AA Options History — March 2018

In March 2018, AA traded between $44.48 and $48.56. ATM implied volatility averaged 37.5%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 5.4% (HV 20d: 32.1%). Max pain ranged from $47.00 to $49.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2018-03-22: Highest Volume — 22,009 contracts
  • 2018-03-19: Largest IV spike — 13.3% change
  • 2018-03-23: Highest IV Rank — 65.7%
  • 2018-03-28: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.41$44.48$48.56$45.09$44.97
Max Pain$47.93$47.00$49.00$48.00$47.00
ATM IV37.5%31.5%43.0%41.8%41.5%
Expected Move11.4%9.9%13.1%12.8%12.5%
HV 20d32.1%26.6%38.1%36.3%37.1%
HV 60d37.8%35.0%39.3%38.4%36.3%
IV Rank38.2%8.6%65.7%59.7%57.9%
IV Percentile51.3%6.7%85.7%81.0%82.5%
Term Structure0.5%-2.2%4.7%-1.6%-1.3%
VWIV40.4%34.5%46.7%45.3%44.2%
Skew 25d2.9%1.8%4.6%3.3%3.8%
Skew 10d6.0%3.9%10.9%5.5%8.7%
Call IV 25d36.8%29.4%44.2%41.6%40.3%
Put IV 25d39.7%31.2%46.1%44.9%44.0%
Bid-Ask Spread %18.5411.8729.1326.0223.78
Gamma HHI0.100.080.120.080.08
Net GEX2.2M293.3K4.9M430.4K355.3K
Net DEX-25.9M-70.0M11.4M11.4M-6.5M
Net VEX-613.9K-662.1K-579.9K-599.3K-579.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.371.440.390.88
Total Volume11,096.8576,25022,00914,0586,994
Total OI102,715.04882,853121,347100,03097,807

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$45.09$48.0041.8%12.8%36.3%59.7%45.3%3.3%-1.6%430.4K11.4M-599.3K0.3926.02N/AN/A10,1233,93560,42539,605
2018-03-02$45.56$47.5041.3%12.3%36.6%57.3%42.7%3.3%-0.5%1.1M1.5M-615.0K0.4418.70N/AN/A7,1463,13564,65841,149
2018-03-05$45.70$48.0039.3%11.6%29.6%47.3%40.3%2.8%-0.4%1.7M-6.2M-602.8K0.3721.58N/AN/A7,9962,97063,46138,780
2018-03-06$47.00$48.0036.7%11.4%31.6%34.4%39.6%2.7%0.5%3.0M-36.7M-632.3K0.5815.77N/AN/A7,4524,32366,23138,941
2018-03-07$47.85$48.0036.2%11.3%31.6%31.8%39.7%2.0%0.3%4.0M-60.5M-662.1K0.9015.42N/AN/A6,4325,75969,05039,581
2018-03-08$47.32$49.0034.8%11.0%29.4%24.9%39.6%2.0%0.1%4.2M-49.0M-646.4K0.5629.13N/AN/A7,8414,40771,44240,690
2018-03-09$47.82$49.0033.1%10.7%26.8%16.4%37.3%2.6%-0.7%3.7M-60.8M-648.3K0.7117.64N/AN/A6,6924,78371,91441,217
2018-03-12$48.38$48.0032.7%10.6%26.9%14.3%38.0%2.2%4.7%4.3M-67.6M-643.5K0.9219.32N/AN/A5,1644,76467,99440,439
2018-03-13$48.56$49.0032.5%10.5%26.6%13.3%37.0%2.6%4.4%4.9M-70.0M-640.1K0.4116.74N/AN/A11,0134,52269,03541,311
2018-03-14$46.52$49.0032.9%10.4%30.5%15.3%37.1%2.0%3.7%2.3M-17.6M-610.7K0.8711.93N/AN/A8,4847,38872,58741,455
2018-03-15$46.94$48.0032.6%10.0%29.1%14.0%35.8%2.7%2.4%1.5M-27.0M-622.0K0.9217.39N/AN/A4,8664,48276,22645,121
2018-03-16$47.27$48.0031.5%9.9%28.2%8.6%34.5%1.8%4.6%2.3M-36.5M-613.2K1.0111.87N/AN/A4,7734,82874,29245,189
2018-03-19$46.42$48.0035.8%10.6%28.9%29.5%37.4%2.8%0.3%1.8M-21.1M-590.2K1.4413.27N/AN/A3,6205,20947,81035,043
2018-03-20$46.46$48.0036.3%10.5%28.1%32.0%37.2%2.7%-0.7%1.8M-20.8M-596.0K1.2013.88N/AN/A3,6774,39848,92837,047
2018-03-21$47.97$48.0037.3%10.7%30.3%37.3%37.7%3.3%-1.4%3.1M-50.8M-617.7K0.8016.70N/AN/A4,7973,85250,29537,433
2018-03-22$44.95$48.0041.3%11.9%37.9%57.0%41.8%3.5%-1.4%905.2K98.4K-580.1K0.6420.63N/AN/A13,4058,60452,06737,706
2018-03-23$44.68$47.0043.0%12.6%36.4%65.7%44.3%1.9%-2.2%1.2M-2.6M-596.2K0.5120.59N/AN/A10,2315,24458,22941,665
2018-03-26$45.77$47.0041.3%12.5%37.5%57.2%46.1%4.1%-0.3%2.3M-21.8M-613.9K1.0219.97N/AN/A3,4763,54354,86139,889
2018-03-27$44.87$47.0042.6%12.9%38.1%63.7%46.4%4.6%-0.7%1.2M-4.6M-595.1K0.9118.28N/AN/A3,3753,08157,24140,436
2018-03-28$44.48$47.0042.7%13.1%36.9%64.2%46.7%4.6%-0.3%293.3K2.8M-586.1K1.0220.62N/AN/A3,0913,15958,65341,113
2018-03-29$44.97$47.0041.5%12.5%37.1%57.9%44.2%3.8%-1.3%355.3K-6.5M-579.9K0.8823.78N/AN/A3,7303,26456,30741,500