AA Options History — October 2016

In October 2016, AA traded between $21.13 and $25.45. ATM implied volatility averaged 46.9%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 4.8% (HV 20d: 42.1%). Max pain ranged from $7.21 to $21.63. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2016-10-18: Highest Volume — 317,516 contracts
  • 2016-10-06: Largest IV spike — 725.3% change
  • 2016-10-06: Highest IV Rank — 100.0%
  • 2016-10-04: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.73$21.13$25.45$24.34$23.06
Max Pain$9.84$7.21$21.63$21.63$8.01
ATM IV46.9%27.5%318.3%40.1%27.6%
Expected Move9.8%8.1%12.8%12.7%8.1%
HV 20d42.1%22.1%48.6%28.6%48.5%
HV 60d32.2%24.4%35.4%27.3%35.4%
IV Rank11.1%0.0%100.0%37.1%0.0%
IV Percentile17.5%0.0%100.0%36.5%0.8%
Term Structure-0.2%-1.4%0.6%-0.5%0.1%
VWIV44.4%29.0%243.2%44.0%29.9%
Skew 25d3.0%2.2%4.4%4.3%2.7%
Skew 10d9.0%2.9%66.9%8.7%5.3%
Call IV 25d32.5%26.5%38.7%38.4%27.3%
Put IV 25d35.4%29.3%42.7%42.7%30.0%
Bid-Ask Spread %21.162.5058.908.3535.63
Gamma HHI0.210.070.580.420.09
Net GEX1.8M-6.2M13.0M10.9M1.2M
Net DEX-1.84B-2.83B-202.2M-202.2M-1.52B
Net VEX-622.1K-2.1M-244.8K-1.5M-529.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.091.890.740.66
Total Volume68,890.28611,208317,51611,20836,661
Total OI1,288,658.667524,4831,666,354524,4831,041,741

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$24.34$21.6340.1%12.7%28.6%37.1%44.0%4.3%-0.5%10.9M-202.2M-1.5M0.748.35N/AN/A6,4564,752371,257153,226
2016-10-04$24.51$21.6339.7%12.8%27.9%35.9%44.1%4.4%-0.3%11.5M-219.0M-1.5M0.659.17N/AN/A7,5634,949373,212154,348
2016-10-05$24.97$21.6338.6%12.4%28.5%32.6%43.8%4.2%-0.3%13.0M-264.3M-1.5M0.1758.90N/AN/A22,1873,798376,605155,798
2016-10-06$25.45$8.01318.3%0.0%28.8%100.0%243.2%0.0%0.0%1.3M-2.72B-2.1M0.172.65N/AN/A67,23211,5641,143,268463,998
2016-10-07$25.14$7.2139.2%10.8%22.7%4.0%37.5%3.0%-0.8%611.5K-2.83B-244.8K0.228.19N/AN/A70,78415,3451,130,142466,355
2016-10-10$25.18$7.2136.8%10.5%22.1%3.1%37.2%2.8%-0.3%576.2K-2.79B-273.0K0.266.24N/AN/A78,81420,2201,117,764456,368
2016-10-11$22.34$7.2136.2%10.3%47.8%2.9%36.9%2.5%-0.3%-65.7K-2.44B-324.4K0.422.77N/AN/A85,07735,7041,127,682466,841
2016-10-12$21.75$8.0134.4%9.9%48.6%2.3%34.5%2.4%0.1%-1.3M-2.29B-288.2K0.382.63N/AN/A82,96831,6601,103,659478,674
2016-10-13$21.44$8.0133.5%9.6%48.6%2.0%33.8%2.8%-0.3%-431.3K-2.26B-399.2K0.422.50N/AN/A75,90831,5971,117,366488,506
2016-10-14$21.23$8.0133.3%9.6%48.6%1.9%33.6%3.0%0.4%-1.8M-2.23B-404.9K0.282.52N/AN/A78,93322,4711,117,406492,650
2016-10-17$21.13$8.0133.9%9.7%48.6%2.1%33.8%3.6%-1.1%473.2K-2.23B-348.0K0.734.01N/AN/A20,18514,6351,102,710454,719
2016-10-18$21.23$8.0134.9%10.0%48.4%2.5%34.5%2.9%-1.4%479.8K-2.24B-374.7K0.094.57N/AN/A290,04027,4761,105,155459,347
2016-10-19$21.71$8.0132.1%9.2%48.4%1.5%32.2%2.7%-0.7%315.4K-2.46B-410.8K0.663.36N/AN/A29,24719,3681,183,833469,312
2016-10-20$21.47$8.0131.9%9.2%48.1%1.5%32.6%2.7%-0.8%-345.6K-2.42B-473.7K1.8934.91N/AN/A20,65939,1201,191,451474,903
2016-10-21$21.51$8.0130.9%8.9%48.1%1.1%31.3%2.7%-0.6%-6.2M-2.28B-475.9K1.7254.52N/AN/A16,87029,0691,130,813461,368
2016-10-24$21.56$8.0129.4%8.5%48.2%0.6%29.6%2.2%0.6%722.7K-1.39B-348.3K0.9437.97N/AN/A15,82514,891696,452335,396
2016-10-25$21.86$8.0129.5%8.6%48.6%0.6%30.5%2.3%0.5%1.3M-1.42B-433.0K1.0158.40N/AN/A14,22714,336700,941338,914
2016-10-26$22.25$8.0129.3%8.6%48.3%0.6%30.8%2.5%0.5%1.7M-1.46B-388.0K1.2932.90N/AN/A12,02115,547706,036342,055
2016-10-27$22.57$8.0127.6%8.1%48.3%0.0%29.0%2.8%0.4%2.0M-1.49B-387.9K1.4539.83N/AN/A11,03016,010709,129345,101
2016-10-28$22.72$8.0127.5%8.2%48.0%0.0%29.6%2.9%0.4%1.2M-1.51B-423.3K1.1034.26N/AN/A14,99816,499709,559347,772
2016-10-31$23.06$8.0127.6%8.1%48.5%0.0%29.9%2.7%0.1%1.2M-1.52B-529.8K0.6635.63N/AN/A22,04214,619703,576338,165