AA Options History — April 2016

In April 2016, AA traded between $22.54 and $27.20. ATM implied volatility averaged 42.0%, placing in the 51.7% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 2.0% (HV 20d: 39.9%). Max pain ranged from $19.22 to $24.03. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2016-04-11: Highest Volume — 101,029 contracts
  • 2016-04-12: Largest IV drop — 17.2% change
  • 2016-04-11: Highest IV Rank — 75.6%
  • 2016-04-08: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.28$22.54$27.20$23.07$26.87
Max Pain$21.40$19.22$24.03$21.63$24.03
ATM IV42.0%36.5%51.4%46.1%41.5%
Expected Move12.0%10.4%14.5%14.4%11.8%
HV 20d39.9%30.5%51.3%50.9%41.0%
HV 60d59.8%56.9%65.0%65.0%56.9%
IV Rank51.7%37.7%75.6%62.2%50.4%
IV Percentile51.9%31.3%89.3%65.9%48.4%
Term Structure-0.4%-2.2%1.4%-0.7%-0.2%
VWIV41.9%37.0%49.5%49.5%41.2%
Skew 25d3.9%2.6%6.1%4.5%3.1%
Skew 10d7.8%4.9%13.2%11.9%7.0%
Call IV 25d40.9%35.7%49.9%45.1%40.7%
Put IV 25d44.8%39.0%55.1%49.6%43.8%
Bid-Ask Spread %5.162.8120.776.3511.96
Gamma HHI0.290.170.480.240.34
Net GEX6.9M1.6M18.0M5.4M8.3M
Net DEX-286.7M-502.8M-159.0M-205.6M-476.3M
Net VEX-2.0M-2.2M-1.8M-1.9M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.101.440.800.43
Total Volume34,335.4768,668101,0299,16313,997
Total OI582,995.952518,464688,232564,106570,240

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$23.07$21.6346.1%14.4%50.9%62.2%49.5%4.5%-0.7%5.4M-205.6M-1.9M0.806.35N/AN/A5,0964,067337,255226,851
2016-04-04$22.54$19.2246.9%13.3%51.3%64.2%45.3%4.7%-1.2%4.5M-164.2M-1.9M0.453.50N/AN/A12,8205,787332,578224,503
2016-04-05$22.61$19.2246.5%13.3%48.9%63.2%44.4%3.5%-1.3%4.5M-165.3M-1.8M1.313.35N/AN/A4,8356,328334,196225,625
2016-04-06$22.85$19.2246.6%12.7%41.6%63.5%44.8%4.4%-1.9%4.9M-180.7M-1.9M1.013.07N/AN/A13,14613,291335,838228,036
2016-04-07$22.85$19.2250.9%14.0%41.3%74.4%49.4%4.1%-1.7%4.7M-189.2M-1.9M0.403.09N/AN/A30,50412,062343,387237,668
2016-04-08$22.54$21.6350.8%14.5%41.2%74.0%49.3%6.1%-0.8%4.2M-170.8M-2.0M0.622.84N/AN/A43,46826,775358,678239,617
2016-04-11$23.41$21.6351.4%13.9%43.4%75.6%48.7%4.6%-2.2%6.2M-256.7M-2.0M1.032.81N/AN/A49,77351,256376,423259,994
2016-04-12$22.68$21.6342.6%12.6%44.6%53.2%44.2%3.9%1.4%1.6M-159.0M-1.9M1.443.22N/AN/A21,41730,916396,243288,407
2016-04-13$23.50$21.6340.3%11.4%41.7%47.3%41.0%4.2%-0.2%10.3M-263.2M-2.0M0.273.21N/AN/A24,8586,739399,305280,454
2016-04-14$24.05$21.6339.5%11.3%36.0%45.3%39.6%2.9%-0.2%18.0M-334.1M-2.0M0.732.82N/AN/A12,0378,750403,546281,552
2016-04-15$24.01$21.6338.4%11.0%35.1%42.7%38.7%3.9%0.1%5.0M-286.8M-1.9M0.723.16N/AN/A46,13233,212403,879284,353
2016-04-18$24.27$21.6337.4%10.7%35.3%40.1%37.0%3.6%1.3%5.6M-254.0M-1.9M0.173.41N/AN/A24,6994,197324,159194,305
2016-04-19$25.23$21.6336.5%10.4%37.5%37.7%37.9%3.3%0.4%7.4M-327.0M-1.9M0.193.07N/AN/A24,8154,753330,698195,743
2016-04-20$25.42$21.6336.9%10.6%37.5%38.7%37.3%3.1%0.7%7.7M-343.2M-1.9M0.253.39N/AN/A22,7625,658334,522196,914
2016-04-21$25.04$21.6336.9%10.6%31.4%38.8%37.8%3.3%0.6%7.3M-315.9M-1.9M0.673.68N/AN/A6,0844,099335,768198,795
2016-04-22$24.99$21.6337.1%10.6%30.5%39.2%37.1%3.4%0.2%6.9M-308.1M-1.9M0.103.08N/AN/A64,3686,285336,553200,091
2016-04-25$24.39$21.6339.2%11.2%31.8%44.7%38.6%4.0%-0.3%7.7M-280.9M-2.1M0.776.30N/AN/A4,8983,770366,733187,571
2016-04-26$25.64$21.6337.6%10.8%36.0%40.5%38.1%2.6%-0.2%8.3M-366.8M-2.1M0.308.45N/AN/A14,0524,212359,443189,160
2016-04-27$27.20$21.6338.4%10.8%40.7%42.6%39.5%3.5%-1.0%8.6M-502.8M-2.2M0.4820.77N/AN/A21,52910,347367,805190,009
2016-04-28$26.75$24.0340.1%11.5%41.1%46.9%40.7%4.2%-0.9%8.7M-469.9M-2.2M0.406.80N/AN/A12,3274,924372,735193,283
2016-04-29$26.87$24.0341.5%11.8%41.0%50.4%41.2%3.1%-0.2%8.3M-476.3M-2.2M0.4311.96N/AN/A9,8164,181375,305194,935