AA Options History — June 2017

In June 2017, AA traded between $29.73 and $33.53. ATM implied volatility averaged 40.4%, placing in the 4.4% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 14.4% (HV 20d: 26.0%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.90.

Notable Days

  • 2017-06-27: Highest Volume — 43,951 contracts
  • 2017-06-15: Largest IV spike — 7.8% change
  • 2017-06-27: Highest IV Rank — 6.2%
  • 2017-06-29: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.89$29.73$33.53$32.85$32.80
Max Pain$32.95$32.00$33.00$32.00$33.00
ATM IV40.4%35.2%45.6%37.2%45.4%
Expected Move12.3%10.1%13.8%10.3%13.6%
HV 20d26.0%14.4%37.6%19.9%37.6%
HV 60d38.3%37.0%40.0%37.9%40.0%
IV Rank4.4%2.6%6.2%3.3%6.2%
IV Percentile58.4%22.6%85.3%41.3%85.3%
Term Structure0.3%-3.1%5.2%-1.5%-1.2%
VWIV43.8%37.0%50.0%37.0%50.0%
Skew 25d1.7%0.1%3.4%1.4%1.5%
Skew 10d4.2%1.0%6.6%4.0%4.4%
Call IV 25d40.6%35.0%46.7%37.7%46.5%
Put IV 25d42.3%37.2%47.9%39.1%47.9%
Bid-Ask Spread %15.9312.8118.1115.6516.05
Gamma HHI0.120.070.490.080.15
Net GEX1.6M-5.3M5.6M1.9M4.8M
Net DEX-18.0M-100.4M39.0M-24.9M-85.4M
Net VEX-425.1K-545.2K-347.3K-456.2K-527.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.161.820.700.77
Total Volume12,998.7736,83243,9517,81115,672
Total OI124,649.364104,923160,889117,876160,889

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$32.85$32.0037.2%10.3%19.9%3.3%37.0%1.4%-1.5%1.9M-24.9M-456.2K0.7015.65N/AN/A4,6063,20569,41148,465
2017-06-02$32.85$33.0036.8%10.1%18.3%3.2%38.1%1.7%-1.1%2.5M-24.1M-448.5K0.7115.65N/AN/A5,1283,61669,24648,543
2017-06-05$33.23$33.0036.8%12.2%17.3%3.2%42.6%0.6%0.6%1.9M-31.9M-439.0K0.8215.48N/AN/A4,7453,88767,39248,094
2017-06-06$32.92$33.0037.3%12.1%14.8%3.4%42.7%1.5%0.1%2.0M-26.1M-436.9K1.1117.36N/AN/A3,2413,59169,62448,647
2017-06-07$32.81$33.0035.8%12.0%14.4%2.9%41.8%1.7%1.0%1.9M-22.8M-426.7K1.8214.75N/AN/A3,1005,65470,04348,956
2017-06-08$33.53$33.0035.5%11.7%15.5%2.8%41.2%2.4%0.1%3.1M-39.5M-441.8K1.5715.70N/AN/A3,6035,65670,46951,167
2017-06-09$32.94$33.0035.2%11.6%17.3%2.6%40.5%1.6%0.9%2.7M-24.1M-433.1K0.8517.23N/AN/A7,9856,80271,00251,408
2017-06-12$31.74$33.0037.3%11.9%21.4%3.4%41.7%2.4%4.4%383.0K5.0M-392.3K1.1815.58N/AN/A6,4147,59068,83949,804
2017-06-13$32.48$33.0036.3%11.8%22.7%3.0%40.9%3.4%4.8%1.2M-11.1M-409.8K0.8612.81N/AN/A4,5303,89970,34850,825
2017-06-14$31.50$33.0037.1%12.2%25.3%3.3%42.3%2.9%5.1%136.1K10.0M-386.1K0.7517.53N/AN/A5,0583,79169,83650,943
2017-06-15$30.67$33.0040.1%12.7%26.8%4.3%44.5%2.6%5.2%-487.5K25.1M-369.7K1.1715.49N/AN/A4,8215,65571,39751,543
2017-06-16$30.00$33.0041.6%12.8%27.6%4.8%44.4%2.4%4.3%-5.3M39.0M-356.5K0.6017.42N/AN/A8,1454,89971,86952,533
2017-06-19$30.91$33.0043.5%12.9%29.6%5.5%46.5%0.1%-3.1%467.9K6.5M-371.8K0.4818.11N/AN/A8,8644,28859,47445,449
2017-06-20$30.51$33.0044.1%12.8%28.5%5.7%45.2%1.2%-2.3%621.0K10.2M-372.0K1.1316.33N/AN/A3,5203,98565,69247,085
2017-06-21$29.73$33.0044.2%12.7%29.2%5.7%45.8%0.9%-1.9%74.7K27.2M-347.3K0.9816.14N/AN/A4,2084,12767,00448,253
2017-06-22$29.84$33.0043.2%12.4%28.9%5.4%44.8%1.3%-0.9%22.4K22.9M-354.2K0.2316.02N/AN/A24,2375,67968,44248,869
2017-06-23$31.15$33.0042.4%12.3%33.6%5.1%43.3%1.3%-1.2%3.2M-27.3M-450.9K1.0916.12N/AN/A4,8065,23686,50849,984
2017-06-26$31.15$33.0043.1%12.6%33.6%5.4%44.8%1.9%-1.2%1.7M-10.9M-422.1K1.0717.82N/AN/A4,6364,95972,90547,323
2017-06-27$31.75$33.0045.6%13.6%34.5%6.2%49.2%2.1%-2.2%2.2M-28.0M-441.4K0.1614.65N/AN/A37,9965,95574,21048,414
2017-06-28$32.92$33.0044.8%13.6%37.0%5.9%47.8%1.6%-1.9%5.4M-84.5M-524.4K0.9914.03N/AN/A7,8407,761103,70749,527
2017-06-29$33.26$33.0044.9%13.8%37.2%6.0%48.7%1.0%-1.6%5.6M-100.4M-545.2K0.8314.57N/AN/A6,8745,709106,41351,734
2017-06-30$32.80$33.0045.4%13.6%37.6%6.2%50.0%1.5%-1.2%4.8M-85.4M-527.2K0.7716.05N/AN/A8,8666,806109,02751,862