AA Options History — August 2017 In August 2017, AA traded between $36.37 and $43.94. ATM implied volatility averaged 32.4%, placing in the 1.7% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 3.9% (HV 20d: 28.6%). Max pain ranged from $32.00 to $37.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.82.
Notable Days 2017-08-08 : Highest Volume — 36,471 contracts2017-08-08 : Largest IV spike — 11.6% change2017-08-11 : Highest IV Rank — 2.8%2017-08-11 : Largest Expected Move — 10.1%Monthly Statistics Metric Avg Min Max Open Close Price $39.31 $36.37 $43.94 $36.37 $43.94 Max Pain $34.83 $32.00 $37.00 $32.00 $37.00 ATM IV 32.4% 30.3% 35.5% 31.9% 31.4% Expected Move 9.1% 8.6% 10.1% 8.7% 8.7% HV 20d 28.6% 20.8% 35.1% 20.8% 33.1% HV 60d 29.8% 26.9% 32.2% 27.3% 32.1% IV Rank 1.7% 1.0% 2.8% 1.5% 1.3% IV Percentile 11.1% 4.0% 23.4% 10.3% 4.4% Term Structure -0.2% -1.7% 0.7% -0.4% 0.3% VWIV 32.7% 29.9% 36.7% 31.5% 31.0% Skew 25d 2.3% 1.2% 3.5% 2.2% 1.6% Skew 10d 4.5% 2.5% 6.6% 3.2% 4.8% Call IV 25d 32.1% 30.0% 36.3% 31.3% 31.0% Put IV 25d 34.3% 31.8% 38.8% 33.5% 32.6% Bid-Ask Spread % 15.10 12.24 17.40 16.01 13.04 Gamma HHI 0.22 0.13 0.69 0.19 0.13 Net GEX 7.0M 3.2M 19.2M 5.4M 4.9M Net DEX -130.3M -203.4M -68.2M -81.7M -203.4M Net VEX -426.6K -551.2K -344.2K -396.0K -540.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.82 0.17 1.30 1.20 1.12 Total Volume 13,818.13 5,057 36,471 5,057 12,330 Total OI 101,561.739 71,535 116,513 89,506 116,513
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 2017-08-01 $36.37 $32.00 31.9% 8.7% 20.8% 1.5% 31.5% 2.2% -0.4% 5.4M -81.7M -396.0K 1.20 16.01 N/A N/A 2,301 2,756 59,116 30,390 2017-08-02 $37.25 $32.00 32.2% 8.6% 21.9% 1.6% 31.9% 2.2% -1.7% 6.2M -104.4M -391.4K 0.56 16.91 N/A N/A 6,318 3,540 59,496 30,602 2017-08-03 $37.09 $34.00 30.9% 8.7% 22.1% 1.2% 30.8% 1.2% -0.4% 7.4M -105.4M -396.3K 1.30 16.76 N/A N/A 2,355 3,062 62,295 31,173 2017-08-04 $37.41 $34.00 30.7% 8.9% 22.1% 1.1% 31.2% 2.4% -0.1% 7.3M -117.2M -392.5K 1.15 14.67 N/A N/A 2,949 3,382 62,881 31,533 2017-08-07 $37.91 $34.00 30.3% 8.8% 22.3% 1.0% 29.9% 1.6% 0.4% 6.4M -118.4M -380.8K 0.66 15.20 N/A N/A 6,738 4,450 59,744 30,805 2017-08-08 $39.53 $34.00 33.8% 9.5% 25.3% 2.2% 34.3% 1.6% -0.3% 5.6M -160.8M -382.2K 0.36 12.93 N/A N/A 26,867 9,604 63,002 31,010 2017-08-09 $38.53 $34.00 34.3% 9.6% 27.0% 2.3% 35.2% 2.7% -1.3% 7.7M -132.9M -418.2K 1.09 12.97 N/A N/A 4,635 5,068 73,866 35,314 2017-08-10 $37.85 $34.00 35.3% 10.0% 24.7% 2.7% 36.4% 2.6% -0.4% 7.5M -103.8M -405.8K 1.09 15.99 N/A N/A 4,893 5,312 73,248 35,929 2017-08-11 $37.85 $34.00 35.5% 10.1% 24.5% 2.8% 36.7% 2.5% -1.0% 7.1M -104.0M -403.7K 0.57 16.67 N/A N/A 7,764 4,448 73,733 36,272 2017-08-14 $37.26 $34.00 33.8% 9.7% 25.3% 2.2% 34.0% 2.5% -0.6% 7.7M -92.0M -378.9K 1.02 15.69 N/A N/A 3,909 3,970 75,314 33,828 2017-08-15 $37.60 $34.00 32.3% 9.2% 25.4% 1.7% 33.2% 3.5% 0.7% 9.0M -102.7M -375.1K 1.09 14.93 N/A N/A 3,355 3,646 75,717 34,096 2017-08-16 $39.20 $34.00 32.0% 9.2% 29.1% 1.6% 32.0% 1.9% 0.3% 11.3M -156.4M -367.5K 0.36 13.43 N/A N/A 11,730 4,236 74,904 34,172 2017-08-17 $37.90 $34.00 33.4% 9.6% 32.0% 2.0% 34.6% 2.7% 0.4% 11.9M -105.6M -365.4K 0.56 12.24 N/A N/A 7,527 4,218 76,048 35,330 2017-08-18 $37.90 $35.00 32.8% 9.3% 32.0% 1.8% 33.4% 3.4% 0.7% 19.2M -98.0M -358.7K 1.19 17.40 N/A N/A 4,214 5,008 76,639 36,343 2017-08-21 $38.50 $36.00 32.6% 9.3% 32.3% 1.8% 32.6% 2.2% 0.5% 3.2M -68.2M -351.0K 1.09 16.31 N/A N/A 3,087 3,357 42,251 29,284 2017-08-22 $39.81 $36.00 32.2% 9.0% 34.0% 1.6% 32.3% 2.0% -0.3% 3.2M -92.8M -344.2K 0.17 16.15 N/A N/A 29,375 5,096 43,563 29,754 2017-08-23 $41.12 $36.00 31.9% 8.8% 35.1% 1.5% 32.2% 2.1% -0.6% 5.3M -156.6M -452.1K 1.01 15.35 N/A N/A 12,368 12,466 63,395 31,954 2017-08-24 $41.34 $36.00 31.1% 9.0% 34.3% 1.2% 32.3% 1.4% 0.4% 4.8M -169.3M -537.6K 1.07 14.57 N/A N/A 5,071 5,444 70,492 39,171 2017-08-25 $41.31 $36.00 31.5% 8.6% 33.4% 1.4% 31.4% 2.6% -0.5% 4.6M -171.7M -534.5K 0.64 16.13 N/A N/A 8,750 5,570 71,465 39,276 2017-08-28 $42.15 $37.00 32.7% 9.4% 33.6% 1.8% 33.7% 2.1% 0.5% 5.1M -162.5M -541.5K 0.61 14.21 N/A N/A 8,216 5,038 66,683 36,897 2017-08-29 $43.04 $37.00 32.0% 8.8% 33.8% 1.5% 30.6% 2.6% 0.1% 5.1M -188.5M -551.2K 0.40 13.88 N/A N/A 11,093 4,396 70,688 38,873 2017-08-30 $43.38 $37.00 31.7% 8.7% 33.3% 1.4% 31.2% 2.1% -0.4% 5.1M -200.6M -546.4K 0.53 15.93 N/A N/A 18,297 9,608 72,573 40,288 2017-08-31 $43.94 $37.00 31.4% 8.7% 33.1% 1.3% 31.0% 1.6% 0.3% 4.9M -203.4M -540.8K 1.12 13.04 N/A N/A 5,804 6,526 72,241 44,272
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