AA Options History — October 2017 In October 2017, AA traded between $46.63 and $50.10. ATM implied volatility averaged 35.9%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 10.0% (HV 20d: 26.0%). Max pain ranged from $40.00 to $44.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.03.
Notable Days 2017-10-24 : Highest Volume — 21,430 contracts2017-10-19 : Largest IV drop — 16.7% change2017-10-09 : Highest IV Rank — 14.0%2017-10-04 : Largest Expected Move — 12.7%Monthly Statistics Metric Avg Min Max Open Close Price $47.89 $46.63 $50.10 $47.58 $47.74 Max Pain $42.41 $40.00 $44.00 $40.00 $44.00 ATM IV 35.9% 30.4% 40.4% 39.9% 32.8% Expected Move 10.5% 8.9% 12.7% 12.6% 9.8% HV 20d 26.0% 20.9% 32.5% 32.5% 26.2% HV 60d 29.7% 28.9% 31.2% 29.7% 31.1% IV Rank 7.2% 3.2% 14.0% 4.3% 5.7% IV Percentile 35.9% 3.2% 64.7% 60.7% 15.1% Term Structure -0.6% -1.7% 0.8% -1.0% -0.0% VWIV 37.5% 31.5% 45.0% 44.0% 33.6% Skew 25d 2.4% 1.8% 2.9% 1.8% 2.6% Skew 10d 5.2% 3.3% 10.5% 4.0% 5.5% Call IV 25d 35.5% 29.3% 39.6% 39.5% 31.8% Put IV 25d 37.8% 32.1% 42.0% 41.3% 34.4% Bid-Ask Spread % 13.12 9.10 19.39 15.26 17.91 Gamma HHI 0.17 0.11 0.30 0.12 0.19 Net GEX 7.2M 4.9M 11.6M 7.3M 5.5M Net DEX -221.2M -274.8M -134.1M -254.5M -144.9M Net VEX -582.8K -633.4K -531.2K -633.4K -613.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.03 0.46 2.29 1.25 0.77 Total Volume 13,254.318 8,302 21,430 13,113 8,302 Total OI 137,286.955 105,483 155,310 140,585 124,518
Daily Data (22 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 2017-10-02 $47.58 $40.00 39.9% 12.6% 32.5% 4.3% 44.0% 1.8% -1.0% 7.3M -254.5M -633.4K 1.25 15.26 N/A N/A 5,839 7,274 85,471 55,114 2017-10-03 $48.26 $40.00 39.9% 12.4% 32.1% 4.3% 45.0% 2.6% -1.4% 7.3M -273.8M -617.9K 2.29 11.79 N/A N/A 3,341 7,644 85,978 56,404 2017-10-04 $47.88 $40.00 39.4% 12.7% 32.3% 4.1% 44.7% 2.5% -0.7% 7.6M -263.4M -606.9K 1.56 9.81 N/A N/A 5,188 8,096 86,241 56,909 2017-10-05 $48.25 $42.00 39.5% 10.7% 32.3% 4.1% 38.7% 2.0% -1.4% 7.9M -274.8M -608.3K 1.83 11.61 N/A N/A 3,531 6,478 88,097 57,555 2017-10-06 $47.49 $42.00 39.3% 10.9% 26.8% 4.1% 39.0% 2.0% -0.8% 8.2M -247.5M -620.0K 1.47 9.50 N/A N/A 4,339 6,391 88,304 59,636 2017-10-09 $47.05 $42.00 40.4% 11.2% 26.4% 14.0% 41.7% 2.2% -1.6% 7.5M -229.6M -604.0K 0.90 11.70 N/A N/A 5,911 5,291 86,070 58,657 2017-10-10 $46.89 $42.00 39.8% 11.1% 24.5% 13.4% 41.2% 2.3% -0.6% 7.8M -228.5M -595.9K 1.07 14.41 N/A N/A 4,255 4,568 87,306 60,017 2017-10-11 $46.90 $42.00 39.3% 11.1% 24.4% 12.9% 39.8% 2.5% -0.6% 7.9M -229.8M -600.2K 0.98 11.31 N/A N/A 5,109 4,993 87,791 60,951 2017-10-12 $47.50 $42.00 39.2% 11.0% 24.6% 12.8% 40.0% 2.7% -1.3% 8.7M -253.9M -575.2K 0.80 12.39 N/A N/A 5,511 4,402 89,320 61,383 2017-10-13 $47.71 $42.00 38.7% 10.8% 24.5% 12.2% 39.9% 2.9% -1.2% 7.0M -268.2M -572.4K 0.88 12.34 N/A N/A 5,804 5,100 90,659 61,372 2017-10-16 $48.28 $42.00 38.2% 10.9% 24.7% 11.7% 38.7% 1.8% -1.3% 7.2M -260.6M -537.3K 0.46 10.68 N/A N/A 11,229 5,215 84,616 55,809 2017-10-17 $47.70 $42.00 38.0% 10.9% 23.5% 11.5% 39.0% 2.5% -1.7% 7.2M -240.3M -544.6K 0.93 9.21 N/A N/A 5,930 5,537 84,828 57,161 2017-10-18 $47.73 $42.00 37.1% 10.6% 21.4% 10.5% 38.0% 1.9% -1.2% 7.4M -242.3M -531.2K 0.74 11.54 N/A N/A 12,146 9,030 86,358 59,356 2017-10-19 $46.63 $42.00 30.9% 8.9% 20.9% 3.8% 31.9% 2.8% -0.9% 11.6M -206.9M -545.9K 0.86 10.54 N/A N/A 11,351 9,719 92,511 62,799 2017-10-20 $47.89 $43.00 30.9% 8.9% 21.6% 3.7% 31.5% 1.9% -0.9% 6.6M -266.6M -545.5K 0.75 9.10 N/A N/A 12,023 9,019 91,153 63,995 2017-10-23 $47.94 $44.00 30.7% 9.0% 21.5% 3.5% 31.8% 2.0% 0.6% 5.1M -146.5M -547.0K 1.02 15.35 N/A N/A 5,944 6,082 60,969 44,514 2017-10-24 $50.10 $44.00 30.4% 9.1% 25.3% 3.2% 32.1% 2.8% 0.8% 5.6M -200.4M -536.8K 0.55 15.67 N/A N/A 13,791 7,639 63,212 47,039 2017-10-25 $49.54 $44.00 31.4% 9.4% 26.0% 4.2% 33.3% 2.2% 0.2% 6.3M -185.4M -585.7K 1.24 15.74 N/A N/A 5,427 6,740 66,858 49,963 2017-10-26 $49.21 $44.00 31.2% 9.4% 25.3% 4.1% 33.2% 2.6% 0.7% 6.2M -174.3M -593.3K 1.25 16.80 N/A N/A 3,902 4,859 67,306 51,806 2017-10-27 $47.91 $44.00 31.3% 9.4% 27.3% 4.1% 33.3% 2.5% 0.3% 8.3M -139.5M -590.3K 0.59 19.39 N/A N/A 11,069 6,482 67,721 52,385 2017-10-30 $47.43 $44.00 32.6% 9.9% 26.6% 5.5% 33.7% 2.7% 0.5% 4.9M -134.1M -616.1K 0.53 16.55 N/A N/A 7,260 3,834 70,333 51,868 2017-10-31 $47.74 $44.00 32.8% 9.8% 26.2% 5.7% 33.6% 2.6% -0.0% 5.5M -144.9M -613.4K 0.77 17.91 N/A N/A 4,684 3,618 72,254 52,264
« Sep 2017 | All History | Nov 2017 » Home AA History October 2017