AA Options History — June 2019

In June 2019, AA traded between $21.13 and $23.31. ATM implied volatility averaged 44.5%, placing in the 39.4% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 9.8% (HV 20d: 34.7%). Max pain ranged from $24.00 to $26.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.65.

Notable Days

  • 2019-06-14: Highest Volume — 22,131 contracts
  • 2019-06-25: Largest IV spike — 6.9% change
  • 2019-06-25: Highest IV Rank — 52.3%
  • 2019-06-27: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.12$21.13$23.31$21.48$23.26
Max Pain$25.50$24.00$26.00$25.00$24.00
ATM IV44.5%40.2%49.4%42.5%46.6%
Expected Move13.5%11.9%15.3%12.6%14.4%
HV 20d34.7%30.6%39.1%31.5%30.6%
HV 60d33.8%32.6%35.4%35.1%32.7%
IV Rank39.4%27.6%52.3%36.2%43.4%
IV Percentile66.9%36.1%88.1%62.3%75.8%
Term Structure0.9%-1.6%6.4%-0.4%-0.8%
VWIV46.6%40.8%52.9%42.5%50.1%
Skew 25d4.4%1.6%7.0%5.9%7.0%
Skew 10d9.8%5.5%20.8%12.6%9.6%
Call IV 25d42.5%38.1%48.2%39.5%44.1%
Put IV 25d47.0%42.0%51.8%45.4%51.1%
Bid-Ask Spread %11.167.2516.8610.589.13
Gamma HHI0.180.080.360.130.23
Net GEX502.3K-740.2K2.6M-740.2K2.6M
Net DEX31.1M-25.3M61.9M59.8M-25.3M
Net VEX-459.4K-670.8K-342.0K-342.0K-670.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.111.760.490.58
Total Volume9,135.53,41222,1314,0657,282
Total OI139,875.7116,594183,465116,594183,465

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-06-03$21.48$25.0042.5%12.6%31.5%36.2%42.5%5.9%-0.4%-740.2K59.8M-342.0K0.4910.58N/AN/A2,7311,33463,05953,535
2019-06-04$22.02$25.0041.1%11.9%33.3%32.3%40.8%5.1%-0.8%-634.4K54.3M-367.1K1.3510.76N/AN/A2,5183,39964,83053,700
2019-06-05$21.30$25.0041.8%12.2%33.6%34.2%41.7%4.5%-0.6%-531.6K61.9M-357.5K0.7710.62N/AN/A3,7012,85665,92855,781
2019-06-06$21.59$26.0042.1%13.1%34.3%35.1%45.9%3.5%-0.6%-316.2K55.6M-368.1K0.7710.10N/AN/A3,1972,45767,22954,883
2019-06-07$21.43$26.0040.5%13.6%34.0%30.4%45.3%4.6%1.2%549.1K57.3M-362.8K0.557.87N/AN/A3,8732,14368,34755,117
2019-06-10$21.80$26.0041.1%13.3%34.7%32.2%44.8%4.3%5.0%-482.0K52.4M-370.5K0.3113.70N/AN/A2,59881465,83454,120
2019-06-11$21.94$26.0040.2%13.2%34.4%27.6%43.5%5.5%6.4%-304.0K49.9M-384.5K1.2114.40N/AN/A1,8192,20867,61354,597
2019-06-12$21.13$26.0041.4%13.5%34.8%31.2%46.0%3.9%5.2%-285.2K57.9M-344.4K0.6110.06N/AN/A4,3622,66668,25954,546
2019-06-13$21.72$26.0041.7%13.1%36.9%32.2%44.9%4.0%4.4%10.4K48.1M-366.6K0.7711.15N/AN/A3,0312,33168,76353,216
2019-06-14$21.63$26.0043.3%13.5%36.9%35.9%46.5%1.6%6.2%17.8K46.2M-372.3K0.2810.78N/AN/A17,3554,77670,35953,325
2019-06-17$21.80$26.0045.8%13.6%37.1%40.8%47.5%5.4%-0.7%102.2K35.9M-444.2K0.418.72N/AN/A4,8511,97381,14554,530
2019-06-18$22.55$26.0046.6%13.6%39.1%43.2%45.8%4.4%-0.7%493.6K21.4M-486.8K0.957.25N/AN/A11,16010,65685,10956,073
2019-06-19$22.43$26.0048.1%13.8%37.5%48.2%47.1%3.6%-1.5%688.5K26.7M-503.9K0.5811.88N/AN/A3,4101,99291,90461,210
2019-06-20$22.55$26.0047.8%13.7%37.3%47.2%47.7%4.7%-0.5%1.2M19.1M-497.7K0.117.87N/AN/A9,1561,01592,65057,382
2019-06-21$22.52$26.0046.5%13.4%34.0%43.1%47.4%4.3%-0.6%1.9M15.7M-514.6K0.267.54N/AN/A8,6112,23898,35557,445
2019-06-24$22.30$26.0046.2%13.6%34.1%41.9%49.0%2.5%-0.4%790.1K14.3M-527.6K1.7616.50N/AN/A5,6539,96092,88254,630
2019-06-25$22.57$25.0049.4%14.7%33.4%52.3%51.5%3.5%-0.8%736.7K10.4M-581.8K0.1116.86N/AN/A18,2632,04997,48263,375
2019-06-26$23.31$24.0048.5%14.6%35.2%49.4%50.9%5.3%-1.6%1.9M-22.5M-660.6K0.4416.60N/AN/A5,0702,207112,08064,580
2019-06-27$23.05$24.0049.1%15.3%32.3%51.4%52.9%5.1%-0.9%2.3M-17.1M-664.9K0.6910.80N/AN/A4,1382,857114,65365,523
2019-06-28$23.26$24.0046.6%14.4%30.6%43.4%50.1%7.0%-0.8%2.6M-25.3M-670.8K0.589.13N/AN/A4,6162,666116,89666,569