AA Options History — November 2016

In November 2016, AA traded between $22.95 and $31.92. ATM implied volatility averaged 47.5%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 0.9% (HV 20d: 46.6%). Max pain ranged from $10.00 to $30.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.54.

Notable Days

  • 2016-11-03: Highest Volume — 24,047 contracts
  • 2016-11-03: Largest IV spike — 61.3% change
  • 2016-11-04: Highest IV Rank — 31.6%
  • 2016-11-01: Largest Expected Move — 42.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.71$22.95$31.92$23.39$29.08
Max Pain$26.43$10.00$30.00$10.00$30.00
ATM IV47.5%32.2%119.3%86.9%40.6%
Expected Move14.4%9.0%42.2%42.2%11.6%
HV 20d46.6%35.2%55.4%48.7%55.4%
HV 60d42.0%35.6%45.7%35.6%45.7%
IV Rank6.9%1.6%31.6%20.4%4.5%
IV Percentile46.6%11.1%99.6%99.6%44.8%
Term Structure-0.6%-61.9%43.7%43.7%1.9%
VWIV47.8%29.8%151.7%151.7%41.6%
Skew 25d-15.5%-164.9%5.0%-41.9%1.8%
Skew 10d-8.5%-153.5%15.6%-26.4%-14.4%
Call IV 25d48.7%31.2%171.5%60.6%40.8%
Put IV 25d33.2%6.6%43.3%18.8%42.6%
Bid-Ask Spread %50.756.50152.68152.6874.45
Gamma HHI0.450.080.940.090.26
Net GEX413.4K-179.1K1.2M802.4K401.0K
Net DEX-119.0M-1.19B6.7M-1.19B-61.4K
Net VEX-144.9K-532.5K-18.9K-427.5K-127.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.1412.540.961.34
Total Volume9,028.7141,12124,04720,7884,414
Total OI108,986.7147,529839,506834,39936,448

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$23.39$10.0086.9%42.2%48.7%20.4%151.7%-41.9%43.7%802.4K-1.19B-427.5K0.96152.68N/AN/A10,59210,196563,564270,835
2016-11-02$22.95$10.0055.1%38.6%48.4%9.5%114.7%-61.7%-61.9%340.7K-1.14B-532.5K1.03126.94N/AN/A8,9559,199567,956271,550
2016-11-03$24.05$28.0088.9%17.9%51.1%21.1%53.9%-164.9%-18.4%129.4K5.6M-262.2K0.688.16N/AN/A14,3409,70742,25644,302
2016-11-04$25.36$28.00119.3%16.1%54.6%31.6%51.0%-72.7%-11.6%502.7K6.7M-265.0K0.698.94N/AN/A14,1549,79842,31738,081
2016-11-07$25.00$28.0050.6%18.1%54.9%8.0%29.8%-14.3%12.2%751.2K-22.3M-246.0K0.769.87N/AN/A9,9377,54538,51932,872
2016-11-08$26.20$28.0037.9%10.4%35.2%3.6%36.0%-10.1%-2.5%1.2M-30.1M-234.2K0.977.96N/AN/A7,7257,47436,33432,667
2016-11-09$28.56$28.0032.2%9.0%42.5%1.6%34.9%2.9%-0.4%1.2M-31.7M-260.2K0.848.52N/AN/A9,2317,72636,47232,832
2016-11-10$29.43$25.0036.8%10.5%41.6%3.2%37.6%5.0%0.7%299.7K-6.0M-20.8K0.806.50N/AN/A8817094,3443,185
2016-11-11$29.50$25.0037.0%10.6%40.8%3.3%38.0%4.5%0.3%370.1K-7.1M-18.9K1.0410.73N/AN/A7577894,6712,985
2016-11-14$29.55$25.0037.4%10.7%40.4%3.4%38.0%4.7%0.7%425.9K-7.0M-20.6K0.757.98N/AN/A7505604,8713,417
2016-11-15$30.17$25.0036.4%10.4%40.2%3.1%37.2%4.7%1.5%455.0K-8.4M-21.8K1.0011.73N/AN/A5615605,0943,716
2016-11-16$31.57$25.0036.5%10.5%41.4%3.1%36.4%4.8%1.8%401.7K-12.2M-20.7K0.6129.05N/AN/A1,0636475,4203,997
2016-11-17$31.92$30.0037.0%10.6%40.0%3.3%36.1%2.3%1.5%366.8K-13.4M-22.4K0.7174.27N/AN/A1,1167915,8154,251
2016-11-18$30.18$30.0037.0%10.6%47.9%3.3%38.5%1.2%4.5%332.5K-10.5M-27.1K12.5473.79N/AN/A5016,2816,3174,691
2016-11-21$30.56$30.0037.5%10.8%47.6%3.5%35.8%1.5%2.2%-179.1K1.7M-58.3K1.4078.17N/AN/A9731,3595,5089,786
2016-11-22$31.48$30.0036.2%10.4%47.8%3.0%36.5%3.1%1.7%-103.2K-3.2M-58.7K1.2575.10N/AN/A1,2551,5646,1989,802
2016-11-23$31.56$30.0036.4%10.4%48.1%3.1%35.8%3.6%0.4%-127.0K-3.1M-64.7K2.0583.93N/AN/A1,0052,0576,90010,785
2016-11-25$31.70$30.0037.9%10.9%48.4%3.6%39.9%-0.7%3.2%-115.7K-3.9M-69.4K0.1476.10N/AN/A15,4242,1247,40912,087
2016-11-28$30.94$30.0040.0%11.5%50.4%4.3%40.3%0.3%2.8%674.3K-14.2M-146.5K1.3573.05N/AN/A1,5042,02922,15712,511
2016-11-29$29.84$30.0040.2%11.5%53.7%4.4%39.9%0.9%2.3%550.2K-6.0M-137.4K1.5167.86N/AN/A1,3342,01622,95812,841
2016-11-30$29.08$30.0040.6%11.6%55.4%4.5%41.6%1.8%1.9%401.0K-61.4K-127.9K1.3474.45N/AN/A1,8832,53123,19113,257