AA Options History — December 2017

In December 2017, AA traded between $40.60 and $54.17. ATM implied volatility averaged 35.1%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 1.0% (HV 20d: 36.1%). Max pain ranged from $40.00 to $44.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.91.

Notable Days

  • 2017-12-20: Highest Volume — 38,957 contracts
  • 2017-12-18: Largest IV spike — 7.7% change
  • 2017-12-28: Highest IV Rank — 43.8%
  • 2017-12-28: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.43$40.60$54.17$41.74$53.86
Max Pain$40.30$40.00$44.00$44.00$41.00
ATM IV35.1%31.7%38.6%35.9%37.8%
Expected Move10.8%10.3%11.7%11.3%11.5%
HV 20d36.1%32.3%40.6%36.4%35.5%
HV 60d31.5%28.8%35.0%32.0%35.0%
IV Rank26.2%9.6%43.8%30.2%39.7%
IV Percentile31.7%8.3%62.3%31.3%55.2%
Term Structure1.1%-1.2%5.7%-0.5%-1.2%
VWIV38.6%36.0%41.9%39.8%41.9%
Skew 25d3.0%2.0%3.6%2.9%3.1%
Skew 10d6.0%4.1%8.4%7.2%7.1%
Call IV 25d34.3%29.6%37.5%35.1%37.3%
Put IV 25d37.3%32.9%40.6%38.0%40.5%
Bid-Ask Spread %12.329.8818.1718.1710.73
Gamma HHI0.190.120.660.130.17
Net GEX504.4K-13.3M6.6M-280.1K3.5M
Net DEX-87.7M-271.6M31.3M4.6M-271.6M
Net VEX-536.1K-660.5K-449.3K-519.3K-607.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.311.391.170.75
Total Volume15,180.157,95138,9579,84012,835
Total OI121,482.794,967131,895126,362128,421

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$41.74$44.0035.9%11.3%36.4%30.2%39.8%2.9%-0.5%-280.1K4.6M-519.3K1.1718.17N/AN/A4,5405,30067,02059,342
2017-12-04$41.86$40.0035.8%11.2%36.6%29.9%40.1%3.1%0.7%-299.9K865.7K-502.1K0.8512.06N/AN/A5,2654,46962,73957,610
2017-12-05$41.26$40.0034.8%11.2%36.5%24.7%40.5%2.8%1.1%-828.4K18.4M-487.0K1.2711.43N/AN/A3,8134,82964,44758,035
2017-12-06$41.40$40.0034.0%11.0%36.7%20.7%39.5%3.4%0.2%-926.3K15.3M-496.5K1.0112.30N/AN/A3,9613,99064,71259,246
2017-12-07$40.60$40.0034.1%11.1%36.6%21.1%39.8%2.4%0.2%-1.5M31.3M-481.4K1.2012.43N/AN/A4,0914,91465,36259,574
2017-12-08$41.32$40.0032.9%10.9%32.6%15.2%38.5%2.0%0.7%-1.5M17.0M-479.2K1.0913.50N/AN/A4,4804,89165,92660,190
2017-12-11$42.20$40.0032.6%10.7%33.5%13.9%37.1%2.7%4.4%-1.2M-7.5M-466.5K0.7710.26N/AN/A6,4014,94863,91159,181
2017-12-12$42.48$40.0032.3%10.6%33.5%12.2%37.6%2.6%4.1%-1.0M-16.2M-466.5K1.399.88N/AN/A5,9518,29465,22959,555
2017-12-13$41.90$40.0031.7%10.3%32.3%9.6%37.1%2.7%4.8%-1.2M-2.7M-460.5K1.0712.88N/AN/A6,3436,79068,22258,520
2017-12-14$42.18$40.0032.4%10.4%32.3%12.7%36.5%3.2%4.3%-2.8M-12.3M-454.3K0.7412.19N/AN/A6,2114,62168,89960,897
2017-12-15$42.44$40.0032.4%10.4%32.3%12.7%36.0%3.4%5.7%-13.3M-27.3M-449.3K1.1811.20N/AN/A4,6215,47570,59561,300
2017-12-18$44.45$40.0034.9%10.4%35.2%25.1%36.3%2.9%-0.2%3.4M-82.6M-456.2K0.3111.24N/AN/A23,5047,36952,87342,094
2017-12-19$46.32$40.0035.4%10.3%36.2%27.8%37.3%3.5%-0.4%3.9M-132.4M-607.3K1.0012.81N/AN/A10,72610,71560,60345,719
2017-12-20$49.40$40.0037.4%10.7%40.6%37.5%38.4%2.7%-0.2%3.3M-202.8M-605.5K0.7413.05N/AN/A22,34316,61464,50748,169
2017-12-21$49.00$40.0036.9%10.6%40.2%35.4%37.8%3.0%-0.2%6.6M-195.1M-657.4K0.8413.65N/AN/A8,5147,18071,93755,349
2017-12-22$49.78$40.0036.7%10.5%39.8%34.0%37.6%3.1%0.2%3.7M-219.0M-660.5K0.9012.39N/AN/A8,7057,82571,14655,772
2017-12-26$50.35$40.0038.0%11.1%39.6%40.8%39.5%3.6%-0.8%4.1M-185.3M-645.9K0.8112.44N/AN/A5,4714,41062,25452,420
2017-12-27$51.85$40.0037.4%11.3%39.6%37.8%40.4%3.1%-0.5%3.5M-217.0M-623.6K0.6311.44N/AN/A10,2736,44262,79953,187
2017-12-28$54.17$41.0038.6%11.7%35.0%43.8%40.9%3.1%-1.0%2.9M-269.6M-594.8K0.3812.36N/AN/A19,2317,24866,54255,350
2017-12-29$53.86$41.0037.8%11.5%35.5%39.7%41.9%3.1%-1.2%3.5M-271.6M-607.1K0.7510.73N/AN/A7,3225,51370,32058,101