AA Options History — March 2019

In March 2019, AA traded between $26.72 and $29.70. ATM implied volatility averaged 42.4%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 3.6% (HV 20d: 38.8%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2019-03-18: Highest Volume — 27,926 contracts
  • 2019-03-22: Largest IV spike — 8.7% change
  • 2019-03-25: Highest IV Rank — 29.2%
  • 2019-03-26: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.31$26.72$29.70$29.70$28.20
Max Pain$29.05$28.00$30.00$29.50$28.00
ATM IV42.4%38.3%48.6%38.3%45.6%
Expected Move11.9%10.8%13.2%11.0%12.5%
HV 20d38.8%35.4%41.4%38.7%38.7%
HV 60d42.6%40.7%44.2%43.1%40.8%
IV Rank19.4%12.9%29.2%12.9%24.5%
IV Percentile57.7%32.1%85.7%32.1%78.6%
Term Structure0.4%-2.7%5.5%0.5%-2.0%
VWIV41.1%37.6%45.3%38.0%42.5%
Skew 25d5.3%3.2%7.4%5.5%5.0%
Skew 10d9.8%5.9%13.8%10.1%11.0%
Call IV 25d40.0%35.6%47.0%35.7%43.5%
Put IV 25d45.3%40.4%51.9%41.2%48.5%
Bid-Ask Spread %14.3310.1218.0214.0013.68
Gamma HHI0.230.080.510.380.18
Net GEX2.0M-126.2K6.0M4.5M2.3M
Net DEX14.7M-25.2M60.3M-19.9M-3.1M
Net VEX-605.1K-701.6K-482.4K-641.2K-700.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.221.661.660.68
Total Volume10,031.5715,44427,9269,0857,452
Total OI151,424.429117,929170,503144,589170,503

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-03-01$29.70$29.5038.3%11.0%38.7%12.9%38.0%5.5%0.5%4.5M-19.9M-641.2K1.6614.00N/AN/A3,4135,67286,37858,211
2019-03-04$29.22$29.5039.9%11.6%36.2%15.4%40.4%7.2%-0.0%4.2M-3.9M-603.1K0.9811.31N/AN/A2,9482,88583,76555,802
2019-03-05$29.29$29.5039.0%10.8%35.8%14.1%37.6%4.3%0.3%4.5M-2.0M-598.4K0.9312.29N/AN/A3,1832,96184,63357,722
2019-03-06$28.31$29.5038.8%11.2%37.7%13.7%38.5%6.2%0.8%2.6M27.1M-556.1K0.8612.18N/AN/A4,1813,58185,71458,937
2019-03-07$27.39$29.5040.8%11.5%38.8%16.9%39.2%6.3%-0.7%746.3K49.1M-512.4K0.9512.55N/AN/A4,1683,96786,54260,293
2019-03-08$26.72$29.5041.1%11.6%35.4%17.3%39.4%4.5%-0.1%-126.2K60.3M-482.4K1.2010.12N/AN/A4,1264,95488,06662,026
2019-03-11$27.41$30.0038.7%12.0%36.3%13.6%42.4%5.8%5.0%-81.6K46.6M-503.6K0.7415.16N/AN/A4,0773,03286,36861,348
2019-03-12$28.46$30.0038.4%11.7%38.3%13.1%41.0%5.9%5.5%2.3M24.5M-546.5K0.3312.63N/AN/A9,6173,22188,57063,565
2019-03-13$29.11$30.0038.6%11.6%38.7%13.4%40.5%3.3%4.7%6.0M-3.4M-588.4K0.3611.79N/AN/A7,1412,53993,44065,514
2019-03-14$27.91$30.0039.5%11.8%40.5%14.8%39.5%4.0%4.6%702.8K33.4M-545.5K0.7518.02N/AN/A3,5812,68295,51865,838
2019-03-15$27.78$30.0040.4%11.8%39.0%16.2%40.4%4.4%4.7%247.6K37.5M-536.7K1.1317.79N/AN/A3,6114,08596,84767,154
2019-03-18$28.60$29.0041.4%11.3%40.4%17.8%39.3%5.7%-1.5%576.7K19.1M-548.7K0.3115.65N/AN/A21,3406,58656,79261,137
2019-03-19$28.52$29.0042.9%11.6%40.5%20.2%39.8%5.3%-1.9%1.9M6.2M-617.6K0.4914.74N/AN/A4,7452,31571,64966,972
2019-03-20$28.90$28.0045.1%12.0%39.1%23.6%41.2%5.1%-1.2%1.8M105.9K-631.0K0.2216.28N/AN/A15,3113,43671,28467,929
2019-03-21$29.41$28.0044.5%12.0%39.3%22.7%41.7%5.5%-2.7%2.9M-25.2M-693.4K0.4513.04N/AN/A6,1812,76682,70869,582
2019-03-22$28.20$28.0048.4%12.8%41.4%28.9%44.6%5.0%-2.0%1.5M6.7M-675.9K0.4917.00N/AN/A13,1066,42585,62870,183
2019-03-25$27.98$29.0048.6%12.8%40.5%29.2%44.7%6.0%-1.3%1.2M11.8M-670.9K0.9917.67N/AN/A2,7402,72184,86570,794
2019-03-26$27.45$28.0047.3%13.2%40.4%27.1%45.3%3.2%-0.3%870.6K23.0M-658.5K0.9316.24N/AN/A7,4346,94486,55772,702
2019-03-27$27.93$28.0046.9%12.8%41.3%26.5%43.1%6.6%-1.2%1.3M15.0M-701.6K0.6414.13N/AN/A3,7212,37191,54777,817
2019-03-28$27.96$28.0046.6%12.7%38.6%26.1%44.5%7.4%-2.1%1.6M5.4M-695.3K0.5814.70N/AN/A3,4491,99593,36775,646
2019-03-29$28.20$28.0045.6%12.5%38.7%24.5%42.5%5.0%-2.0%2.3M-3.1M-700.6K0.6813.68N/AN/A4,4283,02494,49876,005