AA Options History — September 2016

In September 2016, AA traded between $22.49 and $24.75. ATM implied volatility averaged 39.3%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 10.0% (HV 20d: 29.3%). Max pain ranged from $21.63 to $25.23. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2016-09-13: Highest Volume — 97,831 contracts
  • 2016-09-13: Largest IV spike — 11.1% change
  • 2016-09-16: Highest IV Rank — 48.2%
  • 2016-09-16: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.52$22.49$24.75$24.29$24.39
Max Pain$21.97$21.63$25.23$25.23$21.63
ATM IV39.3%33.4%43.8%34.1%40.3%
Expected Move11.5%8.5%12.5%9.1%12.3%
HV 20d29.3%26.4%32.4%27.0%28.6%
HV 60d32.9%29.1%35.5%35.5%29.2%
IV Rank34.9%17.1%48.2%19.2%37.8%
IV Percentile33.3%11.5%52.4%13.9%38.5%
Term Structure1.0%-2.6%7.8%4.9%-1.3%
VWIV40.2%30.1%44.2%31.9%44.2%
Skew 25d3.8%1.7%8.4%2.6%4.1%
Skew 10d5.5%-18.4%9.6%5.6%8.2%
Call IV 25d38.0%29.4%43.5%31.7%38.7%
Put IV 25d41.8%34.2%46.9%34.3%42.8%
Bid-Ask Spread %7.331.9939.5339.5336.56
Gamma HHI0.360.310.410.360.39
Net GEX7.9M5.4M11.1M8.4M11.1M
Net DEX-123.2M-223.2M-60.7M-146.4M-223.2M
Net VEX-1.3M-1.5M-1.2M-1.4M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.071.601.450.75
Total Volume18,722.195,39997,83111,90428,315
Total OI486,309.571446,444520,870448,226520,870

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$24.29$25.2334.1%9.1%27.0%19.2%31.9%2.6%4.9%8.4M-146.4M-1.4M1.4539.53N/AN/A4,8657,039314,333133,893
2016-09-02$24.29$25.2333.8%8.5%26.8%18.4%30.1%3.3%5.9%8.7M-148.0M-1.3M0.715.32N/AN/A6,4624,572314,900134,693
2016-09-06$24.75$21.6333.4%10.8%27.7%17.1%38.2%8.4%7.8%10.2M-172.4M-1.3M1.035.39N/AN/A8,1168,392313,665132,779
2016-09-07$24.53$21.6333.4%10.9%27.7%17.1%37.6%2.5%5.3%9.4M-161.4M-1.3M1.203.01N/AN/A6,3367,603315,900137,378
2016-09-08$24.25$21.6334.1%10.5%28.0%19.2%36.8%1.7%4.8%8.4M-139.6M-1.3M1.603.18N/AN/A4,6757,479316,793138,342
2016-09-09$23.12$21.6337.0%11.3%32.2%28.0%39.8%1.7%5.7%5.8M-64.0M-1.2M0.612.92N/AN/A14,0568,511317,268140,152
2016-09-12$23.55$21.6339.1%11.4%32.4%34.1%40.1%4.2%-0.8%6.6M-94.2M-1.2M0.613.18N/AN/A8,2915,026317,243138,659
2016-09-13$22.85$21.6343.4%12.1%31.4%47.1%43.0%3.4%-2.6%5.4M-60.7M-1.2M0.073.16N/AN/A91,5366,295319,637139,428
2016-09-14$22.59$21.6343.1%12.5%31.1%46.2%41.9%3.6%0.7%5.6M-63.0M-1.3M0.562.45N/AN/A8,2524,615346,790141,092
2016-09-15$22.80$21.6342.8%12.2%31.3%45.4%41.5%3.7%0.3%6.2M-78.4M-1.3M1.141.99N/AN/A5,9886,813350,893142,315
2016-09-16$22.66$21.6343.8%12.5%30.9%48.2%42.0%4.1%-0.3%6.2M-66.9M-1.3M0.302.68N/AN/A40,42812,135351,914143,582
2016-09-19$22.49$21.6342.3%12.1%30.6%43.9%41.9%3.0%-1.1%6.7M-80.3M-1.4M0.523.67N/AN/A7,6944,031375,589140,117
2016-09-20$22.76$21.6343.0%12.3%31.0%46.0%43.2%4.1%-1.3%6.8M-93.1M-1.4M0.483.05N/AN/A6,4033,096360,593141,345
2016-09-21$23.26$21.6341.7%12.0%31.4%42.0%41.2%4.9%-0.9%8.0M-123.2M-1.4M0.563.36N/AN/A6,9503,858363,443142,017
2016-09-22$23.57$21.6339.2%11.3%28.0%34.5%39.7%3.8%-1.2%9.0M-152.5M-1.5M0.632.12N/AN/A5,5443,487366,562143,512
2016-09-23$23.45$21.6339.1%11.3%28.0%34.4%41.1%4.3%-0.6%8.5M-144.2M-1.4M1.122.21N/AN/A3,6584,099367,799143,965
2016-09-26$23.31$21.6341.6%12.3%28.0%41.9%41.9%3.3%-1.1%7.9M-126.9M-1.4M0.712.13N/AN/A3,1572,242364,511143,568
2016-09-27$23.19$21.6340.9%12.2%26.4%39.8%42.6%4.7%-1.3%7.5M-113.6M-1.3M1.122.15N/AN/A3,2663,673365,582144,423
2016-09-28$23.69$21.6339.3%11.8%27.7%34.8%42.0%4.5%-1.0%9.2M-150.6M-1.4M0.629.64N/AN/A4,6452,875366,403145,934
2016-09-29$24.03$21.6340.1%12.3%28.1%37.1%43.2%4.0%-1.4%10.6M-184.0M-1.5M0.5716.17N/AN/A11,8836,805368,015146,604
2016-09-30$24.39$21.6340.3%12.3%28.6%37.8%44.2%4.1%-1.3%11.1M-223.2M-1.5M0.7536.56N/AN/A16,13512,180373,624147,246