AA Options History — August 2016

In August 2016, AA traded between $24.05 and $25.26. ATM implied volatility averaged 31.0%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 7.0% (HV 20d: 24.0%). Max pain ranged from $21.63 to $26.43. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 0.76.

Notable Days

2016-08-17: Highest Volume — 46,231 contracts
2016-08-24: Largest IV spike — 14.0% change
2016-08-31: Highest IV Rank — 13.7%
2016-08-04: Largest Expected Move — 9.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.78	$24.05	$25.26	$25.18	$24.22
Max Pain	$24.81	$21.63	$26.43	$21.63	$25.23
ATM IV	31.0%	27.7%	32.9%	32.4%	32.2%
Expected Move	8.9%	7.7%	9.7%	9.2%	9.0%
HV 20d	24.0%	16.2%	34.1%	34.1%	27.0%
HV 60d	35.3%	34.3%	37.4%	37.3%	35.6%
IV Rank	4.8%	0.0%	13.7%	0.9%	13.7%
IV Percentile	2.2%	0.0%	7.9%	0.4%	7.9%
Term Structure	1.2%	-0.8%	5.2%	0.3%	5.2%
VWIV	31.2%	26.7%	33.8%	32.5%	31.8%
Skew 25d	3.3%	1.5%	5.1%	2.7%	2.7%
Skew 10d	7.3%	3.7%	16.2%	6.5%	4.8%
Call IV 25d	30.1%	27.1%	32.5%	32.5%	31.3%
Put IV 25d	33.4%	29.9%	36.2%	35.2%	34.0%
Bid-Ask Spread %	13.68	2.23	78.90	9.36	78.90
Gamma HHI	0.35	0.31	0.40	0.37	0.34
Net GEX	8.8M	7.8M	10.2M	9.2M	8.4M
Net DEX	-175.3M	-213.5M	-130.5M	-213.5M	-153.2M
Net VEX	-1.5M	-1.6M	-1.3M	-1.6M	-1.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.29	1.69	0.30	1.46
Total Volume	11,723.565	3,859	46,231	11,052	12,553
Total OI	462,635.087	427,951	505,820	473,112	443,642

Daily Data (23 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
2016-08-01	$25.18	$21.63	32.4%	9.2%	34.1%	0.9%	32.5%	2.7%	0.3%	9.2M	-213.5M	-1.6M	0.30	9.36	N/A	N/A	8,491	2,561	324,998	148,114
2016-08-02	$24.82	$21.63	32.9%	9.7%	32.4%	2.4%	33.8%	3.9%	0.2%	8.5M	-183.6M	-1.6M	1.69	54.09	N/A	N/A	2,220	3,749	323,640	148,814
2016-08-03	$25.02	$24.03	32.5%	9.1%	32.1%	1.0%	32.5%	3.6%	0.1%	8.6M	-187.7M	-1.6M	0.81	18.03	N/A	N/A	2,494	2,009	319,854	149,690
2016-08-04	$24.99	$24.03	32.1%	9.7%	32.0%	0.0%	33.1%	3.5%	-0.2%	8.6M	-189.4M	-1.6M	1.08	2.59	N/A	N/A	2,202	2,372	320,393	149,618
2016-08-05	$25.21	$24.03	30.7%	9.5%	27.3%	0.0%	31.0%	4.8%	-0.6%	8.4M	-201.2M	-1.6M	0.44	2.55	N/A	N/A	4,278	1,876	320,674	150,208
2016-08-08	$25.11	$24.03	30.3%	9.3%	25.5%	0.0%	32.4%	2.6%	1.6%	9.6M	-193.4M	-1.6M	0.95	2.71	N/A	N/A	3,006	2,844	319,076	147,557
2016-08-09	$24.90	$24.03	29.3%	9.0%	16.2%	0.0%	31.4%	2.8%	2.5%	9.1M	-177.9M	-1.5M	0.71	2.85	N/A	N/A	4,743	3,358	319,723	148,742
2016-08-10	$24.85	$24.03	29.9%	9.1%	16.2%	1.8%	31.3%	2.9%	1.9%	8.8M	-171.3M	-1.5M	1.42	3.26	N/A	N/A	1,979	2,804	320,849	149,980
2016-08-11	$25.04	$24.03	30.0%	9.2%	16.5%	2.2%	32.4%	3.0%	2.5%	9.1M	-180.6M	-1.5M	1.51	2.74	N/A	N/A	2,292	3,463	321,127	149,956
2016-08-12	$24.49	$24.03	31.1%	9.0%	16.5%	5.6%	31.9%	3.0%	0.5%	7.8M	-146.3M	-1.5M	0.40	2.58	N/A	N/A	13,488	5,454	321,546	151,101
2016-08-15	$25.26	$24.03	30.4%	8.7%	20.5%	3.2%	31.4%	3.1%	1.5%	9.6M	-198.1M	-1.5M	0.34	2.66	N/A	N/A	14,238	4,881	325,762	150,554
2016-08-16	$24.77	$26.43	32.0%	9.2%	19.7%	8.4%	31.0%	2.9%	-0.2%	8.7M	-169.2M	-1.5M	0.31	3.64	N/A	N/A	9,819	3,035	327,742	150,940
2016-08-17	$24.90	$26.43	31.3%	9.0%	19.8%	6.2%	33.0%	4.5%	-0.2%	8.7M	-168.7M	-1.5M	0.48	3.63	N/A	N/A	31,331	14,900	324,174	151,496
2016-08-18	$25.11	$26.43	31.0%	8.9%	20.1%	5.2%	31.4%	5.1%	-0.8%	10.0M	-209.0M	-1.5M	0.37	3.14	N/A	N/A	2,820	1,039	339,277	165,458
2016-08-19	$24.68	$26.43	29.8%	8.6%	21.0%	1.3%	29.6%	3.0%	-0.0%	8.6M	-184.2M	-1.5M	0.86	3.25	N/A	N/A	5,567	4,770	340,166	165,654
2016-08-22	$24.77	$26.43	28.1%	7.8%	20.9%	0.0%	27.4%	4.0%	0.4%	8.7M	-170.0M	-1.4M	0.70	2.23	N/A	N/A	6,373	4,463	300,629	127,322
2016-08-23	$25.23	$26.43	27.7%	7.7%	21.2%	0.0%	26.7%	2.9%	0.1%	10.2M	-205.9M	-1.5M	0.67	2.96	N/A	N/A	6,743	4,488	302,717	127,456
2016-08-24	$24.13	$26.43	31.6%	8.9%	26.0%	11.6%	31.4%	2.7%	0.6%	8.0M	-135.9M	-1.4M	0.31	3.41	N/A	N/A	11,566	3,604	305,507	127,458
2016-08-25	$24.17	$25.23	31.8%	8.8%	26.0%	12.3%	31.1%	1.5%	1.1%	8.3M	-140.2M	-1.4M	0.91	2.63	N/A	N/A	5,487	4,999	310,477	129,669
2016-08-26	$24.05	$25.23	31.3%	8.7%	26.0%	10.8%	30.5%	3.1%	0.9%	8.0M	-130.5M	-1.4M	0.55	3.59	N/A	N/A	9,045	4,975	311,283	131,021
2016-08-29	$24.63	$25.23	31.7%	8.8%	27.3%	12.1%	30.2%	3.5%	5.2%	9.1M	-163.8M	-1.3M	0.29	77.37	N/A	N/A	14,307	4,142	304,913	129,086
2016-08-30	$24.41	$25.23	31.8%	8.8%	27.1%	12.3%	30.5%	4.0%	4.7%	9.2M	-158.0M	-1.4M	0.97	26.44	N/A	N/A	4,472	4,342	313,288	129,256
2016-08-31	$24.22	$25.23	32.2%	9.0%	27.0%	13.7%	31.8%	2.7%	5.2%	8.4M	-153.2M	-1.4M	1.46	78.90	N/A	N/A	5,105	7,448	313,865	129,777