AA Options History — September 2017

In September 2017, AA traded between $42.59 and $47.47. ATM implied volatility averaged 35.5%, placing in the 2.7% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 2.6% (HV 20d: 32.9%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.04.

Notable Days

  • 2017-09-20: Highest Volume — 27,953 contracts
  • 2017-09-18: Largest IV spike — 9.8% change
  • 2017-09-25: Highest IV Rank — 4.7%
  • 2017-09-27: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.11$42.59$47.47$45.09$46.61
Max Pain$38.77$38.00$40.00$38.00$40.00
ATM IV35.5%29.8%41.1%30.9%39.2%
Expected Move10.9%8.5%12.2%8.5%11.7%
HV 20d32.9%30.1%35.8%33.7%32.9%
HV 60d30.5%29.3%32.2%32.2%29.5%
IV Rank2.7%0.8%4.7%1.2%4.0%
IV Percentile31.8%2.4%67.9%3.6%57.1%
Term Structure1.1%-1.4%5.8%1.0%-0.7%
VWIV38.7%30.3%43.3%30.3%41.6%
Skew 25d2.0%0.6%2.5%2.0%1.7%
Skew 10d3.7%1.7%4.9%2.5%3.4%
Call IV 25d35.2%28.2%40.7%30.4%39.5%
Put IV 25d37.2%29.6%42.9%32.4%41.1%
Bid-Ask Spread %12.9610.4016.4713.8114.04
Gamma HHI0.140.110.260.140.11
Net GEX5.4M3.9M7.7M4.3M7.7M
Net DEX-189.5M-246.1M-126.2M-221.2M-232.1M
Net VEX-590.1K-692.5K-507.4K-515.5K-651.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.411.880.581.88
Total Volume14,002.88,56127,95316,44913,535
Total OI125,756.45111,918142,984116,143142,984

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$45.09$38.0030.9%8.5%33.7%1.2%30.3%2.0%1.0%4.3M-221.2M-515.5K0.5813.81N/AN/A10,4206,02970,43545,708
2017-09-05$44.43$38.0033.1%10.8%34.7%1.9%37.7%2.4%-0.1%4.9M-183.6M-531.2K0.6310.40N/AN/A7,4914,69167,66044,258
2017-09-06$44.42$38.0032.9%10.8%32.4%1.9%38.6%2.1%0.1%4.6M-182.9M-523.6K1.0111.63N/AN/A4,2514,31067,52145,321
2017-09-07$44.73$38.0031.7%10.6%30.1%1.4%38.2%2.3%-0.0%4.9M-190.7M-507.4K1.7310.94N/AN/A4,2347,32767,96445,605
2017-09-08$42.59$38.0033.4%10.9%35.2%2.0%39.0%0.6%-0.3%3.9M-126.2M-535.8K0.9111.61N/AN/A8,3597,58566,98748,130
2017-09-11$43.60$38.0033.0%10.9%35.7%1.9%38.4%2.4%4.9%4.2M-155.0M-523.7K1.0512.43N/AN/A4,9655,20866,62448,673
2017-09-12$44.98$38.0032.9%10.8%35.6%1.9%38.0%1.9%4.6%4.9M-192.7M-508.7K0.7810.44N/AN/A8,8506,94368,23950,293
2017-09-13$44.91$38.0030.6%10.3%35.8%1.1%36.5%2.1%5.1%5.6M-193.8M-542.9K0.7610.72N/AN/A5,9694,52073,73553,150
2017-09-14$44.80$38.0029.8%10.0%33.8%0.8%35.0%1.3%5.7%6.9M-196.4M-551.6K1.2010.98N/AN/A5,3896,46875,74853,700
2017-09-15$44.66$38.0031.3%10.1%30.6%1.3%35.8%1.9%5.8%4.1M-186.8M-567.6K0.6711.21N/AN/A7,2054,84777,57056,048
2017-09-18$44.88$38.0034.3%10.3%30.4%2.4%36.3%2.0%0.4%4.6M-162.0M-573.5K0.7015.21N/AN/A5,3193,73166,81245,384
2017-09-19$46.18$38.0036.6%10.7%31.2%3.1%37.6%2.1%-1.2%5.0M-193.8M-566.2K0.4114.57N/AN/A13,7865,72068,15546,043
2017-09-20$47.47$39.5039.1%11.2%30.6%4.0%40.4%2.5%0.6%5.8M-246.1M-608.9K0.8916.47N/AN/A14,75513,19877,79047,973
2017-09-21$46.24$40.0039.3%11.2%31.7%4.1%39.8%1.9%0.3%5.8M-208.7M-690.8K1.0713.79N/AN/A8,2628,86482,61154,199
2017-09-22$45.38$40.0039.2%11.3%32.9%4.0%39.9%2.2%-0.2%5.7M-179.2M-692.5K0.9014.84N/AN/A9,9638,99183,65754,885
2017-09-25$45.29$40.0041.1%11.9%32.9%4.7%43.1%2.4%-1.4%5.6M-178.5M-683.1K1.1413.81N/AN/A5,3116,03681,36552,185
2017-09-26$44.77$40.0040.8%11.9%32.8%4.6%41.8%1.9%-0.8%5.6M-165.1M-673.0K0.9113.24N/AN/A8,5837,82681,82152,364
2017-09-27$45.07$40.0040.3%12.2%32.2%4.4%43.3%1.7%-0.6%6.2M-180.4M-686.4K1.7415.96N/AN/A3,9166,82986,78854,628
2017-09-28$46.15$40.0039.9%12.0%33.0%4.3%43.3%2.1%-1.1%7.2M-214.8M-667.7K1.7513.02N/AN/A3,7726,59886,79355,323
2017-09-29$46.61$40.0039.2%11.7%32.9%4.0%41.6%1.7%-0.7%7.7M-232.1M-651.8K1.8814.04N/AN/A4,6928,84387,28255,702