AA Options History — June 2016

In June 2016, AA traded between $21.84 and $24.39. ATM implied volatility averaged 43.9%, placing in the 50.0% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 10.9% (HV 20d: 33.0%). Max pain ranged from $19.22 to $19.22. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.07.

Notable Days

2016-06-28: Highest Volume — 78,589 contracts
2016-06-13: Largest IV spike — 11.1% change
2016-06-27: Highest IV Rank — 72.6%
2016-06-27: Largest Expected Move — 16.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.91	$21.84	$24.39	$22.32	$22.28
Max Pain	$19.22	$19.22	$19.22	$19.22	$19.22
ATM IV	43.9%	35.2%	51.7%	38.7%	46.4%
Expected Move	13.5%	10.7%	16.1%	10.7%	14.8%
HV 20d	33.0%	25.4%	45.2%	31.0%	45.2%
HV 60d	39.5%	37.1%	42.9%	42.9%	41.5%
IV Rank	50.0%	24.0%	72.6%	39.0%	56.8%
IV Percentile	53.0%	14.7%	90.1%	29.0%	60.7%
Term Structure	0.3%	-3.2%	8.1%	-0.4%	-0.8%
VWIV	48.2%	38.1%	59.3%	38.1%	53.8%
Skew 25d	3.9%	1.9%	6.0%	3.7%	5.2%
Skew 10d	8.2%	3.5%	12.2%	6.9%	11.8%
Call IV 25d	43.3%	35.3%	50.3%	37.6%	45.8%
Put IV 25d	47.2%	38.0%	55.0%	41.3%	50.9%
Bid-Ask Spread %	6.19	2.45	16.99	10.99	7.22
Gamma HHI	0.26	0.20	0.34	0.26	0.24
Net GEX	7.4M	5.3M	10.7M	6.8M	6.0M
Net DEX	-200.5M	-310.3M	-105.4M	-171.0M	-136.0M
Net VEX	-1.9M	-2.1M	-1.7M	-1.9M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.07	0.28	2.15	0.95	0.95
Total Volume	30,598.455	7,397	78,589	7,397	33,487
Total OI	633,310.5	572,244	677,593	640,297	630,092

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
2016-06-01	$22.32	$19.22	38.7%	10.7%	31.0%	39.0%	38.1%	3.7%	-0.4%	6.8M	-171.0M	-1.9M	0.95	10.99	N/A	N/A	3,801	3,596	439,287	201,010
2016-06-02	$22.42	$19.22	38.2%	12.5%	31.1%	36.0%	43.1%	2.6%	-0.4%	6.5M	-171.8M	-1.9M	1.11	3.01	N/A	N/A	5,717	6,330	440,403	202,657
2016-06-03	$22.90	$19.22	36.3%	11.8%	31.6%	29.3%	43.1%	3.1%	0.2%	9.0M	-225.5M	-2.0M	0.78	3.40	N/A	N/A	7,200	5,596	443,422	204,433
2016-06-06	$23.67	$19.22	35.9%	11.9%	33.9%	28.1%	42.4%	2.4%	6.2%	8.3M	-281.1M	-2.0M	0.74	2.53	N/A	N/A	10,137	7,483	440,335	203,345
2016-06-07	$23.53	$19.22	35.2%	11.8%	26.2%	24.0%	42.5%	2.6%	5.6%	9.0M	-270.0M	-2.0M	1.44	3.29	N/A	N/A	4,368	6,311	445,477	203,819
2016-06-08	$23.81	$19.22	36.3%	12.3%	25.7%	27.2%	43.8%	3.1%	6.6%	9.3M	-310.3M	-2.1M	1.67	3.07	N/A	N/A	5,875	9,825	446,521	208,064
2016-06-09	$23.67	$19.22	37.6%	12.4%	25.4%	31.1%	45.0%	4.0%	6.8%	8.7M	-287.3M	-2.0M	1.01	3.06	N/A	N/A	3,860	3,895	448,710	209,061
2016-06-10	$22.80	$19.22	41.4%	13.3%	28.6%	42.1%	46.0%	3.5%	8.1%	7.9M	-210.5M	-1.9M	2.15	3.82	N/A	N/A	4,176	8,960	449,227	210,313
2016-06-13	$22.40	$19.22	46.0%	13.6%	27.9%	55.7%	47.8%	3.1%	-3.0%	6.4M	-181.0M	-1.8M	0.74	3.26	N/A	N/A	4,890	3,632	444,790	208,905
2016-06-14	$21.84	$19.22	49.1%	14.3%	29.2%	64.8%	50.1%	6.0%	-2.0%	5.3M	-128.7M	-1.7M	0.72	2.45	N/A	N/A	35,102	25,298	446,383	210,360
2016-06-15	$22.68	$19.22	49.9%	14.3%	32.3%	67.1%	49.7%	1.9%	-3.2%	6.1M	-191.4M	-1.9M	0.85	2.98	N/A	N/A	8,424	7,126	447,727	226,803
2016-06-16	$22.59	$19.22	49.3%	14.3%	30.2%	65.6%	50.2%	5.1%	-3.0%	5.5M	-173.0M	-1.8M	2.11	6.14	N/A	N/A	4,637	9,779	449,203	228,250
2016-06-17	$23.00	$19.22	46.8%	13.5%	30.5%	58.0%	48.7%	5.0%	-0.3%	7.4M	-215.0M	-1.9M	1.00	5.95	N/A	N/A	31,412	31,569	450,764	226,829
2016-06-20	$23.48	$19.22	44.4%	13.2%	31.2%	51.1%	48.2%	4.2%	-1.3%	8.6M	-215.6M	-1.9M	0.97	7.54	N/A	N/A	20,983	20,371	401,320	170,924
2016-06-21	$23.69	$19.22	44.6%	13.2%	30.5%	51.5%	46.8%	4.7%	-1.5%	9.0M	-224.0M	-1.9M	1.19	6.40	N/A	N/A	16,022	19,134	403,800	173,152
2016-06-22	$23.84	$19.22	46.9%	14.2%	30.2%	58.3%	51.4%	3.6%	-2.1%	9.3M	-238.3M	-1.9M	1.09	7.02	N/A	N/A	21,787	23,639	404,720	175,401
2016-06-23	$24.39	$19.22	46.0%	14.1%	30.8%	55.8%	49.2%	3.8%	-1.8%	10.7M	-281.0M	-2.0M	0.70	11.40	N/A	N/A	24,012	16,881	406,795	177,416
2016-06-24	$22.56	$19.22	50.0%	15.7%	42.0%	67.7%	55.1%	4.7%	-2.6%	6.5M	-138.6M	-1.8M	1.30	16.99	N/A	N/A	27,191	35,277	407,819	178,577
2016-06-27	$21.87	$19.22	51.7%	16.1%	43.1%	72.6%	59.3%	4.7%	-1.7%	5.6M	-105.4M	-1.8M	0.98	7.02	N/A	N/A	21,125	20,790	428,313	186,116
2016-06-28	$22.40	$19.22	47.1%	14.8%	44.0%	59.1%	53.0%	3.6%	-1.0%	5.7M	-137.4M	-1.7M	0.28	6.73	N/A	N/A	61,171	17,418	413,036	190,333
2016-06-29	$21.89	$19.22	47.3%	15.1%	44.7%	59.7%	52.1%	4.6%	-0.9%	5.7M	-118.4M	-1.8M	0.86	11.80	N/A	N/A	18,783	16,096	457,853	191,066
2016-06-30	$22.28	$19.22	46.4%	14.8%	45.2%	56.8%	53.8%	5.2%	-0.8%	6.0M	-136.0M	-1.8M	0.95	7.22	N/A	N/A	17,215	16,272	438,207	191,885