AA Options History — November 2018

In November 2018, AA traded between $31.15 and $37.08. ATM implied volatility averaged 45.3%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 10.0% (HV 20d: 55.4%). Max pain ranged from $34.00 to $40.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2018-11-27: Highest Volume — 48,951 contracts
  • 2018-11-19: Largest IV spike — 11.9% change
  • 2018-11-20: Highest IV Rank — 32.9%
  • 2018-11-29: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.36$31.15$37.08$36.69$31.92
Max Pain$35.90$34.00$40.00$40.00$34.00
ATM IV45.3%40.8%50.9%43.4%47.0%
Expected Move13.3%11.6%14.8%13.3%14.5%
HV 20d55.4%48.7%61.9%61.9%58.9%
HV 60d48.6%45.7%53.5%48.8%52.4%
IV Rank24.0%16.8%32.9%20.9%26.7%
IV Percentile92.0%72.2%99.6%92.5%94.0%
Term Structure-0.6%-3.0%0.7%0.2%-1.3%
VWIV47.3%40.2%54.9%46.4%51.7%
Skew 25d3.4%2.3%5.3%3.3%4.3%
Skew 10d8.3%5.7%11.9%7.5%11.0%
Call IV 25d44.6%39.7%50.6%41.9%45.7%
Put IV 25d48.0%43.0%54.1%45.2%50.1%
Bid-Ask Spread %18.4915.0130.0622.2416.80
Gamma HHI0.130.080.170.080.11
Net GEX188.4K-1.1M1.4M1.3M-59.6K
Net DEX52.9M14.1M88.5M23.7M69.0M
Net VEX-731.6K-827.4K-638.3K-773.5K-804.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.252.150.900.66
Total Volume14,052.9055,33148,95110,00815,699
Total OI155,028.286126,591177,568149,079177,568

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$36.69$40.0043.4%13.3%61.9%20.9%46.4%3.3%0.2%1.3M23.7M-773.5K0.9022.24N/AN/A5,2714,73786,52862,551
2018-11-02$36.94$40.0043.3%13.5%61.9%20.8%48.5%3.1%0.3%1.4M14.1M-794.2K0.7130.06N/AN/A4,4183,15988,64964,679
2018-11-05$36.60$36.0044.0%12.5%54.9%22.0%43.4%3.0%0.3%484.5K29.6M-764.7K0.9819.67N/AN/A2,6912,64084,50663,617
2018-11-06$36.00$36.0043.6%12.4%54.4%21.3%43.1%2.8%-0.7%225.8K42.0M-738.1K0.9021.27N/AN/A3,0172,71185,02764,056
2018-11-07$37.08$36.0041.3%11.9%53.5%17.6%41.2%2.8%-0.6%811.1K20.4M-761.2K0.8016.01N/AN/A3,9203,13785,62064,861
2018-11-08$36.26$36.0040.8%11.6%54.0%16.8%40.2%3.3%-0.6%363.8K38.5M-728.7K0.5218.92N/AN/A6,5693,42186,64265,468
2018-11-09$34.59$36.0043.0%12.4%56.6%20.3%43.3%2.4%0.7%-614.3K68.3M-692.3K1.3619.51N/AN/A5,7227,76590,60666,085
2018-11-12$33.81$36.0044.9%13.0%57.1%23.4%47.8%3.5%0.1%-907.1K82.8M-681.5K1.2716.83N/AN/A4,9886,33088,71168,417
2018-11-13$34.84$36.0044.6%12.7%57.7%22.8%45.9%3.3%-0.3%-197.0K61.2M-722.7K1.6116.40N/AN/A3,4085,50390,96270,735
2018-11-14$35.01$36.0045.0%13.1%57.7%23.5%46.7%2.5%0.7%9.8K54.3M-728.3K2.1518.66N/AN/A2,4435,25691,72270,243
2018-11-15$35.97$36.0044.5%12.8%52.7%22.7%44.6%2.3%0.3%534.3K33.1M-751.6K0.9816.67N/AN/A3,5263,46391,86770,418
2018-11-16$36.26$36.0043.1%12.6%52.8%20.6%43.8%2.7%0.7%1.0M20.9M-747.5K1.1919.90N/AN/A3,2253,85192,60970,722
2018-11-19$33.18$36.0048.3%13.8%59.9%28.8%48.4%3.5%-2.5%-497.7K68.3M-638.3K0.2819.67N/AN/A21,9676,06165,14561,446
2018-11-20$32.81$35.0050.9%14.6%56.6%32.9%52.0%3.5%-3.0%582.6K61.3M-673.0K1.1015.64N/AN/A6,2056,85681,30564,490
2018-11-21$32.86$35.0048.7%14.0%48.7%29.5%49.7%2.7%-2.5%821.7K60.4M-719.2K0.7815.73N/AN/A8,0126,28084,71667,671
2018-11-23$32.31$35.0048.8%14.3%48.8%29.6%49.9%2.7%-3.0%-42.2K70.2M-683.9K0.9621.53N/AN/A6,6346,35087,04567,989
2018-11-26$32.39$35.0046.1%14.2%48.9%25.3%50.0%5.3%0.2%72.8K72.4M-660.2K1.0915.44N/AN/A8,2158,93781,81566,852
2018-11-27$31.27$35.0046.6%14.2%49.6%26.0%47.2%5.3%-0.3%-571.7K87.7M-705.7K0.2515.01N/AN/A39,0309,92188,02973,052
2018-11-28$33.58$35.0045.6%14.1%55.8%24.4%54.9%3.6%-0.0%322.9K43.7M-827.4K2.1115.42N/AN/A8,01016,90779,70974,478
2018-11-29$31.15$34.0048.4%14.8%60.4%28.8%54.1%5.1%-1.3%-1.1M88.5M-767.2K0.7016.90N/AN/A11,0787,77882,91986,064
2018-11-30$31.92$34.0047.0%14.5%58.9%26.7%51.7%4.3%-1.3%-59.6K69.0M-804.4K0.6616.80N/AN/A9,4336,26687,98789,581