2.1M	0.47	7.47	N/A	N/A	14,402	6,809	342,814	234,508
2016-03-21	$23.74	$21.63	46.6%	13.3%	53.5%	63.4%	47.2%	2.6%	-0.8%	5.7M	-259.4M	-2.0M	0.50	8.37	N/A	N/A	10,072	5,006	322,179	212,220
2016-03-22	$23.67	$21.63	45.8%	13.2%	50.6%	61.5%	46.6%	2.9%	-1.0%	5.9M	-254.4M	-2.0M	0.72	7.05	N/A	N/A	4,965	3,567	326,015	213,998
2016-03-23	$22.40	$21.63	47.8%	14.2%	54.8%	66.5%	49.4%	4.5%	-1.1%	4.2M	-156.4M	-1.9M	0.95	12.68	N/A	N/A	11,593	11,005	327,639	214,763
2016-03-24	$23.00	$21.63	47.8%	13.9%	55.2%	66.5%	50.1%	3.3%	-1.5%	5.2M	-207.7M	-2.0M	1.32	10.56	N/A	N/A	7,677	10,116	332,293	220,587
2016-03-28	$23.33	$21.63	47.6%	14.3%	55.3%	66.0%	48.7%	4.7%	-0.8%	5.9M	-229.5M	-1.9M	0.70	11.42	N/A	N/A	5,261	3,684	328,923	215,744
2016-03-29	$23.29	$21.63	47.5%	14.4%	55.3%	65.8%	50.9%	4.8%	-2.0%	5.9M	-220.5M	-1.9M	0.94	23.32	N/A	N/A	5,633	5,306	330,840	216,727
2016-03-30	$23.31	$21.63	46.7%	14.4%	55.1%	63.6%	50.6%	4.7%	-0.8%	6.0M	-227.1M	-1.9M	1.02	6.30	N/A	N/A	9,047	9,265	332,402	217,843
2016-03-31	$23.02	$21.63	46.3%	14.6%	51.4%	62.7%	51.4%	3.2%	-1.0%	5.7M	-205.5M	-1.9M	1.31	6.62	N/A	N/A	4,176	5,472	336,739	224,106