AA Options History — January 2017

In January 2017, AA traded between $28.76 and $37.39. ATM implied volatility averaged 41.0%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 0.5% (HV 20d: 41.4%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.07.

Notable Days

  • 2017-01-19: Highest Volume — 22,948 contracts
  • 2017-01-06: Largest IV drop — 20.3% change
  • 2017-01-03: Highest IV Rank — 7.2%
  • 2017-01-03: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.65$28.76$37.39$28.76$36.43
Max Pain$31.15$30.00$32.00$30.00$32.00
ATM IV41.0%34.5%48.4%48.4%37.8%
Expected Move11.9%9.9%13.9%13.9%10.8%
HV 20d41.4%34.8%44.9%39.3%41.5%
HV 60d45.3%42.0%49.2%48.2%45.9%
IV Rank4.6%2.4%7.2%7.2%3.5%
IV Percentile46.5%21.4%78.2%78.2%34.9%
Term Structure-2.6%-4.9%0.1%-4.6%-0.7%
VWIV42.0%35.1%49.9%49.9%36.1%
Skew 25d2.2%0.5%3.9%3.3%1.7%
Skew 10d4.4%1.8%7.9%3.8%4.6%
Call IV 25d41.3%34.4%47.7%47.7%38.1%
Put IV 25d43.4%36.6%51.0%51.0%39.8%
Bid-Ask Spread %26.4015.4451.5629.7726.18
Gamma HHI0.250.190.370.200.25
Net GEX2.7M580.1K4.8M580.1K4.8M
Net DEX-70.2M-129.5M1.5M1.5M-102.5M
Net VEX-186.5K-278.8K-144.0K-146.9K-278.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.162.450.992.23
Total Volume9,638.852,51022,9482,5104,822
Total OI65,585.353,61381,73553,61381,628

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$28.76$30.0048.4%13.9%39.3%7.2%49.9%3.3%-4.6%580.1K1.5M-146.9K0.9929.77N/AN/A1,2611,24933,32420,289
2017-01-04$30.25$30.0046.0%13.2%34.8%6.4%47.6%3.4%-3.9%1.0M-16.4M-166.1K1.4934.00N/AN/A1,3502,01233,78520,721
2017-01-05$30.64$30.0045.7%12.2%35.2%6.3%42.6%2.1%-2.2%1.2M-23.3M-166.4K0.5717.73N/AN/A1,71497634,19220,651
2017-01-06$30.67$31.0036.4%12.1%35.2%3.1%42.1%1.9%-2.2%1.4M-24.8M-161.8K1.7029.57N/AN/A2,7014,58234,77020,736
2017-01-09$29.44$31.0037.6%12.3%37.6%3.5%42.4%3.0%-2.3%741.0K-295.7K-144.0K1.6227.59N/AN/A2,8634,63436,10423,144
2017-01-10$31.01$31.0036.6%11.9%41.5%3.1%42.1%3.5%-1.3%1.4M-29.3M-177.4K1.0323.90N/AN/A3,1623,25837,52325,326
2017-01-11$31.75$31.0042.8%12.3%41.0%5.3%42.5%1.4%-2.7%1.5M-43.7M-173.8K0.2425.72N/AN/A14,1733,45037,35225,475
2017-01-12$33.05$31.0042.9%12.3%41.9%5.3%43.4%1.9%-1.8%2.2M-71.1M-189.8K0.9822.22N/AN/A4,0523,97241,60125,718
2017-01-13$33.09$31.0043.5%12.5%41.8%5.5%43.8%3.6%-4.3%2.2M-74.3M-179.2K1.8921.41N/AN/A2,0863,94241,22426,499
2017-01-17$32.64$31.0044.4%12.7%40.7%5.8%44.4%1.4%-4.1%2.1M-68.5M-170.9K2.4520.29N/AN/A1,5423,78442,05526,121
2017-01-18$34.69$31.0043.1%12.3%44.7%5.4%45.1%3.9%-3.3%3.3M-100.7M-158.4K1.6127.42N/AN/A2,8874,66042,27726,227
2017-01-19$35.42$31.0043.8%12.5%44.7%5.6%44.8%2.4%-4.2%3.3M-112.7M-152.1K0.1626.17N/AN/A19,7533,19542,91027,005
2017-01-20$35.56$31.0041.4%11.9%44.2%4.8%42.3%1.6%-3.6%3.0M-129.5M-185.7K0.2536.25N/AN/A12,6153,17654,08827,647
2017-01-23$36.24$31.0043.7%12.5%44.3%5.6%44.0%0.9%-4.9%3.9M-108.0M-203.9K0.2022.11N/AN/A16,5973,36051,4209,422
2017-01-24$37.39$32.0042.8%12.3%42.9%5.3%44.5%0.5%-3.1%4.3M-124.0M-211.7K0.4715.44N/AN/A10,5244,91752,91311,507
2017-01-25$36.41$32.0035.2%10.1%44.9%2.7%35.1%1.8%-0.3%4.4M-99.0M-214.1K0.6451.56N/AN/A8,7085,60853,80714,995
2017-01-26$36.32$32.0035.8%10.3%44.8%2.9%36.1%1.7%-1.1%3.8M-88.9M-220.9K1.3024.41N/AN/A2,4303,16251,56017,153
2017-01-27$36.71$32.0034.5%9.9%44.4%2.4%35.1%2.3%0.1%4.0M-96.3M-214.8K1.3723.79N/AN/A2,1692,97852,24017,464
2017-01-30$36.48$32.0037.2%10.7%43.5%3.3%37.0%1.4%-1.4%4.0M-92.0M-212.5K0.2222.42N/AN/A11,8242,62952,92917,904
2017-01-31$36.43$32.0037.8%10.8%41.5%3.5%36.1%1.7%-0.7%4.8M-102.5M-278.8K2.2326.18N/AN/A1,4953,32763,30918,319