AA Options History — January 2018

In January 2018, AA traded between $52.01 and $56.90. ATM implied volatility averaged 36.9%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 0.7% (HV 20d: 37.5%). Max pain ranged from $41.00 to $50.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2018-01-18: Highest Volume — 42,181 contracts
  • 2018-01-18: Largest IV drop — 12.4% change
  • 2018-01-17: Highest IV Rank — 55.1%
  • 2018-01-03: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.33$52.01$56.90$55.04$52.01
Max Pain$47.24$41.00$50.00$41.00$50.00
ATM IV36.9%34.2%40.9%37.9%34.9%
Expected Move10.7%9.9%12.4%12.0%10.2%
HV 20d37.5%33.9%46.1%35.6%36.5%
HV 60d36.7%35.0%38.7%35.2%38.3%
IV Rank35.0%21.7%55.1%40.1%25.2%
IV Percentile47.2%24.6%76.6%56.0%28.6%
Term Structure-0.4%-3.0%0.9%-1.3%-0.2%
VWIV38.3%35.1%44.0%44.0%36.5%
Skew 25d2.5%1.7%3.5%2.9%1.9%
Skew 10d5.4%4.0%7.5%6.2%4.9%
Call IV 25d36.6%33.7%39.5%37.3%34.5%
Put IV 25d39.0%36.3%42.5%40.3%36.4%
Bid-Ask Spread %14.7811.9721.1613.2418.31
Gamma HHI0.210.110.530.190.15
Net GEX3.6M-8.9M7.8M3.3M2.0M
Net DEX-196.4M-328.3M-65.8M-236.9M-65.8M
Net VEX-666.6K-770.3K-581.1K-586.3K-736.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.351.260.740.78
Total Volume16,179.2868,72542,18112,45915,384
Total OI122,343.42992,700171,318116,530104,381

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$55.04$41.0037.9%12.0%35.6%40.1%44.0%2.9%-1.3%3.3M-236.9M-586.3K0.7413.24N/AN/A7,1655,29461,53754,993
2018-01-03$54.52$41.0038.7%12.4%36.4%44.0%43.8%3.4%-0.6%3.6M-234.4M-581.1K0.3813.35N/AN/A13,4855,14763,24255,507
2018-01-04$54.61$45.0037.2%10.3%35.2%36.9%37.3%2.1%-1.0%5.0M-256.7M-613.0K0.7413.09N/AN/A5,9114,38469,39856,639
2018-01-05$54.08$45.0037.5%10.4%36.0%38.5%36.8%2.6%-0.7%4.1M-246.7M-614.1K0.6116.71N/AN/A7,3424,48570,21357,237
2018-01-08$54.88$45.0038.1%10.7%33.9%41.2%38.0%3.5%-0.7%4.8M-256.8M-599.8K0.5813.81N/AN/A8,4534,91969,31655,863
2018-01-09$54.03$47.0037.3%10.5%35.5%37.1%39.3%2.3%-0.5%5.1M-241.2M-625.1K0.9213.12N/AN/A4,5504,17573,47457,555
2018-01-10$56.25$47.0037.7%10.7%36.7%39.2%38.0%2.5%-0.4%5.9M-293.0M-607.6K0.3516.15N/AN/A12,2904,27474,33858,043
2018-01-11$56.88$47.0036.8%10.7%36.6%34.6%38.2%1.7%0.9%7.4M-328.3M-619.8K0.6813.08N/AN/A6,0324,10780,17758,735
2018-01-12$56.73$47.0037.3%10.7%35.7%37.1%38.0%2.4%0.2%6.2M-315.6M-621.5K0.6011.97N/AN/A8,0454,80479,28159,500
2018-01-16$56.11$47.0038.8%11.1%36.8%44.4%39.2%2.7%-1.9%7.1M-291.6M-608.3K0.5013.76N/AN/A9,5954,76777,90353,445
2018-01-17$56.90$47.0040.9%11.7%36.6%55.1%41.1%3.0%-3.0%7.8M-324.3M-616.3K1.0021.16N/AN/A16,36916,39283,03255,301
2018-01-18$52.92$48.0035.8%10.3%46.1%29.9%37.6%1.7%0.2%2.4M-165.3M-621.5K1.0516.16N/AN/A20,58121,60092,29265,913
2018-01-19$53.10$49.0034.2%9.9%44.5%21.8%36.7%2.3%-0.8%-8.9M-177.8M-670.0K1.1413.23N/AN/A13,86515,77797,57073,748
2018-01-22$52.94$49.0034.2%10.0%39.0%21.7%35.1%2.6%0.4%2.9M-89.8M-705.9K1.2613.90N/AN/A5,6237,10951,50241,198
2018-01-23$52.47$49.0034.9%10.2%39.1%25.3%36.3%2.5%0.2%2.4M-76.7M-736.5K0.5515.70N/AN/A11,2526,18753,20244,416
2018-01-24$53.29$49.0034.9%10.2%39.0%25.5%35.8%2.1%0.1%2.6M-98.9M-757.9K0.6514.16N/AN/A8,9765,86756,23346,103
2018-01-25$53.15$49.0035.6%10.5%39.0%29.0%36.7%2.5%0.6%3.3M-98.1M-770.1K0.8215.03N/AN/A6,3595,22758,89946,803
2018-01-26$53.98$50.0036.1%10.4%38.0%31.1%37.3%2.4%0.6%3.1M-124.0M-767.0K0.8013.03N/AN/A6,8305,48359,80547,093
2018-01-29$54.56$50.0037.2%11.0%34.9%36.7%38.8%2.6%-0.0%3.2M-121.2M-770.3K0.7616.84N/AN/A6,1344,63856,02844,340
2018-01-30$52.55$50.0038.2%11.3%37.4%41.6%40.5%1.9%0.3%2.5M-81.2M-769.2K1.1014.61N/AN/A5,1935,69558,76446,193
2018-01-31$52.01$50.0034.9%10.2%36.5%25.2%36.5%1.9%-0.2%2.0M-65.8M-736.8K0.7818.31N/AN/A8,6386,74658,00546,376