AA Options History — March 2017

In March 2017, AA traded between $32.54 and $37.86. ATM implied volatility averaged 42.3%, 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 3.6% (HV 20d: 45.9%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.79.

Notable Days

2017-03-01: Highest Volume — 32,826 contracts
2017-03-27: Largest IV spike — 10.0% change
2017-03-31: Highest IV Rank — 7.5%
2017-03-31: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.71	$32.54	$37.86	$37.86	$34.40
Max Pain	$35.13	$35.00	$36.00	$36.00	$35.00
ATM IV	42.3%	38.2%	49.3%	38.6%	49.3%
Expected Move	12.0%	10.9%	12.9%	11.3%	12.9%
HV 20d	45.9%	30.9%	50.0%	45.8%	32.7%
HV 60d	42.0%	40.9%	43.7%	42.5%	40.9%
IV Rank	5.1%	3.7%	7.5%	3.8%	7.5%
IV Percentile	64.7%	42.9%	94.4%	45.6%	94.4%
Term Structure	0.6%	-1.7%	4.6%	-0.9%	-1.7%
VWIV	42.3%	38.8%	46.5%	40.2%	46.5%
Skew 25d	1.8%	0.8%	3.5%	0.8%	1.3%
Skew 10d	3.2%	1.1%	5.3%	1.3%	3.9%
Call IV 25d	42.3%	38.3%	50.7%	39.4%	50.7%
Put IV 25d	44.1%	40.1%	52.0%	40.2%	52.0%
Bid-Ask Spread %	19.55	11.45	32.13	29.87	28.20
Gamma HHI	0.12	0.10	0.21	0.15	0.10
Net GEX	3.2M	431.9K	7.6M	4.5M	5.7M
Net DEX	-42.3M	-106.3M	15.0M	-106.3M	-73.9M
Net VEX	-466.8K	-512.8K	-414.4K	-445.6K	-511.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.15	2.90	0.26	0.62
Total Volume	15,553.652	6,571	32,826	32,826	29,388
Total OI	118,679.13	90,336	145,772	90,336	145,772

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-03-01	$37.86	$36.00	38.6%	11.3%	45.8%	3.8%	40.2%	0.8%	-0.9%	4.5M	-106.3M	-445.6K	0.26	29.87	N/A	N/A	26,092	6,734	62,401	27,935
2017-03-02	$36.18	$36.00	38.2%	11.3%	48.8%	3.7%	39.5%	1.7%	0.4%	3.9M	-68.9M	-487.5K	0.54	32.13	N/A	N/A	7,818	4,213	70,673	29,848
2017-03-03	$36.27	$36.00	40.6%	11.8%	47.4%	4.5%	41.5%	1.8%	0.1%	3.0M	-63.3M	-454.6K	0.24	18.39	N/A	N/A	15,333	3,718	63,824	31,060
2017-03-06	$36.99	$35.00	42.9%	12.5%	47.5%	5.3%	43.6%	1.4%	0.1%	4.3M	-90.7M	-494.6K	0.33	11.45	N/A	N/A	8,659	2,863	70,882	30,421
2017-03-07	$35.85	$35.00	42.7%	12.5%	47.9%	5.2%	44.5%	1.2%	0.6%	3.8M	-66.3M	-500.4K	0.80	15.21	N/A	N/A	3,645	2,926	76,722	31,114
2017-03-08	$36.25	$35.00	42.8%	12.4%	48.2%	5.3%	45.1%	1.1%	0.1%	4.3M	-76.6M	-512.8K	0.69	12.10	N/A	N/A	4,052	2,780	77,632	32,061
2017-03-09	$35.46	$35.00	43.0%	12.9%	48.6%	5.3%	44.7%	1.6%	0.6%	3.6M	-56.3M	-493.3K	0.49	15.23	N/A	N/A	13,999	6,829	79,076	32,536
2017-03-10	$34.39	$35.00	41.7%	12.3%	49.6%	4.9%	44.3%	1.9%	0.9%	2.3M	-27.0M	-473.2K	1.76	15.19	N/A	N/A	6,993	12,284	83,334	36,504
2017-03-13	$34.72	$35.00	41.9%	12.0%	48.5%	5.0%	42.1%	1.5%	-0.4%	2.4M	-34.2M	-465.1K	0.83	23.83	N/A	N/A	4,847	4,036	81,762	37,237
2017-03-14	$34.18	$35.00	42.0%	11.9%	48.4%	5.0%	42.5%	2.0%	-0.3%	1.8M	-20.0M	-445.2K	0.86	22.68	N/A	N/A	5,606	4,808	82,426	37,816
2017-03-15	$35.14	$35.00	40.5%	11.7%	49.9%	4.5%	41.3%	1.5%	0.4%	3.2M	-47.1M	-471.4K	0.57	15.45	N/A	N/A	7,243	4,134	83,740	38,585
2017-03-16	$35.42	$35.00	39.9%	11.5%	49.8%	4.3%	41.1%	1.8%	0.5%	4.5M	-58.7M	-469.4K	0.48	13.84	N/A	N/A	11,257	5,380	85,929	38,825
2017-03-17	$35.02	$35.00	39.1%	11.2%	48.3%	4.0%	39.4%	1.7%	0.1%	7.6M	-53.5M	-477.0K	0.67	14.24	N/A	N/A	8,367	5,605	93,274	39,455
2017-03-20	$34.97	$35.00	38.2%	10.9%	48.3%	3.7%	38.8%	1.6%	4.6%	4.0M	-52.7M	-467.2K	1.01	14.40	N/A	N/A	4,278	4,325	76,602	31,326
2017-03-21	$33.50	$35.00	39.1%	11.2%	49.8%	4.0%	40.2%	2.1%	4.4%	2.5M	-18.7M	-415.0K	1.21	21.56	N/A	N/A	8,034	9,693	78,594	32,217
2017-03-22	$33.75	$35.00	39.5%	11.3%	50.0%	4.1%	39.1%	1.2%	3.6%	2.3M	-19.9M	-442.8K	1.10	13.90	N/A	N/A	4,438	4,874	80,293	38,587
2017-03-23	$33.43	$35.00	42.3%	12.0%	45.1%	5.1%	41.9%	1.9%	2.7%	1.9M	-13.4M	-445.1K	2.90	19.30	N/A	N/A	3,300	9,575	81,289	40,167
2017-03-24	$32.66	$35.00	42.5%	11.8%	45.7%	5.2%	41.5%	2.7%	4.0%	431.9K	15.0M	-425.3K	1.18	23.78	N/A	N/A	3,960	4,653	81,966	46,073
2017-03-27	$32.54	$35.00	46.8%	12.7%	45.6%	6.6%	44.8%	3.5%	-1.5%	589.4K	13.8M	-414.4K	0.45	24.62	N/A	N/A	11,962	5,348	80,204	45,504
2017-03-28	$33.07	$35.00	46.1%	12.2%	46.1%	6.4%	43.5%	2.4%	-1.2%	1.4M	-5.8M	-451.7K	0.15	15.50	N/A	N/A	27,712	4,170	84,777	45,411
2017-03-29	$32.82	$35.00	46.4%	12.2%	32.8%	6.5%	42.8%	2.5%	-1.0%	2.3M	-15.7M	-490.3K	0.51	20.47	N/A	N/A	8,872	4,503	98,225	45,746
2017-03-30	$33.50	$35.00	47.9%	12.7%	30.9%	7.0%	44.7%	2.0%	-1.5%	3.7M	-33.6M	-482.4K	0.48	28.22	N/A	N/A	12,450	5,978	94,905	46,890
2017-03-31	$34.40	$35.00	49.3%	12.9%	32.7%	7.5%	46.5%	1.3%	-1.7%	5.7M	-73.9M	-511.6K	0.62	28.20	N/A	N/A	18,086	11,302	97,165	48,607