AA Options History — November 2017

In November 2017, AA traded between $41.22 and $47.64. ATM implied volatility averaged 34.9%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 4.6% (HV 20d: 30.3%). Max pain ranged from $44.00 to $46.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.11.

Notable Days

  • 2017-11-14: Highest Volume — 17,948 contracts
  • 2017-11-14: Largest IV spike — 9.3% change
  • 2017-11-15: Highest IV Rank — 48.9%
  • 2017-11-29: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.71$41.22$47.64$47.64$41.42
Max Pain$44.95$44.00$46.00$44.00$44.00
ATM IV34.9%31.8%39.6%32.1%34.9%
Expected Move10.4%9.4%11.4%9.6%11.3%
HV 20d30.3%25.2%36.1%26.0%36.1%
HV 60d30.2%29.1%32.0%30.1%32.0%
IV Rank23.5%2.2%48.9%2.5%25.2%
IV Percentile26.2%8.3%61.5%9.9%23.8%
Term Structure0.1%-1.2%1.8%0.6%0.8%
VWIV36.4%33.1%40.1%33.7%39.3%
Skew 25d3.3%2.6%4.3%3.0%2.8%
Skew 10d6.4%4.4%9.5%6.4%6.2%
Call IV 25d34.2%31.0%38.3%31.5%34.5%
Put IV 25d37.4%33.9%42.6%34.6%37.3%
Bid-Ask Spread %15.299.4723.3918.2219.08
Gamma HHI0.140.100.210.180.12
Net GEX2.0M-578.3K5.8M5.8M-578.3K
Net DEX-40.0M-143.7M17.4M-143.7M12.9M
Net VEX-540.6K-615.9K-503.6K-615.9K-512.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.592.200.700.93
Total Volume11,076.9056,57117,9488,2219,335
Total OI124,577.952110,208140,603126,327125,173

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$47.64$44.0032.1%9.6%26.0%2.5%33.7%3.0%0.6%5.8M-143.7M-615.9K0.7018.22N/AN/A4,8343,38773,39352,934
2017-11-02$47.44$46.0032.4%9.6%25.9%2.9%34.3%3.1%0.8%5.8M-137.1M-600.7K0.749.47N/AN/A5,2253,85074,13653,378
2017-11-03$47.12$46.0031.8%9.4%25.4%2.2%33.7%2.9%0.3%4.7M-126.7M-603.0K0.879.49N/AN/A5,0024,37074,98253,656
2017-11-06$47.28$46.0032.5%9.5%25.2%3.0%33.1%3.5%0.4%4.8M-125.3M-572.7K1.0311.36N/AN/A3,8593,95870,36550,369
2017-11-07$46.93$46.0032.5%9.5%25.3%12.9%33.5%2.9%0.6%4.4M-113.4M-574.6K1.2113.94N/AN/A2,9703,60171,48451,497
2017-11-08$45.90$46.0033.0%9.5%26.5%16.0%33.5%3.0%0.0%2.8M-82.8M-551.0K1.2910.15N/AN/A3,4504,44771,36652,114
2017-11-09$43.45$46.0034.0%10.0%32.1%20.7%34.5%3.6%1.8%1.6M-14.2M-508.1K0.9913.83N/AN/A6,0636,01871,35453,491
2017-11-10$42.97$46.0034.7%10.1%32.0%24.5%35.0%3.0%1.1%653.7K-7.4M-519.8K0.8613.70N/AN/A5,7264,93473,96654,998
2017-11-13$43.10$46.0035.1%10.1%31.5%26.5%35.2%2.6%-0.8%2.3M-18.1M-510.8K0.7213.66N/AN/A4,6593,35472,53053,325
2017-11-14$41.88$46.0038.4%11.0%32.5%42.7%38.9%3.7%-0.9%1.7M8.0M-505.3K1.8716.51N/AN/A6,24911,69973,65253,602
2017-11-15$42.18$45.0039.6%11.4%32.8%48.9%39.6%4.3%0.5%1.4M4.1M-542.7K0.6517.88N/AN/A8,3975,48875,40560,008
2017-11-16$42.28$45.0036.2%10.4%32.3%31.8%36.1%3.0%-0.1%1.7M736.1K-539.1K1.0015.50N/AN/A5,0575,05278,30360,993
2017-11-17$43.37$44.0035.4%10.2%32.1%27.6%36.1%3.6%-0.4%1.5M-29.6M-543.1K0.5916.46N/AN/A7,7854,60279,20461,399
2017-11-20$42.19$44.0036.0%10.5%33.0%30.9%37.1%3.4%-0.7%1.0M-14.9M-515.3K2.0216.52N/AN/A5,19810,51059,43050,778
2017-11-21$41.33$44.0035.8%10.4%27.4%29.9%36.4%3.3%-0.8%223.3K3.9M-509.9K0.9514.33N/AN/A5,5235,23161,69854,408
2017-11-22$42.62$44.0036.4%10.8%30.9%32.9%37.9%3.2%-1.2%1.9M-27.0M-535.2K2.2017.62N/AN/A4,4569,80763,08950,304
2017-11-24$42.21$44.0036.8%11.2%30.9%34.9%38.8%3.5%-1.1%363.0K-7.9M-531.9K1.2719.12N/AN/A5,0606,41263,82455,596
2017-11-27$42.08$44.0034.7%11.1%30.1%24.2%37.9%3.2%1.2%-209.8K-1.6M-519.9K1.3915.83N/AN/A4,7466,60761,02555,864
2017-11-28$43.30$44.0034.3%10.8%32.5%22.2%38.5%3.5%0.1%1.3M-36.4M-536.8K0.8823.39N/AN/A7,5256,59262,84356,908
2017-11-29$41.22$44.0036.0%11.4%35.9%31.0%40.1%3.3%-0.9%-346.8K17.4M-503.6K1.0615.04N/AN/A5,6245,95365,32357,970
2017-11-30$41.42$44.0034.9%11.3%36.1%25.2%39.3%2.8%0.8%-578.3K12.9M-512.8K0.9319.08N/AN/A4,8404,49566,27658,897