AA Options History — July 2016

In July 2016, AA traded between $22.11 and $26.24. ATM implied volatility averaged 37.4%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 7.5% (HV 20d: 44.9%). Max pain ranged from $19.22 to $21.63. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2016-07-11: Highest Volume — 101,225 contracts
  • 2016-07-12: Largest IV drop — 18.5% change
  • 2016-07-06: Highest IV Rank — 61.5%
  • 2016-07-01: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.86$22.11$26.24$22.95$25.52
Max Pain$21.51$19.22$21.63$19.22$21.63
ATM IV37.4%32.2%47.9%46.0%32.2%
Expected Move10.6%9.0%14.9%14.9%9.0%
HV 20d44.9%34.4%50.8%45.8%34.5%
HV 60d41.4%37.6%43.5%42.0%37.6%
IV Rank24.5%0.0%61.5%55.8%0.0%
IV Percentile19.9%0.0%71.4%57.5%0.0%
Term Structure-0.5%-1.9%1.1%-1.7%0.6%
VWIV37.1%30.8%53.6%53.6%30.8%
Skew 25d3.6%2.4%5.1%4.1%2.4%
Skew 10d7.5%0.6%11.1%8.6%6.1%
Call IV 25d36.5%31.4%47.1%45.0%31.6%
Put IV 25d40.0%34.0%50.8%49.2%34.0%
Bid-Ask Spread %11.242.7499.3912.529.40
Gamma HHI0.370.220.560.310.37
Net GEX10.6M5.4M21.8M7.4M9.7M
Net DEX-266.9M-448.3M-124.5M-197.0M-240.8M
Net VEX-1.8M-1.9M-1.7M-1.9M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.221.101.000.26
Total Volume26,476.455,094101,22540,45917,019
Total OI556,339.85467,818658,021631,538481,154

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$22.95$19.2246.0%14.9%45.8%55.8%53.6%4.1%-1.7%7.4M-197.0M-1.9M1.0012.52N/AN/A20,18220,277438,915192,623
2016-07-05$22.28$21.6347.6%13.1%45.2%60.5%46.8%3.6%-1.6%5.7M-132.8M-1.7M1.093.14N/AN/A17,13918,655434,769187,169
2016-07-06$22.11$21.6347.9%13.0%45.2%61.5%43.4%3.6%-1.5%5.4M-124.5M-1.7M1.063.10N/AN/A16,24017,216436,617191,121
2016-07-07$22.44$21.6347.5%13.3%45.4%60.1%41.1%3.7%-1.9%6.4M-150.6M-1.7M1.073.84N/AN/A19,27020,608437,774192,317
2016-07-08$23.60$21.6343.7%12.1%49.1%48.9%41.4%4.8%-1.4%9.0M-238.5M-1.8M0.763.31N/AN/A26,35719,978441,189194,190
2016-07-11$24.32$21.6344.6%12.3%48.2%51.8%42.5%4.2%-1.3%11.3M-312.5M-1.9M0.652.74N/AN/A61,45239,773441,964192,478
2016-07-12$25.69$21.6336.4%10.0%50.8%27.4%36.8%5.1%-1.3%21.8M-448.3M-1.9M0.708.30N/AN/A39,49327,577449,709208,312
2016-07-13$25.71$21.6335.4%9.9%49.4%24.4%35.6%3.5%-0.9%20.2M-431.6M-1.9M0.227.11N/AN/A34,1357,581435,789210,127
2016-07-14$25.76$21.6334.0%9.6%48.2%20.5%35.0%3.6%-0.7%19.8M-423.4M-1.8M0.464.18N/AN/A11,5595,306433,298211,428
2016-07-15$26.22$21.6333.0%9.5%48.2%17.4%34.0%3.2%0.1%9.2M-441.6M-1.8M0.506.21N/AN/A12,7746,375433,457213,388
2016-07-18$26.24$21.6332.6%9.4%48.1%12.5%33.3%3.2%0.2%9.7M-284.5M-1.8M0.478.63N/AN/A5,7222,709319,566148,252
2016-07-19$25.59$21.6333.8%9.7%49.0%12.4%33.2%3.5%0.5%9.3M-241.8M-1.8M0.525.65N/AN/A5,6042,904321,870149,061
2016-07-20$25.50$21.6333.7%9.7%49.1%12.1%34.0%2.6%-0.0%9.2M-236.0M-1.8M0.606.45N/AN/A3,6032,169324,270149,775
2016-07-21$25.47$21.6333.7%9.6%49.1%12.1%33.7%3.5%0.1%9.0M-233.7M-1.8M0.247.60N/AN/A8,3952,047324,969150,011
2016-07-22$25.40$21.6332.7%9.3%48.6%2.6%34.0%3.3%1.1%9.4M-236.2M-1.8M0.8499.39N/AN/A2,7682,326330,195150,487
2016-07-25$25.21$21.6333.4%9.5%38.6%2.7%34.0%4.1%0.0%9.3M-213.3M-1.7M1.106.60N/AN/A3,4673,821324,310146,643
2016-07-26$25.62$21.6332.9%9.4%36.2%1.1%33.1%3.1%0.7%10.1M-239.7M-1.7M0.5810.86N/AN/A4,7432,738325,175148,602
2016-07-27$25.83$21.6333.4%9.5%35.7%2.8%33.0%3.8%-0.1%10.5M-263.1M-1.8M0.5310.21N/AN/A7,4843,929327,052149,265
2016-07-28$25.66$21.6333.6%9.6%34.4%3.3%33.5%2.7%-0.3%10.4M-248.5M-1.7M0.585.67N/AN/A3,8712,263329,372150,134
2016-07-29$25.52$21.6332.2%9.0%34.5%0.0%30.8%2.4%0.6%9.7M-240.8M-1.7M0.269.40N/AN/A13,5523,467330,682150,472