AA Options History — May 2017

In May 2017, AA traded between $30.72 and $33.55. ATM implied volatility averaged 37.4%, placing in the 3.4% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 9.4% (HV 20d: 46.8%). Max pain ranged from $32.00 to $34.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.76.

Notable Days

  • 2017-05-23: Highest Volume — 22,077 contracts
  • 2017-05-17: Largest IV spike — 6.3% change
  • 2017-05-18: Highest IV Rank — 4.0%
  • 2017-05-04: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.27$30.72$33.55$33.47$32.94
Max Pain$32.32$32.00$34.00$34.00$32.00
ATM IV37.4%36.3%39.2%36.3%37.1%
Expected Move10.6%9.8%11.4%10.8%10.1%
HV 20d46.8%27.6%57.3%52.8%27.7%
HV 60d43.6%38.4%45.7%44.4%38.4%
IV Rank3.4%3.0%4.0%3.0%3.3%
IV Percentile39.2%29.4%52.8%29.4%40.5%
Term Structure0.4%-1.2%2.4%-0.0%-1.2%
VWIV37.8%35.3%41.4%37.4%37.5%
Skew 25d2.4%1.6%3.0%2.2%3.0%
Skew 10d4.9%3.0%6.9%5.5%6.6%
Call IV 25d36.9%35.4%38.6%36.1%36.8%
Put IV 25d39.3%37.9%40.9%38.3%39.8%
Bid-Ask Spread %14.498.9418.5313.4616.35
Gamma HHI0.100.070.150.120.08
Net GEX1.7M394.2K2.7M2.7M1.9M
Net DEX-7.8M-43.8M28.6M-23.6M-26.7M
Net VEX-412.1K-486.5K-358.6K-423.2K-457.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.471.250.651.15
Total Volume11,329.0457,62422,07711,9778,562
Total OI124,156.364101,360142,655112,580116,850

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$33.47$34.0036.3%10.8%52.8%3.0%37.4%2.2%-0.0%2.7M-23.6M-423.2K0.6513.46N/AN/A7,2794,69869,70842,872
2017-05-02$33.41$34.0036.3%10.5%52.8%3.0%37.2%2.3%-0.6%2.7M-20.9M-420.2K0.5815.20N/AN/A6,5423,81970,61244,790
2017-05-03$31.70$34.0037.6%11.3%55.8%3.5%39.1%2.6%-0.1%916.4K17.9M-372.0K0.5717.18N/AN/A9,8435,56772,96245,033
2017-05-04$31.09$33.0038.7%11.4%56.1%3.9%39.7%2.1%0.4%605.0K28.6M-369.5K0.5915.57N/AN/A12,1017,13976,97347,247
2017-05-05$31.74$32.0038.0%11.0%56.8%3.6%38.9%2.3%-0.2%1.7M2.1M-402.2K0.5415.57N/AN/A6,8273,67681,99849,840
2017-05-08$30.96$32.0038.5%11.3%57.3%3.8%41.4%1.9%0.3%836.4K21.1M-369.3K0.9514.44N/AN/A5,4625,20578,02345,655
2017-05-09$30.72$32.0038.2%11.0%57.3%3.7%40.1%1.6%0.3%394.2K27.1M-358.6K1.1313.77N/AN/A5,0355,68979,61748,227
2017-05-10$31.11$32.0037.9%11.0%56.8%3.6%39.4%2.5%0.4%938.3K19.3M-373.6K0.4710.18N/AN/A8,9224,17080,47949,728
2017-05-11$31.23$32.0037.1%10.8%51.5%3.3%38.7%2.5%0.4%1.5M13.7M-386.0K0.5916.35N/AN/A5,7203,39784,41149,855
2017-05-12$31.79$32.0036.5%10.5%51.1%3.1%37.3%1.8%-0.1%1.7M-944.3K-402.4K0.6412.63N/AN/A5,6813,61585,75050,213
2017-05-15$32.09$32.0036.9%10.6%51.1%3.2%36.8%2.4%2.1%2.0M-3.0M-396.1K0.669.96N/AN/A5,3313,54483,65348,494
2017-05-16$32.16$32.0036.3%10.4%51.1%3.0%37.1%2.4%2.4%2.0M-4.0M-394.3K0.788.94N/AN/A4,2813,34384,80549,030
2017-05-17$31.88$32.0038.6%11.1%51.0%3.8%40.1%2.3%2.3%1.3M2.9M-391.4K0.5011.98N/AN/A8,4184,18385,33349,326
2017-05-18$31.95$32.0039.2%11.2%50.0%4.0%38.0%2.8%1.8%1.1M2.0M-402.6K0.6512.65N/AN/A5,7893,77390,33350,201
2017-05-19$32.34$32.0036.8%10.4%49.9%3.2%36.9%3.0%0.7%1.9M-10.2M-402.3K0.6614.77N/AN/A7,3364,82592,06250,593
2017-05-22$33.03$32.0036.3%9.9%47.0%3.0%35.6%2.3%-0.2%2.1M-33.6M-413.5K0.7514.59N/AN/A6,0944,56763,19138,169
2017-05-23$33.24$32.0037.3%10.1%34.3%3.4%36.0%3.0%-0.7%2.5M-38.7M-428.7K1.2517.69N/AN/A9,83212,24565,01339,379
2017-05-24$33.55$32.0036.5%9.9%34.5%3.1%35.7%2.9%0.2%2.5M-43.8M-486.5K0.7618.53N/AN/A6,0114,59570,04147,182
2017-05-25$33.19$32.0037.3%10.0%29.1%3.4%35.5%2.2%1.2%2.6M-35.3M-479.2K0.8216.14N/AN/A5,3074,36471,27447,730
2017-05-26$33.25$32.0036.5%9.8%27.7%3.1%35.3%2.3%-0.2%1.9M-36.1M-477.2K1.0116.72N/AN/A4,3704,41371,39448,352
2017-05-30$33.13$32.0038.1%10.5%27.6%3.6%38.1%2.3%-0.7%1.8M-29.3M-460.4K0.9216.16N/AN/A3,9993,67067,89047,152
2017-05-31$32.94$32.0037.1%10.1%27.7%3.3%37.5%3.0%-1.2%1.9M-26.7M-457.0K1.1516.35N/AN/A3,9874,57569,16147,689