AA Options History — December 2018

In December 2018, AA traded between $25.21 and $32.10. ATM implied volatility averaged 54.9%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded above realized volatility by 0.3% (HV 20d: 54.6%). Max pain ranged from $32.50 to $37.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.81.

Notable Days

  • 2018-12-27: Highest Volume — 18,530 contracts
  • 2018-12-17: Largest IV spike — 8.8% change
  • 2018-12-24: Highest IV Rank — 53.8%
  • 2018-12-26: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.25$25.21$32.10$32.10$26.49
Max Pain$35.48$32.50$37.00$34.00$32.50
ATM IV54.9%44.9%64.1%44.9%59.0%
Expected Move16.7%14.0%19.4%14.0%18.5%
HV 20d54.6%43.0%60.8%58.8%43.0%
HV 60d52.9%52.0%55.2%52.3%54.3%
IV Rank39.2%23.4%53.8%23.4%45.7%
IV Percentile97.9%88.9%99.6%88.9%97.2%
Term Structure0.7%-3.0%5.3%1.8%-0.3%
VWIV57.9%48.3%70.9%48.3%62.6%
Skew 25d6.0%4.1%7.8%4.1%6.6%
Skew 10d13.6%9.6%17.6%11.0%16.1%
Call IV 25d52.8%43.1%61.2%43.1%56.2%
Put IV 25d58.8%47.2%68.2%47.2%62.8%
Bid-Ask Spread %16.6414.0423.3614.0915.76
Gamma HHI0.150.100.250.100.10
Net GEX-1.6M-2.8M225.3K225.3K-974.5K
Net DEX100.3M64.1M124.1M64.1M83.2M
Net VEX-600.2K-793.7K-407.5K-793.7K-407.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.431.230.501.02
Total Volume8,456.153,29018,53010,0504,453
Total OI168,152.2124,045186,636175,920124,045

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$32.10$34.0044.9%14.0%58.8%23.4%48.3%4.1%1.8%225.3K64.1M-793.7K0.5014.09N/AN/A6,6953,35588,60987,311
2018-12-04$30.52$34.0047.6%15.0%60.8%27.7%51.5%5.2%0.6%-1.0M94.7M-744.3K0.9515.90N/AN/A4,2964,09492,41488,338
2018-12-05$30.35$34.0048.1%15.5%60.8%28.4%52.9%5.1%1.0%-1.1M96.9M-724.9K0.9921.45N/AN/A4,1904,15592,41488,338
2018-12-06$29.56$37.0051.8%15.9%59.3%34.3%55.8%5.5%1.8%-1.7M109.6M-692.6K1.0016.19N/AN/A5,7535,74593,37288,395
2018-12-07$29.38$37.0050.7%16.0%59.2%32.5%56.6%5.2%1.5%-2.2M111.9M-689.6K0.7316.14N/AN/A3,3442,44296,27190,365
2018-12-10$28.47$37.0054.2%16.9%58.2%38.0%57.4%7.2%4.2%-1.8M112.4M-637.2K0.5714.04N/AN/A3,4641,96490,57985,687
2018-12-11$28.51$37.0053.8%16.5%58.1%37.4%54.7%5.4%4.0%-1.8M105.4M-642.3K0.4316.17N/AN/A4,4641,90791,84384,539
2018-12-12$29.38$37.0050.1%15.8%58.1%31.6%53.0%4.4%5.3%-1.3M91.6M-671.1K0.5616.57N/AN/A4,8632,73692,21384,395
2018-12-13$28.98$37.0049.1%15.1%57.9%30.0%51.6%4.2%3.8%-1.6M101.2M-641.2K0.8917.02N/AN/A3,4323,05594,63484,904
2018-12-14$28.55$37.0050.4%15.4%56.3%32.1%53.6%5.1%4.8%-2.2M108.2M-623.4K0.8414.57N/AN/A4,2553,58095,23185,051
2018-12-17$27.91$37.0054.9%16.1%55.9%39.2%55.7%6.3%-1.9%-2.5M116.1M-584.5K0.9014.37N/AN/A1,8971,71090,57884,426
2018-12-18$28.24$37.0055.9%16.2%48.8%40.8%57.2%7.5%-1.9%-2.4M110.1M-603.9K1.2316.27N/AN/A1,4771,81391,85684,630
2018-12-19$27.20$37.0057.1%16.4%49.9%42.7%56.2%5.8%-1.6%-2.7M121.7M-550.9K0.7123.36N/AN/A4,4183,12592,27084,019
2018-12-20$27.27$35.0060.0%17.3%50.0%47.2%59.8%6.3%-3.0%-2.8M112.0M-558.2K0.7619.35N/AN/A3,5802,70394,69881,698
2018-12-21$26.40$35.0059.1%17.2%50.6%45.8%59.2%6.9%-2.3%-1.7M124.1M-504.4K0.6219.53N/AN/A8,2825,13595,66481,912
2018-12-24$25.21$35.0064.1%19.1%51.9%53.8%67.6%7.0%-0.7%-1.0M95.8M-438.6K0.7216.64N/AN/A5,9644,31670,77166,378
2018-12-26$26.98$34.0063.6%19.4%58.4%53.0%67.6%7.8%-2.1%-1.3M82.5M-502.0K1.1216.06N/AN/A5,4196,07572,37868,991
2018-12-27$26.95$33.0062.9%19.1%50.6%51.8%70.9%7.8%-0.7%-1.0M79.6M-509.3K1.1314.43N/AN/A8,7189,81274,65670,806
2018-12-28$26.59$33.0060.7%18.5%44.6%48.4%65.1%6.8%-0.4%-928.6K85.0M-484.9K0.4414.94N/AN/A8,6193,81865,75372,612
2018-12-31$26.49$32.5059.0%18.5%43.0%45.7%62.6%6.6%-0.3%-974.5K83.2M-407.5K1.0215.76N/AN/A2,2052,24858,48165,564