AA Options History — February 2018

In February 2018, AA traded between $45.01 and $52.30. ATM implied volatility averaged 38.6%, placing in the 43.9% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 1.0% (HV 20d: 39.7%). Max pain ranged from $48.00 to $50.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.74.

Notable Days

  • 2018-02-16: Highest Volume — 28,302 contracts
  • 2018-02-12: Largest IV drop — 12.2% change
  • 2018-02-09: Highest IV Rank — 84.6%
  • 2018-02-09: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.63$45.01$52.30$52.30$45.01
Max Pain$49.00$48.00$50.00$49.00$48.00
ATM IV38.6%34.2%46.8%34.2%37.2%
Expected Move11.1%10.3%13.2%10.3%11.0%
HV 20d39.7%36.2%44.0%36.5%36.2%
HV 60d39.5%37.9%40.6%38.2%38.4%
IV Rank43.9%21.6%84.6%21.6%36.8%
IV Percentile59.0%24.6%96.0%24.6%50.4%
Term Structure-0.2%-1.4%1.2%0.2%-0.5%
VWIV39.0%35.2%45.2%36.9%38.5%
Skew 25d2.6%1.9%5.1%2.0%2.4%
Skew 10d5.0%0.4%8.1%3.2%4.5%
Call IV 25d38.2%34.3%44.7%34.3%36.9%
Put IV 25d40.9%36.3%49.8%36.3%39.3%
Bid-Ask Spread %18.9012.4225.5618.5016.84
Gamma HHI0.120.080.160.160.08
Net GEX727.2K-358.5K2.0M2.0M-43.2K
Net DEX-7.9M-73.7M24.7M-73.7M19.6M
Net VEX-656.5K-738.0K-583.1K-738.0K-583.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.291.481.180.65
Total Volume10,773.3687,55028,3028,7527,550
Total OI106,414.94795,164118,864106,11599,196

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$52.30$49.0034.2%10.3%36.5%21.6%36.9%2.0%0.2%2.0M-73.7M-738.0K1.1818.50N/AN/A4,0164,73658,72447,391
2018-02-02$49.02$49.0036.4%10.5%42.7%33.0%37.7%2.1%0.0%-275.3K-5.1M-694.2K0.7515.31N/AN/A7,8615,89858,82148,479
2018-02-05$48.62$49.0040.0%11.4%42.7%50.4%41.6%2.1%-0.0%131.5K-9.3M-695.3K0.8125.56N/AN/A5,3904,36558,02546,523
2018-02-06$49.48$49.0041.5%12.0%42.9%58.0%42.3%2.5%0.7%619.0K-26.3M-720.2K0.6019.88N/AN/A5,8343,47359,12947,154
2018-02-07$47.80$49.0040.8%11.4%44.0%54.5%40.8%1.9%-1.4%-139.7K4.2M-674.3K0.7720.84N/AN/A4,3313,34660,86447,610
2018-02-08$46.20$49.0043.0%12.3%41.4%65.6%42.7%4.4%0.1%-358.5K24.1M-652.6K0.8523.49N/AN/A4,9274,18161,55646,874
2018-02-09$45.95$49.0046.8%13.2%40.7%84.6%45.2%5.1%-1.3%-251.3K24.7M-647.1K0.4224.13N/AN/A10,3224,35562,28846,427
2018-02-12$46.56$49.0041.1%11.8%41.5%56.2%38.5%4.1%-0.3%512.5K-2.6M-649.8K1.4823.60N/AN/A4,0215,94663,04345,858
2018-02-13$47.29$50.0040.1%11.5%42.5%50.9%40.6%2.9%0.3%367.1K-1.8M-656.6K0.3619.17N/AN/A9,3633,41564,00948,111
2018-02-14$48.53$49.0036.4%10.4%43.5%32.8%37.8%2.5%1.2%1.9M-35.3M-676.8K0.6516.89N/AN/A5,3413,47868,14548,288
2018-02-15$47.46$49.0037.9%10.9%36.8%40.0%37.7%2.4%-0.2%2.0M-4.0M-635.7K0.7012.42N/AN/A6,2164,37368,67048,625
2018-02-16$47.27$49.0037.7%10.8%36.6%39.4%37.4%2.4%-0.3%460.3K-276.7K-632.3K0.2916.68N/AN/A21,9776,32569,46649,398
2018-02-20$48.10$49.0038.5%11.1%37.5%43.1%39.5%2.8%-0.2%1.7M-24.0M-668.3K0.5416.35N/AN/A6,8913,69859,43339,440
2018-02-21$47.62$49.0037.8%10.7%37.6%39.8%37.7%2.3%-0.5%1.5M-16.6M-647.7K0.7718.53N/AN/A4,4153,37861,23040,173
2018-02-22$48.13$49.0036.4%10.4%37.2%32.9%35.2%2.3%-0.0%1.8M-26.0M-653.3K0.8418.13N/AN/A5,0344,21062,14740,630
2018-02-23$46.62$49.0036.1%10.3%38.4%31.2%36.2%1.9%-0.3%729.0K4.2M-623.9K0.9917.14N/AN/A4,3434,28662,93440,691
2018-02-26$46.64$49.0036.0%10.5%37.6%30.7%36.6%2.2%-0.9%629.5K-3.3M-612.3K0.6417.69N/AN/A4,9823,20556,40438,760
2018-02-27$46.31$49.0036.2%10.6%37.0%31.8%37.2%2.2%-0.6%555.7K1.2M-612.5K0.7218.05N/AN/A5,3553,85757,96639,402
2018-02-28$45.01$48.0037.2%11.0%36.2%36.8%38.5%2.4%-0.5%-43.2K19.6M-583.1K0.6516.84N/AN/A4,5732,97759,34139,855