AA Options History — December 2016

In December 2016, AA traded between $28.09 and $32.01. ATM implied volatility averaged 42.4%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 2.8% (HV 20d: 45.2%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.49.

Notable Days

  • 2016-12-28: Highest Volume — 26,176 contracts
  • 2016-12-12: Largest IV spike — 21.1% change
  • 2016-12-13: Highest IV Rank — 7.5%
  • 2016-12-29: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.01$28.09$32.01$28.76$28.09
Max Pain$30.81$30.00$31.00$30.00$30.00
ATM IV42.4%38.5%49.4%39.4%46.9%
Expected Move12.0%11.0%13.9%11.3%13.5%
HV 20d45.2%37.6%55.5%54.9%38.5%
HV 60d46.9%45.7%48.1%45.8%48.1%
IV Rank5.1%3.8%7.5%4.1%6.7%
IV Percentile52.3%35.3%83.7%39.7%71.4%
Term Structure-0.3%-4.0%3.7%2.0%-2.6%
VWIV42.4%38.9%47.9%40.2%47.6%
Skew 25d2.0%-0.6%3.8%1.3%1.8%
Skew 10d3.0%-11.5%6.0%0.6%-11.5%
Call IV 25d41.9%39.1%47.5%39.9%46.4%
Put IV 25d43.8%39.8%51.3%41.2%48.1%
Bid-Ask Spread %30.0217.0673.7373.7344.71
Gamma HHI0.260.200.320.240.20
Net GEX602.5K-21.0K1.3M338.8K471.5K
Net DEX-6.5M-29.1M6.7M2.7M5.6M
Net VEX-146.8K-165.5K-127.4K-127.4K-145.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.044.084.081.05
Total Volume4,979.0951,90526,1766,3652,811
Total OI44,089.76237,81952,86738,15152,867

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$28.76$30.0039.4%11.3%54.9%4.1%40.2%1.3%2.0%338.8K2.7M-127.4K4.0873.73N/AN/A1,2535,11223,94214,209
2016-12-02$29.04$30.0038.5%11.0%53.3%3.8%38.9%0.7%3.7%439.1K-603.0K-130.2K1.0271.54N/AN/A1,5501,58524,14813,671
2016-12-05$31.17$31.0040.5%11.8%55.5%4.5%41.3%2.3%-0.8%849.3K-17.9M-150.6K0.5721.24N/AN/A2,2871,29324,65814,027
2016-12-06$31.07$31.0040.2%11.5%55.0%4.4%41.2%2.3%-0.0%944.0K-18.7M-154.3K0.9917.90N/AN/A1,2481,23425,90114,250
2016-12-07$30.90$31.0039.9%11.8%53.6%4.3%41.4%2.0%0.1%975.1K-18.0M-149.5K0.7717.06N/AN/A2,0101,54726,37014,317
2016-12-08$31.29$31.0040.2%11.8%45.0%4.4%40.3%2.7%-0.5%1.1M-21.9M-161.6K1.7817.99N/AN/A9991,77627,75515,513
2016-12-09$32.01$31.0039.5%11.8%44.6%4.1%41.7%2.6%-0.5%1.2M-29.1M-165.5K2.3619.12N/AN/A1,1132,62327,89315,974
2016-12-12$31.08$31.0047.8%12.0%46.1%7.0%42.4%2.3%0.1%1.1M-19.6M-159.6K2.2217.17N/AN/A1,1932,65228,24616,879
2016-12-13$30.26$31.0049.4%12.1%47.3%7.5%41.7%3.2%-0.3%948.3K-8.7M-151.5K2.2919.53N/AN/A1,4203,24528,49017,720
2016-12-14$30.59$31.0042.0%12.0%46.9%5.0%41.3%2.9%-0.6%1.1M-12.7M-153.1K2.3418.41N/AN/A1,1622,71528,72818,488
2016-12-15$29.75$31.0042.0%12.0%44.8%5.0%41.7%2.5%-1.0%1.3M-1.4M-142.8K0.6517.94N/AN/A3,4242,24128,86018,662
2016-12-16$29.35$31.0041.4%11.9%44.6%4.8%43.2%1.8%0.0%60.6K6.7M-134.4K1.5919.53N/AN/A1,4112,23730,26118,981
2016-12-19$29.29$31.0040.6%11.6%40.2%4.5%41.6%1.3%-0.3%-21.0K5.0M-132.9K1.1628.68N/AN/A1,8262,10923,45316,603
2016-12-20$30.12$31.0041.1%11.8%41.3%4.7%42.3%2.0%-0.3%216.2K-3.0M-145.0K1.2321.90N/AN/A1,6482,02024,41817,012
2016-12-21$30.38$31.0042.2%12.1%39.9%5.0%43.5%1.2%-1.2%300.3K-5.4M-152.0K1.0424.76N/AN/A2,0882,16525,17917,580
2016-12-22$29.56$31.0041.2%11.8%40.8%4.7%43.3%1.3%1.0%111.9K438.1K-140.7K1.1634.60N/AN/A1,9882,31125,07717,923
2016-12-23$29.69$31.0042.7%12.2%40.8%5.2%42.5%2.8%-0.7%115.5K643.6K-142.6K0.6342.55N/AN/A2,8921,82925,42918,188
2016-12-27$29.56$31.0042.7%12.2%40.1%5.2%42.4%-0.6%-0.2%205.9K222.4K-142.8K0.9931.59N/AN/A95994627,32018,759
2016-12-28$29.38$31.0044.2%12.7%38.1%5.8%45.0%1.7%0.5%206.1K306.2K-140.9K0.0441.32N/AN/A25,0971,07927,44418,854
2016-12-29$28.83$30.0048.5%13.9%37.6%7.2%47.9%3.8%-4.0%704.0K-2.0M-158.9K3.2629.15N/AN/A1,2834,18032,87918,957
2016-12-30$28.09$30.0046.9%13.5%38.5%6.7%47.6%1.8%-2.6%471.5K5.6M-145.5K1.0544.71N/AN/A1,3701,44133,14319,724