AA Options History — February 2017

In February 2017, AA traded between $34.47 and $38.69. ATM implied volatility averaged 36.9%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 2.9% (HV 20d: 34.0%). Max pain ranged from $32.00 to $36.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.70.

Notable Days

  • 2017-02-02: Highest Volume — 38,968 contracts
  • 2017-02-06: Largest IV spike — 7.5% change
  • 2017-02-06: Highest IV Rank — 4.7%
  • 2017-02-27: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.82$34.47$38.69$36.51$34.81
Max Pain$35.00$32.00$36.00$32.00$36.00
ATM IV36.9%35.0%41.2%36.8%37.9%
Expected Move10.5%10.0%11.1%10.6%11.0%
HV 20d34.0%26.8%41.5%41.5%34.0%
HV 60d40.8%38.5%45.1%45.1%39.2%
IV Rank3.2%2.6%4.7%3.2%3.6%
IV Percentile31.7%22.2%52.4%29.0%41.3%
Term Structure0.4%-0.7%1.4%-0.7%-0.3%
VWIV37.2%35.4%39.5%36.8%39.5%
Skew 25d1.8%0.8%3.5%3.5%1.7%
Skew 10d3.0%0.9%5.9%2.9%4.2%
Call IV 25d36.6%33.9%38.6%36.2%38.2%
Put IV 25d38.3%36.8%40.0%39.7%39.9%
Bid-Ask Spread %21.3915.4828.6426.0023.90
Gamma HHI0.270.120.510.240.12
Net GEX4.5M827.2K8.9M4.8M2.5M
Net DEX-87.4M-136.2M-5.9M-104.4M-36.8M
Net VEX-321.5K-405.9K-283.1K-287.3K-405.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.071.610.800.54
Total Volume11,848.1053,24438,9683,63412,212
Total OI88,939.94762,127109,90683,65088,891

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$36.51$32.0036.8%10.6%41.5%3.2%36.8%3.5%-0.7%4.8M-104.4M-287.3K0.8026.00N/AN/A2,0141,62063,71019,940
2017-02-02$37.64$33.0036.7%10.5%39.6%3.2%37.2%1.7%0.6%5.1M-129.3M-283.1K0.0721.20N/AN/A36,4972,47164,19920,256
2017-02-03$36.91$34.0038.4%10.5%41.0%3.7%38.4%1.5%1.0%4.7M-105.1M-325.4K0.1919.75N/AN/A9,5391,83464,96523,170
2017-02-06$37.78$34.0041.2%10.8%41.2%4.7%38.5%1.3%0.1%6.8M-135.6M-339.5K1.2519.68N/AN/A1,5061,88873,37723,717
2017-02-07$37.90$34.0038.2%10.6%36.6%3.7%37.2%1.7%1.4%7.4M-134.0M-330.3K1.6118.77N/AN/A1,2422,00273,44624,154
2017-02-08$37.56$35.0037.1%10.6%34.2%3.3%37.8%2.1%1.2%6.9M-124.8M-327.0K0.2322.41N/AN/A12,2952,81473,69824,561
2017-02-09$37.38$35.0036.6%10.5%34.2%3.2%37.4%2.0%1.1%8.9M-121.8M-324.5K0.2318.89N/AN/A12,4792,85084,72025,186
2017-02-10$38.41$35.0035.9%10.3%32.8%2.9%36.0%1.2%1.0%5.5M-130.5M-297.3K0.8319.84N/AN/A5,0484,18262,23725,565
2017-02-13$38.69$35.0036.1%10.4%32.8%3.0%36.6%1.7%0.5%5.9M-136.2M-305.4K1.1218.10N/AN/A4,8795,48463,70828,178
2017-02-14$38.45$35.0036.6%10.5%32.2%3.1%36.5%2.1%0.6%5.9M-122.2M-325.1K1.5515.48N/AN/A2,8104,34764,46031,840
2017-02-15$37.77$35.0035.4%10.1%26.8%2.7%35.4%1.3%0.4%4.9M-97.3M-302.3K0.7819.64N/AN/A8,3276,52164,77231,967
2017-02-16$36.40$36.0035.0%10.0%29.7%2.6%35.6%1.3%-0.1%2.1M-72.9M-301.6K0.5619.08N/AN/A7,8334,41069,93032,323
2017-02-17$36.10$36.0035.2%10.0%29.9%2.7%35.4%1.7%-0.6%5.3M-68.1M-303.2K0.6319.45N/AN/A4,9753,15172,01733,396
2017-02-21$36.77$36.0035.8%10.4%29.9%2.9%36.6%3.2%1.2%1.8M-36.9M-306.3K0.7525.96N/AN/A2,3641,77338,48223,645
2017-02-22$36.69$36.0035.8%10.0%27.6%2.8%36.1%0.8%0.1%1.8M-35.0M-308.5K0.5123.02N/AN/A3,1471,60339,56524,261
2017-02-23$34.47$36.0037.6%10.9%34.2%3.5%38.5%1.2%-0.2%827.2K-5.9M-287.8K0.2928.64N/AN/A22,0996,34441,25124,715
2017-02-24$34.54$36.0037.2%10.8%34.2%3.3%38.6%1.8%0.2%1.9M-33.8M-371.9K0.8922.17N/AN/A5,2224,62557,52729,143
2017-02-27$34.77$36.0038.0%11.1%34.0%3.6%39.5%1.4%-0.3%2.0M-29.8M-375.8K0.4224.52N/AN/A8,9693,73855,64027,247
2017-02-28$34.81$36.0037.9%11.0%34.0%3.6%39.5%1.7%-0.3%2.5M-36.8M-405.9K0.5423.90N/AN/A7,9154,29761,50827,383