AA Options History — January 2019

In January 2019, AA traded between $26.07 and $29.70. ATM implied volatility averaged 48.3%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 1.1% (HV 20d: 47.2%). Max pain ranged from $29.00 to $32.50. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.56.

Notable Days

  • 2019-01-16: Highest Volume — 33,477 contracts
  • 2019-01-17: Largest IV drop — 21.9% change
  • 2019-01-03: Highest IV Rank — 47.8%
  • 2019-01-02: Largest Expected Move — 19.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.51$26.07$29.70$26.07$29.66
Max Pain$29.55$29.00$32.50$32.50$29.00
ATM IV48.3%38.1%60.3%60.1%40.2%
Expected Move14.0%11.1%19.8%19.8%11.6%
HV 20d47.2%40.4%51.0%42.7%45.4%
HV 60d52.1%49.4%54.8%54.2%50.0%
IV Rank28.7%12.6%47.8%47.5%15.9%
IV Percentile74.4%37.7%98.0%98.0%46.0%
Term Structure-1.1%-3.7%0.3%-1.2%0.0%
VWIV48.6%38.1%67.6%67.6%39.9%
Skew 25d6.6%4.6%8.3%7.1%4.6%
Skew 10d15.2%11.1%19.3%16.7%12.2%
Call IV 25d45.6%35.9%58.1%57.3%38.0%
Put IV 25d52.1%40.9%65.4%64.3%42.7%
Bid-Ask Spread %15.909.8022.7313.0315.57
Gamma HHI0.170.100.310.100.31
Net GEX1.3M-1.0M5.1M-1.0M5.1M
Net DEX27.3M-31.4M87.9M87.9M-31.4M
Net VEX-503.3K-583.3K-385.0K-385.0K-583.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.141.110.650.20
Total Volume12,531.9522,63833,4776,28310,399
Total OI139,196.714114,840187,704126,689132,581

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-01-02$26.07$32.5060.1%19.8%42.7%47.5%67.6%7.1%-1.2%-1.0M87.9M-385.0K0.6513.03N/AN/A3,8192,46459,76166,928
2019-01-03$26.28$30.0060.3%16.7%40.4%47.8%56.8%7.4%-1.8%-870.6K83.5M-399.6K0.7716.26N/AN/A2,9502,28461,04266,929
2019-01-04$28.47$30.0058.9%16.3%51.0%45.5%56.0%6.8%-0.6%-718.2K53.9M-463.5K0.1422.73N/AN/A21,6843,06861,93267,540
2019-01-07$28.57$30.0057.0%15.7%50.3%42.6%55.6%7.3%-2.1%-232.4K44.3M-499.7K0.6317.77N/AN/A1,6151,02371,26666,922
2019-01-08$28.38$30.0055.8%15.7%50.3%40.7%56.6%7.5%-1.2%-94.3K44.6M-505.6K1.059.80N/AN/A2,2612,37473,50767,415
2019-01-09$28.85$30.0054.4%15.2%49.4%38.4%54.8%7.7%-1.5%-50.8K35.3M-515.5K1.1114.29N/AN/A3,0923,44174,04468,882
2019-01-10$28.93$30.0053.6%15.1%49.4%37.2%55.5%8.3%-1.6%27.5K36.2M-510.5K0.9614.88N/AN/A3,8853,72475,04870,095
2019-01-11$28.45$30.0052.6%14.9%48.5%35.6%50.5%7.4%-0.7%280.9K45.5M-493.2K0.9516.59N/AN/A4,2594,03776,53572,213
2019-01-14$28.81$30.0051.9%14.9%48.5%34.5%52.3%7.3%-3.7%-457.7K45.3M-492.3K0.3819.60N/AN/A6,2132,36673,85572,247
2019-01-15$28.88$29.0050.6%14.5%48.2%32.3%50.7%6.3%-2.8%-21.4K35.8M-494.0K0.1921.12N/AN/A18,3963,45278,62072,449
2019-01-16$28.89$29.0051.7%14.8%47.5%34.1%52.2%7.7%-1.9%602.8K22.6M-544.8K0.7416.11N/AN/A19,18614,29189,97173,737
2019-01-17$29.70$29.0040.4%11.6%48.2%16.2%41.2%5.6%0.1%3.7M-7.3M-571.6K0.6021.50N/AN/A19,88411,859103,91083,794
2019-01-18$29.26$29.0038.1%11.1%46.4%12.6%38.1%5.0%-1.3%2.3M13.3M-533.3K0.3611.18N/AN/A14,9205,380103,53482,600
2019-01-22$27.71$29.0042.4%12.5%50.8%19.4%42.5%5.5%-0.0%1.8M31.8M-462.4K0.7417.49N/AN/A4,7383,52966,40848,432
2019-01-23$28.20$29.0041.0%12.3%49.5%17.2%41.3%5.9%-0.7%2.3M22.7M-478.1K0.5315.39N/AN/A4,6392,45667,20049,626
2019-01-24$27.96$29.0039.7%11.9%46.2%15.1%41.2%6.4%-0.7%2.1M28.7M-472.5K0.6013.95N/AN/A4,0502,44369,17349,886
2019-01-25$29.12$29.0040.1%12.0%42.1%15.7%40.2%6.4%-0.2%2.8M-3.6M-527.8K0.1714.45N/AN/A23,5574,02170,88550,319
2019-01-28$28.02$29.0043.1%13.0%44.7%20.5%43.3%6.0%-0.2%2.7M15.1M-516.8K0.3513.66N/AN/A2,81498177,09148,950
2019-01-29$28.72$29.0041.5%12.7%45.0%18.0%43.4%6.0%-0.4%3.5M-2.5M-544.1K0.4314.70N/AN/A4,1731,78978,15849,771
2019-01-30$29.68$29.0040.3%12.0%46.1%16.0%41.5%5.9%0.3%4.4M-28.6M-575.4K0.1413.89N/AN/A10,2421,41379,36550,510
2019-01-31$29.66$29.0040.2%11.6%45.4%15.9%39.9%4.6%0.0%5.1M-31.4M-583.3K0.2015.57N/AN/A8,6511,74881,71550,866