AA Options History — July 2018

In July 2018, AA traded between $40.37 and $48.29. ATM implied volatility averaged 37.9%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 6.4% (HV 20d: 44.3%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2018-07-19: Highest Volume — 53,151 contracts
  • 2018-07-20: Largest IV drop — 5.1% change
  • 2018-07-03: Highest IV Rank — 19.2%
  • 2018-07-03: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.16$40.37$48.29$45.95$43.41
Max Pain$48.14$45.00$50.00$47.50$45.00
ATM IV37.9%33.6%42.0%41.1%33.6%
Expected Move10.9%9.7%13.3%12.7%9.8%
HV 20d44.3%25.4%60.3%35.4%59.1%
HV 60d41.7%28.9%46.1%46.1%41.5%
IV Rank12.7%6.0%19.2%17.7%6.0%
IV Percentile60.7%25.8%90.5%84.9%25.8%
Term Structure-0.6%-1.4%0.7%-0.7%-0.8%
VWIV38.2%35.2%45.5%43.7%37.0%
Skew 25d3.2%2.3%4.0%3.8%3.2%
Skew 10d7.2%4.9%13.0%6.4%5.9%
Call IV 25d37.0%32.9%40.3%39.6%32.9%
Put IV 25d40.2%36.1%44.1%43.4%36.1%
Bid-Ask Spread %14.4911.1719.6112.7613.57
Gamma HHI0.140.080.450.110.08
Net GEX2.1M-11.6M4.4M2.0M2.9M
Net DEX-6.6M-65.5M137.6M-13.2M-3.5M
Net VEX-669.7K-713.2K-477.8K-686.6K-695.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.361.570.461.00
Total Volume14,7996,27753,1519,89110,171
Total OI124,871.143109,445165,567109,445130,657

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$45.95$47.5041.1%12.7%35.4%17.7%43.7%3.8%-0.7%2.0M-13.2M-686.6K0.4612.76N/AN/A6,7703,12165,96343,482
2018-07-03$45.80$47.5042.0%13.3%34.9%19.2%45.5%3.9%-1.4%2.0M-8.4M-676.2K0.8716.45N/AN/A3,3542,92367,02744,105
2018-07-05$46.93$50.0041.0%11.3%35.8%17.6%39.5%3.2%-1.0%3.1M-33.7M-693.3K0.7614.41N/AN/A4,5473,47367,33944,354
2018-07-06$47.20$50.0040.7%11.2%35.5%17.1%39.4%4.0%-0.9%3.3M-40.2M-700.5K0.6719.61N/AN/A4,6503,11968,47245,087
2018-07-09$48.29$50.0040.9%11.3%36.4%17.5%39.2%3.1%-0.9%3.8M-65.5M-703.4K0.4615.50N/AN/A8,0883,72166,71643,751
2018-07-10$48.00$50.0040.0%11.1%35.0%16.1%38.9%3.0%-0.8%4.2M-60.0M-709.8K0.5914.31N/AN/A5,5753,30270,38645,342
2018-07-11$48.10$50.0040.2%11.2%34.8%16.4%39.0%4.0%-1.3%4.4M-62.5M-709.0K0.6815.60N/AN/A4,8923,32370,97845,894
2018-07-12$47.41$50.0039.7%11.2%34.5%15.5%39.4%2.9%-0.3%3.6M-41.8M-689.0K0.8816.00N/AN/A4,8844,32271,24746,284
2018-07-13$47.07$50.0039.6%11.2%34.3%15.4%40.1%2.9%-1.1%4.2M-31.8M-675.3K1.1214.36N/AN/A3,6324,06971,96247,070
2018-07-16$47.45$50.0039.0%11.1%27.7%14.5%38.2%3.5%-1.0%3.4M-32.9M-657.5K0.8615.77N/AN/A8,2827,15667,18545,703
2018-07-17$48.04$50.0038.0%10.9%27.8%13.0%39.3%3.6%-0.6%3.7M-47.7M-697.8K1.5711.55N/AN/A3,7545,88072,88550,505
2018-07-18$47.89$50.0037.3%10.7%25.4%11.9%37.4%3.7%-0.4%3.5M-43.2M-686.4K0.6211.17N/AN/A13,2838,22574,32752,455
2018-07-19$41.28$50.0037.6%10.8%59.3%12.3%37.3%2.6%-0.7%-1.1M122.6M-477.8K1.0616.43N/AN/A25,77927,37281,65156,693
2018-07-20$40.37$49.0035.7%10.2%59.6%9.3%35.5%2.3%0.7%-11.6M137.6M-535.8K0.7014.49N/AN/A18,57713,07096,50069,067
2018-07-23$41.12$47.0035.5%10.2%59.7%9.0%35.9%3.0%-0.3%686.0K53.5M-593.7K0.3612.80N/AN/A15,8005,75269,67050,687
2018-07-24$42.37$45.0034.7%10.0%60.3%7.7%35.8%3.1%0.4%2.6M13.3M-683.1K0.5712.22N/AN/A11,3416,48377,31653,237
2018-07-25$43.01$45.0035.3%10.2%58.8%8.7%35.7%3.1%-0.1%2.5M843.3K-694.3K0.4613.29N/AN/A15,0946,92778,36554,798
2018-07-26$42.88$45.0034.4%10.0%58.8%7.3%35.3%3.2%0.0%2.6M7.5M-713.2K0.9513.21N/AN/A5,8425,53283,38658,886
2018-07-27$43.29$45.0034.1%9.7%58.7%6.8%35.2%2.6%0.1%3.3M-9.6M-708.3K0.5018.19N/AN/A7,3393,65984,44658,738
2018-07-30$42.53$45.0035.1%10.3%58.7%8.3%35.8%3.2%-0.7%2.1M19.6M-676.9K1.0212.65N/AN/A3,8113,88574,94754,731
2018-07-31$43.41$45.0033.6%9.8%59.1%6.0%37.0%3.2%-0.8%2.9M-3.5M-695.6K1.0013.57N/AN/A5,0855,08675,44155,216