AA Options History — September 2018

In September 2018, AA traded between $40.18 and $43.78. ATM implied volatility averaged 41.2%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 1.0% (HV 20d: 42.2%). Max pain ranged from $41.00 to $46.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.54.

Notable Days

2018-09-26: Highest Volume — 32,853 contracts
2018-09-06: Largest IV spike — 8.4% change
2018-09-17: Highest IV Rank — 20.4%
2018-09-11: Largest Expected Move — 13.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.94	$40.18	$43.78	$43.39	$40.37
Max Pain	$44.53	$41.00	$46.00	$44.00	$41.00
ATM IV	41.2%	37.4%	43.0%	37.4%	41.5%
Expected Move	12.4%	10.7%	13.2%	10.7%	12.6%
HV 20d	42.2%	38.1%	48.7%	45.5%	38.5%
HV 60d	47.7%	46.7%	48.7%	47.0%	47.6%
IV Rank	17.7%	11.9%	20.4%	11.9%	18.0%
IV Percentile	86.2%	58.3%	96.4%	58.3%	88.1%
Term Structure	0.6%	-1.4%	5.4%	0.3%	-1.1%
VWIV	43.5%	37.0%	47.8%	37.0%	43.6%
Skew 25d	2.0%	1.0%	3.0%	1.0%	2.3%
Skew 10d	4.7%	2.6%	6.2%	3.7%	5.6%
Call IV 25d	41.0%	37.6%	43.3%	37.6%	41.2%
Put IV 25d	42.9%	38.6%	46.2%	38.6%	43.5%
Bid-Ask Spread %	11.92	7.98	16.25	14.29	14.41
Gamma HHI	0.11	0.07	0.28	0.11	0.13
Net GEX	4.4M	-722.3K	9.5M	5.6M	1.8M
Net DEX	13.3M	-36.2M	70.4M	-22.7M	29.6M
Net VEX	-731.4K	-854.0K	-610.6K	-854.0K	-684.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.17	1.72	0.66	0.86
Total Volume	13,101.526	7,166	32,853	9,410	9,463
Total OI	168,369	110,774	195,479	162,143	145,348

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2018-09-04	$43.39	$44.00	37.4%	10.7%	45.5%	11.9%	37.0%	1.0%	0.3%	5.6M	-22.7M	-854.0K	0.66	14.29	N/A	N/A	5,673	3,737	98,783	63,360
2018-09-05	$42.81	$44.00	38.1%	11.2%	45.4%	13.1%	38.7%	2.4%	0.1%	4.5M	-3.0M	-827.3K	0.21	16.25	N/A	N/A	13,301	2,836	100,027	63,844
2018-09-06	$40.18	$46.00	41.3%	12.8%	48.4%	18.2%	45.3%	1.3%	-0.5%	1.3M	70.4M	-710.9K	0.44	8.10	N/A	N/A	13,034	5,706	108,811	64,669
2018-09-07	$40.97	$45.00	42.5%	13.0%	48.7%	20.0%	45.2%	1.9%	-1.4%	3.3M	43.4M	-774.2K	0.28	13.25	N/A	N/A	16,611	4,679	115,995	67,114
2018-09-10	$42.04	$45.00	42.5%	13.1%	46.4%	20.1%	46.1%	1.1%	3.2%	4.9M	5.1M	-800.7K	0.44	15.93	N/A	N/A	6,654	2,960	110,947	67,228
2018-09-11	$40.87	$45.00	42.3%	13.2%	47.2%	19.7%	47.8%	1.1%	4.0%	2.8M	46.9M	-738.0K	0.55	8.77	N/A	N/A	6,670	3,645	112,442	67,771
2018-09-12	$41.98	$45.00	41.6%	13.0%	48.5%	18.6%	45.8%	1.0%	3.6%	5.3M	10.2M	-777.0K	0.19	11.02	N/A	N/A	17,176	3,229	115,522	69,179
2018-09-13	$41.79	$45.00	40.4%	12.8%	39.7%	16.6%	44.8%	1.5%	4.7%	6.7M	2.0M	-793.6K	0.48	10.86	N/A	N/A	5,568	2,688	120,036	70,336
2018-09-14	$42.89	$45.00	40.3%	12.6%	40.1%	16.5%	44.0%	2.0%	5.4%	8.5M	-26.1M	-789.7K	0.69	14.42	N/A	N/A	4,597	3,179	121,150	70,432
2018-09-17	$42.98	$45.00	43.0%	12.7%	40.0%	20.4%	46.0%	2.9%	-0.6%	9.5M	-36.2M	-763.6K	0.40	8.04	N/A	N/A	11,599	4,680	118,037	68,906
2018-09-18	$43.12	$45.00	40.8%	11.9%	40.0%	16.8%	41.8%	1.8%	-0.6%	8.9M	-16.2M	-713.1K	0.44	12.49	N/A	N/A	6,160	2,708	120,118	69,783
2018-09-19	$42.60	$45.00	41.8%	12.0%	38.9%	18.4%	42.1%	2.7%	-0.7%	6.2M	14.5M	-677.7K	1.72	11.46	N/A	N/A	4,034	6,945	122,523	70,220
2018-09-20	$42.91	$45.00	41.5%	11.9%	39.0%	18.0%	42.4%	2.5%	-0.8%	5.1M	8.0M	-705.2K	0.51	7.98	N/A	N/A	5,880	2,976	120,728	74,479
2018-09-21	$43.78	$45.00	40.6%	11.7%	38.1%	16.6%	41.5%	3.0%	-0.4%	6.5M	-26.7M	-703.6K	0.36	10.16	N/A	N/A	8,346	3,022	120,816	74,663
2018-09-24	$42.00	$45.00	42.2%	12.7%	39.3%	19.1%	43.8%	2.5%	-1.2%	478.0K	26.7M	-650.2K	0.50	15.17	N/A	N/A	7,316	3,630	54,959	55,815
2018-09-25	$41.35	$45.00	41.9%	12.3%	39.4%	18.6%	43.0%	2.2%	-1.4%	119.7K	39.2M	-631.2K	0.55	10.43	N/A	N/A	6,585	3,623	56,484	57,192
2018-09-26	$40.28	$45.00	41.9%	12.6%	39.9%	18.6%	43.8%	2.2%	-0.8%	-722.3K	60.0M	-610.6K	0.17	12.82	N/A	N/A	28,165	4,688	58,283	58,997
2018-09-27	$40.49	$41.00	41.3%	12.5%	38.8%	17.7%	43.3%	2.1%	-0.9%	1.8M	28.0M	-691.1K	0.74	10.68	N/A	N/A	4,124	3,042	82,962	61,052
2018-09-28	$40.37	$41.00	41.5%	12.6%	38.5%	18.0%	43.6%	2.3%	-1.1%	1.8M	29.6M	-684.3K	0.86	14.41	N/A	N/A	5,089	4,374	83,875	61,473