AA Options History — May 2016

In May 2016, AA traded between $21.68 and $26.38. ATM implied volatility averaged 43.2%, placing in the 54.0% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 2.0% (HV 20d: 45.3%). 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 14 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2016-05-05: Highest Volume — 70,960 contracts
  • 2016-05-04: Largest IV spike — 6.3% change
  • 2016-05-09: Highest IV Rank — 63.2%
  • 2016-05-09: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.03$21.68$26.38$26.38$22.35
Max Pain$19.91$19.22$24.03$24.03$19.22
ATM IV43.2%37.8%46.5%41.1%38.8%
Expected Move12.4%10.6%13.8%12.1%11.1%
HV 20d45.3%36.5%51.1%40.6%36.5%
HV 60d49.9%43.8%55.7%53.8%43.8%
IV Rank54.0%37.4%63.2%49.5%39.3%
IV Percentile51.7%27.4%65.5%47.2%30.2%
Term Structure0.4%-1.1%1.7%0.2%-0.8%
VWIV43.7%37.4%50.7%43.2%39.5%
Skew 25d3.5%1.9%5.3%3.7%2.8%
Skew 10d7.1%2.4%10.3%7.6%5.0%
Call IV 25d42.3%38.2%45.6%40.1%38.7%
Put IV 25d45.8%40.2%49.8%43.8%41.6%
Bid-Ask Spread %7.302.5619.587.557.84
Gamma HHI0.280.240.360.350.27
Net GEX7.0M5.8M9.1M8.5M6.6M
Net DEX-206.5M-425.9M-99.4M-425.9M-170.8M
Net VEX-2.1M-2.4M-1.9M-2.2M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.131.780.800.46
Total Volume18,488.0484,14070,96010,10413,953
Total OI616,409.286562,300659,916562,300633,641

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$26.38$24.0341.1%12.1%40.6%49.5%43.2%3.7%0.2%8.5M-425.9M-2.2M0.807.55N/AN/A5,6074,497370,401191,899
2016-05-03$24.85$24.0341.8%12.3%47.2%51.2%43.0%3.6%1.1%7.4M-302.1M-2.1M0.348.21N/AN/A25,2978,559371,833193,056
2016-05-04$24.63$24.0344.4%13.2%47.4%57.9%43.0%4.1%1.0%7.3M-287.6M-2.1M0.5613.70N/AN/A8,1124,514373,362194,856
2016-05-05$24.05$19.2244.5%13.1%48.4%58.2%46.1%4.1%0.8%6.8M-248.3M-2.2M0.133.08N/AN/A62,6708,290377,720194,486
2016-05-06$24.17$19.2243.9%12.9%48.0%56.7%44.8%4.0%0.9%9.1M-312.4M-2.4M0.913.78N/AN/A6,3765,824436,845197,272
2016-05-09$22.78$19.2246.5%13.8%51.1%63.2%48.0%3.7%1.1%6.4M-175.6M-2.1M1.043.98N/AN/A12,58813,079408,429196,060
2016-05-10$23.21$19.2245.3%12.7%50.3%60.2%45.0%3.8%-1.1%6.9M-214.6M-2.2M0.532.56N/AN/A8,9864,774414,864201,688
2016-05-11$22.95$19.2245.1%12.8%48.8%59.6%46.4%4.0%-0.3%6.7M-201.7M-2.2M0.433.33N/AN/A6,0822,622417,065202,338
2016-05-12$22.68$19.2245.9%13.7%48.0%61.5%50.7%2.4%1.7%6.4M-181.0M-2.1M1.154.82N/AN/A9,43610,839418,240203,205
2016-05-13$22.13$19.2245.8%13.3%48.6%61.4%46.1%3.0%1.4%6.0M-132.7M-2.0M0.633.98N/AN/A7,8234,949419,517210,447
2016-05-16$22.32$19.2246.2%13.4%48.5%62.5%46.1%5.3%-0.1%6.1M-147.4M-2.0M0.476.48N/AN/A5,7282,687416,672207,529
2016-05-17$22.35$19.2246.3%13.3%45.9%62.6%47.4%3.9%-0.2%6.2M-148.4M-2.0M0.928.76N/AN/A2,1511,989417,988208,468
2016-05-18$21.68$19.2244.9%12.9%46.4%59.1%44.8%4.1%0.1%5.8M-99.4M-1.9M1.058.42N/AN/A4,2204,434424,152208,438
2016-05-19$21.92$19.2244.6%12.8%46.8%58.3%45.7%4.1%0.3%5.8M-115.0M-1.9M0.137.64N/AN/A50,8736,563425,216209,482
2016-05-20$21.87$19.2243.1%12.2%46.8%54.6%43.2%3.2%1.4%6.5M-131.4M-2.0M1.246.55N/AN/A4,3965,466448,097211,819
2016-05-23$22.35$19.2241.7%11.6%47.3%51.1%40.8%2.8%0.3%6.9M-181.4M-2.0M0.586.26N/AN/A7,3364,281424,915192,097
2016-05-24$22.68$19.2240.2%11.2%43.5%44.6%39.5%2.7%-0.4%7.7M-210.5M-2.0M0.6611.27N/AN/A7,0214,644428,960194,367
2016-05-25$23.02$19.2240.0%11.1%37.0%43.9%38.1%2.4%-0.6%8.4M-240.6M-2.1M0.515.71N/AN/A7,0143,587431,466194,538
2016-05-26$22.85$19.2239.4%11.2%36.8%41.9%38.2%3.8%0.6%8.5M-222.1M-2.0M1.069.89N/AN/A9,56710,095434,531195,457
2016-05-27$22.49$19.2237.8%10.6%36.6%37.4%37.4%1.9%0.7%7.0M-187.4M-2.0M1.7819.58N/AN/A4,0697,251440,831202,348
2016-05-31$22.35$19.2238.8%11.1%36.5%39.3%39.5%2.8%-0.8%6.6M-170.8M-1.9M0.467.84N/AN/A9,5474,406433,888199,753