AA Options History — April 2017

In April 2017, AA traded between $31.28 and $36.56. ATM implied volatility averaged 44.5%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 8.3% (HV 20d: 36.2%). Max pain ranged from $33.50 to $35.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 1.00.

Notable Days

  • 2017-04-25: Highest Volume — 40,307 contracts
  • 2017-04-25: Largest IV drop — 17.5% change
  • 2017-04-17: Highest IV Rank — 7.7%
  • 2017-04-17: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.40$31.28$36.56$34.29$33.74
Max Pain$34.08$33.50$35.00$35.00$34.00
ATM IV44.5%35.3%49.9%49.1%36.0%
Expected Move12.4%10.0%14.2%12.8%10.4%
HV 20d36.2%26.5%53.6%31.6%53.6%
HV 60d39.9%37.5%44.8%40.8%44.8%
IV Rank5.9%2.7%7.7%7.4%2.9%
IV Percentile74.2%23.8%96.8%93.7%27.8%
Term Structure-0.8%-1.9%-0.2%-0.9%-0.9%
VWIV44.5%35.7%53.1%46.6%36.1%
Skew 25d2.6%1.9%3.8%2.5%2.8%
Skew 10d4.7%2.4%6.7%4.9%4.7%
Call IV 25d44.2%34.8%49.4%48.4%35.5%
Put IV 25d46.8%37.1%51.9%51.0%38.3%
Bid-Ask Spread %17.0012.0423.7623.5414.69
Gamma HHI0.120.090.180.090.13
Net GEX2.1M-1.7M8.1M4.8M3.1M
Net DEX-27.0M-152.0M51.3M-54.5M-45.0M
Net VEX-429.9K-519.1K-359.9K-519.1K-437.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.322.091.630.52
Total Volume16,498.1058,54240,30717,98315,009
Total OI147,02195,015165,125150,948137,319

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$34.29$35.0049.1%12.8%31.6%7.4%46.6%2.5%-0.9%4.8M-54.5M-519.1K1.6323.54N/AN/A6,82811,15599,01251,936
2017-04-04$34.19$34.5046.8%11.8%29.9%6.6%42.1%2.9%-0.2%4.2M-46.3M-515.6K0.9715.51N/AN/A5,1334,968100,55758,824
2017-04-05$33.89$34.5046.0%11.1%29.5%6.4%39.0%2.4%-0.6%3.5M-33.9M-494.8K1.9222.15N/AN/A5,0039,619102,15259,513
2017-04-06$33.68$34.0045.8%12.7%28.7%6.3%44.1%2.7%-0.7%1.4M-22.5M-472.4K0.7012.04N/AN/A6,2524,389103,55458,826
2017-04-07$33.72$34.0045.8%12.8%26.8%6.3%44.6%2.0%-0.8%1.3M-29.1M-468.4K0.4312.46N/AN/A9,4014,054105,73359,392
2017-04-10$33.67$34.0047.5%13.3%26.5%6.9%45.8%3.1%-1.0%1.6M-25.1M-445.8K0.7213.46N/AN/A7,0925,13088,73056,643
2017-04-11$34.41$34.0046.3%13.1%27.2%6.5%45.7%3.2%-0.7%2.8M-49.0M-469.5K0.9114.42N/AN/A4,7934,37890,13058,372
2017-04-12$32.10$34.0048.3%13.8%35.0%7.2%49.0%2.8%-0.3%-864.6K22.9M-413.1K1.6314.87N/AN/A6,93911,31291,17658,709
2017-04-13$31.28$34.0048.3%13.7%35.4%7.2%51.5%3.8%-0.7%-1.7M51.3M-389.5K1.4613.96N/AN/A5,8728,55293,39761,493
2017-04-17$31.57$34.0049.9%14.2%35.8%7.7%53.1%2.5%-1.9%-1.3M35.3M-388.3K2.0916.31N/AN/A3,4397,18893,22861,138
2017-04-18$31.66$34.0047.5%13.5%35.9%6.9%49.9%2.6%-1.2%-1.5M32.9M-378.6K1.0517.69N/AN/A4,9355,18994,58061,209
2017-04-19$31.34$34.0047.1%13.5%33.0%6.7%50.8%2.9%-0.9%-1.7M40.7M-364.0K1.2618.09N/AN/A3,7764,76696,53261,616
2017-04-20$32.26$34.0046.6%13.4%34.8%6.6%46.4%2.2%-1.8%-904.9K12.6M-377.0K0.7215.08N/AN/A7,2375,22197,09461,284
2017-04-21$31.79$34.0045.0%13.0%35.0%6.0%47.2%2.7%-0.8%2.0M21.6M-359.9K1.2218.06N/AN/A8,2129,979101,29061,476
2017-04-24$33.43$34.0042.7%12.6%38.7%5.2%44.0%2.0%-1.7%3.2M-43.2M-385.7K0.3223.76N/AN/A24,4427,72161,89133,124
2017-04-25$36.44$33.5035.3%10.0%49.0%2.7%36.7%2.2%-0.7%6.0M-149.3M-413.6K0.3818.31N/AN/A29,13411,17376,76539,806
2017-04-26$36.56$34.0035.8%10.5%48.9%2.9%37.3%2.2%-0.2%5.9M-152.0M-427.8K0.3819.31N/AN/A19,0087,24779,67044,552
2017-04-27$34.61$34.0035.9%10.2%53.2%2.9%35.7%1.9%-0.2%8.1M-80.7M-447.3K0.6219.29N/AN/A11,6987,22085,66847,008
2017-04-28$33.74$34.0036.0%10.4%53.6%2.9%36.1%2.8%-0.9%3.1M-45.0M-437.2K0.5214.69N/AN/A9,8885,12189,87947,440