AA Options History — July 2017

In July 2017, AA traded between $33.90 and $37.17. ATM implied volatility averaged 39.2%, placing in the 4.0% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 7.9% (HV 20d: 31.3%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2017-07-17: Highest Volume — 27,271 contracts
  • 2017-07-20: Largest IV drop — 14.9% change
  • 2017-07-03: Highest IV Rank — 6.7%
  • 2017-07-05: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.68$33.90$37.17$34.02$36.33
Max Pain$32.10$32.00$33.00$33.00$32.00
ATM IV39.2%31.6%46.9%46.9%31.7%
Expected Move11.1%8.9%15.1%14.8%8.9%
HV 20d31.3%23.4%39.6%39.6%23.9%
HV 60d35.1%27.5%40.7%40.6%27.5%
IV Rank4.0%1.4%6.7%6.7%1.4%
IV Percentile51.5%8.3%90.9%90.9%8.7%
Term Structure-0.9%-2.6%0.9%-1.6%-0.4%
VWIV39.6%31.6%53.6%51.4%31.6%
Skew 25d2.4%1.2%3.5%1.8%2.9%
Skew 10d4.3%2.1%5.8%4.4%5.3%
Call IV 25d38.8%31.2%47.0%45.8%31.3%
Put IV 25d41.2%33.5%49.9%47.6%34.2%
Bid-Ask Spread %14.9611.0919.1416.8316.36
Gamma HHI0.150.100.210.180.21
Net GEX5.4M3.5M11.0M5.9M4.4M
Net DEX-118.9M-192.0M-63.4M-113.1M-76.5M
Net VEX-427.7K-525.2K-381.7K-525.2K-390.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.221.430.420.54
Total Volume13,172.85,77327,27123,6679,007
Total OI127,300.9582,539161,955149,70586,430

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$34.02$33.0046.9%14.8%39.6%6.7%51.4%1.8%-1.6%5.9M-113.1M-525.2K0.4216.83N/AN/A16,7076,960100,85548,850
2017-07-05$33.90$33.0046.3%15.1%39.4%6.5%53.6%2.9%-1.9%5.0M-95.6M-489.4K0.2611.71N/AN/A14,5773,72992,89450,120
2017-07-06$33.92$32.0046.8%12.5%39.4%6.6%44.4%2.9%-2.6%4.9M-93.0M-480.7K1.0811.71N/AN/A6,0086,49592,00150,753
2017-07-07$34.18$32.0045.1%12.5%38.7%6.1%44.8%2.7%-1.8%3.5M-90.2M-456.7K0.9314.94N/AN/A5,3054,95486,13452,380
2017-07-10$34.22$32.0045.9%12.5%38.1%6.3%45.3%2.9%-1.3%4.1M-91.6M-441.3K1.2711.09N/AN/A3,6694,67484,21550,177
2017-07-11$34.95$32.0045.5%12.3%35.7%6.2%44.3%3.5%-2.4%4.4M-113.9M-436.1K1.4313.57N/AN/A4,7786,81384,58452,074
2017-07-12$34.56$32.0044.3%12.1%35.5%5.8%42.9%3.1%-2.1%4.2M-99.9M-433.0K0.7811.99N/AN/A7,0615,52585,05353,370
2017-07-13$36.02$32.0042.2%11.5%35.6%5.1%41.4%2.2%-2.3%4.9M-154.7M-413.9K0.9014.88N/AN/A9,0658,16188,20055,346
2017-07-14$36.35$32.0041.1%11.5%33.3%4.7%43.6%2.2%-1.6%5.2M-167.0M-406.4K1.2517.41N/AN/A5,7777,22589,20053,886
2017-07-17$36.44$32.0041.4%11.7%31.4%4.8%41.2%1.8%-0.5%5.2M-154.3M-381.7K0.2212.70N/AN/A22,3194,95284,59050,979
2017-07-18$36.33$32.0041.0%11.7%30.8%4.6%42.1%2.1%-1.6%6.4M-158.3M-420.4K1.1013.15N/AN/A5,6226,17093,84751,046
2017-07-19$36.57$32.0038.4%11.0%29.8%3.8%38.5%2.1%0.2%7.1M-173.6M-430.8K1.0516.04N/AN/A10,70211,27497,82652,650
2017-07-20$36.53$32.0032.7%9.4%27.1%1.8%32.6%2.1%0.2%10.0M-190.2M-415.6K0.5215.59N/AN/A10,2695,298103,57158,384
2017-07-21$36.68$32.0032.7%9.3%27.1%1.8%32.9%2.3%0.9%11.0M-192.0M-407.5K0.8616.00N/AN/A6,6715,731102,73258,591
2017-07-24$36.67$32.0032.4%9.2%24.4%1.7%32.8%1.2%0.4%4.1M-83.2M-401.8K0.7317.23N/AN/A5,5744,07753,67428,865
2017-07-25$37.17$32.0031.6%9.1%24.3%1.4%32.7%2.4%0.8%4.7M-98.2M-405.7K0.5716.47N/AN/A5,7333,25656,49329,988
2017-07-26$36.80$32.0032.5%9.2%24.8%1.7%31.9%2.6%-0.3%4.7M-91.7M-409.3K1.1914.71N/AN/A2,6413,13257,45530,521
2017-07-27$36.31$32.0032.9%9.3%23.4%1.9%32.2%2.8%-0.2%4.4M-78.1M-409.0K0.9919.14N/AN/A3,2503,22157,85030,889
2017-07-28$35.74$32.0032.9%9.1%24.4%1.9%31.9%1.9%0.3%3.8M-63.4M-397.9K1.1217.62N/AN/A3,3423,73258,29731,249
2017-07-31$36.33$32.0031.7%8.9%23.9%1.4%31.6%2.9%-0.4%4.4M-76.5M-390.9K0.5416.36N/AN/A5,8543,15356,22430,206