AA Options History — June 2018

In June 2018, AA traded between $44.13 and $49.99. ATM implied volatility averaged 35.6%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 5.8% (HV 20d: 29.8%). Max pain ranged from $47.50 to $50.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2018-06-13: Highest Volume — 19,880 contracts
  • 2018-06-25: Largest IV spike — 11.0% change
  • 2018-06-25: Highest IV Rank — 20.0%
  • 2018-06-25: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.07$44.13$49.99$47.73$46.83
Max Pain$49.12$47.50$50.00$50.00$47.50
ATM IV35.6%30.1%42.5%34.9%40.3%
Expected Move10.9%10.0%12.7%10.0%12.1%
HV 20d29.8%24.3%36.4%24.7%35.7%
HV 60d46.5%45.8%47.7%46.8%46.1%
IV Rank9.1%0.5%20.0%8.1%16.5%
IV Percentile41.8%0.4%89.7%32.9%80.6%
Term Structure0.8%-1.4%5.2%-1.1%-1.4%
VWIV38.6%35.3%44.3%35.3%42.5%
Skew 25d2.9%2.0%4.0%2.6%3.2%
Skew 10d6.3%4.7%8.4%6.7%5.9%
Call IV 25d34.7%29.4%40.4%34.8%39.7%
Put IV 25d37.6%31.8%44.4%37.4%42.9%
Bid-Ask Spread %13.948.3019.8315.7815.36
Gamma HHI0.140.090.220.120.22
Net GEX2.0M-2.4M6.1M869.4K4.6M
Net DEX-7.2M-71.0M78.3M-6.8K-39.2M
Net VEX-655.6K-719.0K-568.1K-653.3K-719.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.401.681.400.41
Total Volume12,458.2868,23519,8808,23512,628
Total OI119,402.52492,851141,100125,775113,721

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$47.73$50.0034.9%10.0%24.7%8.1%35.3%2.6%-1.1%869.4K-6.8K-653.3K1.4015.78N/AN/A3,4304,80580,37445,401
2018-06-04$48.66$50.0033.1%10.5%24.3%5.3%36.5%2.9%0.2%2.5M-19.5M-649.6K1.0316.37N/AN/A4,4834,60577,00143,640
2018-06-05$49.29$50.0032.0%10.3%25.1%3.5%35.9%2.1%0.7%4.1M-41.3M-663.2K0.7415.67N/AN/A8,1956,09379,29845,115
2018-06-06$49.99$50.0030.8%10.2%25.6%1.5%38.2%2.5%0.2%6.1M-71.0M-710.2K0.8911.20N/AN/A5,2724,68483,83447,311
2018-06-07$49.14$50.0030.5%10.1%26.1%1.0%36.4%2.6%1.0%4.3M-37.4M-668.7K1.1310.07N/AN/A4,0814,62085,26547,875
2018-06-08$48.59$50.0030.1%10.1%25.8%0.5%35.7%2.4%0.4%3.0M-20.2M-671.4K0.7810.50N/AN/A5,9834,66485,87049,139
2018-06-11$49.91$50.0031.6%10.4%28.1%2.8%36.4%2.7%5.1%4.9M-66.2M-683.8K0.4019.83N/AN/A11,1924,44883,93847,094
2018-06-12$49.32$50.0031.0%10.3%26.9%1.9%36.7%2.0%5.0%4.8M-53.0M-674.6K0.8511.15N/AN/A4,7464,05687,68047,923
2018-06-13$48.41$50.0031.1%10.4%24.8%2.0%36.9%2.1%4.8%2.1M-16.8M-647.6K1.0014.34N/AN/A9,9559,92588,45248,624
2018-06-14$47.78$50.0031.6%10.1%25.1%2.9%35.4%2.1%5.0%-2.4M22.4M-667.7K1.6812.27N/AN/A5,7779,72886,78254,318
2018-06-15$45.21$50.0033.7%10.7%31.0%6.2%37.1%2.5%5.2%-765.8K78.3M-594.8K0.938.30N/AN/A9,3978,70487,60553,105
2018-06-18$45.71$50.0036.6%10.9%31.4%10.7%37.8%2.7%-1.1%-7.3K21.1M-597.6K0.5010.50N/AN/A8,2664,16852,63440,217
2018-06-19$44.44$49.0038.5%11.2%32.4%13.7%39.0%3.7%-1.0%-198.9K38.5M-568.1K0.7414.61N/AN/A10,1037,43954,88040,846
2018-06-20$45.19$48.0038.4%11.0%33.4%13.5%38.5%3.3%-0.2%181.8K20.8M-638.7K0.8913.96N/AN/A6,2835,59459,32145,494
2018-06-21$44.72$48.0038.9%11.2%32.6%14.3%40.6%3.5%-0.7%-170.5K30.8M-613.8K1.1115.60N/AN/A5,2275,82861,18345,807
2018-06-22$45.43$48.0038.3%11.1%33.0%13.4%39.8%3.2%-1.3%1.5M14.7M-643.2K0.8914.37N/AN/A6,0265,34861,47446,070
2018-06-25$44.13$48.0042.5%12.7%33.4%20.0%44.2%4.0%-1.0%254.6K30.5M-614.8K0.5916.38N/AN/A7,9104,70660,05942,247
2018-06-26$45.80$48.0041.0%12.0%36.4%17.7%41.2%3.7%-1.1%1.5M-5.3M-680.5K0.4714.48N/AN/A8,8564,18662,45043,668
2018-06-27$45.83$47.5040.9%12.1%35.2%17.5%42.9%2.6%-0.7%2.2M-12.1M-691.5K0.5813.14N/AN/A7,2104,17065,65044,108
2018-06-28$46.42$47.5041.9%12.6%35.6%19.0%44.3%3.9%-0.9%2.9M-26.8M-716.4K0.6418.93N/AN/A5,3843,44967,37044,610
2018-06-29$46.83$47.5040.3%12.1%35.7%16.5%42.5%3.2%-1.4%4.6M-39.2M-719.0K0.4115.36N/AN/A8,9283,70068,56345,158