AA Options History — August 2019 In August 2019, AA traded between $16.76 and $21.32. ATM implied volatility averaged 44.9%, placing in the 37.4% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 0.9% (HV 20d: 45.8%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.88.
Notable Days 2019-08-07 : Highest Volume — 9,008 contracts2019-08-14 : Largest IV spike — 17.2% change2019-08-15 : Highest IV Rank — 55.4%2019-08-15 : Largest Expected Move — 14.3%Monthly Statistics Metric Avg Min Max Open Close Price $18.55 $16.76 $21.32 $21.32 $17.88 Max Pain $21.80 $21.00 $23.00 $23.00 $21.00 ATM IV 44.9% 38.3% 50.4% 38.3% 42.8% Expected Move 12.8% 11.7% 14.3% 11.7% 12.1% HV 20d 45.8% 32.6% 55.4% 34.7% 54.6% HV 60d 38.1% 33.0% 41.3% 33.0% 41.2% IV Rank 37.4% 16.5% 55.4% 16.5% 29.4% IV Percentile 63.5% 21.4% 88.9% 21.4% 48.8% Term Structure -0.1% -1.8% 2.2% 0.6% 0.0% VWIV 43.9% 40.3% 49.0% 40.3% 41.6% Skew 25d 3.9% 1.9% 5.9% 3.4% 3.7% Skew 10d 6.9% -3.9% 12.9% 7.9% 5.0% Call IV 25d 43.0% 37.0% 48.6% 37.0% 42.4% Put IV 25d 47.0% 40.4% 52.7% 40.4% 46.2% Bid-Ask Spread % 12.21 7.58 14.90 14.02 12.79 Gamma HHI 0.30 0.14 0.47 0.43 0.16 Net GEX 686.8K 45.8K 1.6M 1.6M 736.3K Net DEX 49.0M 24.5M 68.2M 24.5M 32.3M Net VEX -429.9K -595.5K -319.6K -595.5K -359.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.88 0.16 2.48 1.02 1.16 Total Volume 5,040.818 1,837 9,008 6,984 3,191 Total OI 190,215.682 182,999 204,331 183,747 186,285
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2019-08-01 $21.32 $23.00 38.3% 11.7% 34.7% 16.5% 40.3% 3.4% 0.6% 1.6M 24.5M -595.5K 1.02 14.02 N/A N/A 3,450 3,534 120,453 63,294 2019-08-02 $20.69 $22.50 40.7% 12.4% 34.7% 24.2% 41.4% 4.3% -0.8% 1.3M 37.2M -564.9K 0.64 11.93 N/A N/A 3,137 1,999 120,993 64,257 2019-08-05 $20.24 $23.00 47.0% 12.8% 33.4% 44.8% 44.7% 5.9% -1.0% 1.1M 42.7M -532.0K 0.52 13.34 N/A N/A 4,429 2,303 119,230 63,769 2019-08-06 $19.84 $23.00 45.4% 12.7% 33.9% 39.5% 43.7% 4.2% 0.4% 962.1K 44.0M -516.0K 0.16 12.10 N/A N/A 5,783 917 121,672 64,149 2019-08-07 $19.59 $23.00 47.0% 13.0% 32.6% 44.6% 45.7% 5.5% -1.8% 1.0M 45.7M -510.7K 1.10 14.69 N/A N/A 4,298 4,710 125,767 64,257 2019-08-08 $20.16 $23.00 42.4% 12.0% 35.0% 29.2% 41.3% 5.3% -0.6% 1.4M 35.5M -561.4K 0.70 14.49 N/A N/A 1,915 1,349 129,250 67,042 2019-08-09 $19.32 $22.00 43.1% 12.3% 37.2% 31.5% 41.3% 3.6% 0.3% 856.5K 52.0M -485.8K 0.49 14.06 N/A N/A 3,072 1,502 129,995 66,558 2019-08-12 $18.59 $22.00 44.5% 12.7% 36.6% 36.3% 43.3% 3.9% 0.3% 581.0K 57.9M -432.7K 0.67 10.52 N/A N/A 3,225 2,168 128,077 65,145 2019-08-13 $19.18 $22.00 42.5% 11.9% 39.0% 29.6% 40.8% 4.2% -1.5% 797.8K 50.1M -484.7K 0.35 14.90 N/A N/A 4,340 1,531 130,517 66,162 2019-08-14 $17.56 $22.00 49.8% 14.0% 47.9% 53.4% 48.1% 1.9% -1.0% 406.1K 64.4M -388.1K 1.36 14.24 N/A N/A 3,237 4,387 132,992 66,244 2019-08-15 $16.85 $22.00 50.4% 14.3% 48.0% 55.4% 48.9% 4.4% -0.1% 251.2K 68.2M -334.7K 2.48 7.58 N/A N/A 2,022 5,011 135,267 66,107 2019-08-16 $17.55 $22.00 47.2% 13.2% 52.0% 44.9% 46.0% 4.6% -1.7% 445.1K 64.9M -372.1K 0.69 9.32 N/A N/A 2,219 1,537 135,867 68,464 2019-08-19 $18.21 $21.00 43.1% 12.3% 55.1% 31.6% 42.4% 4.6% 2.2% 564.1K 50.0M -408.4K 0.31 14.15 N/A N/A 3,607 1,107 121,511 63,273 2019-08-20 $18.37 $21.00 42.5% 12.2% 55.4% 29.6% 42.2% 4.1% 1.4% 681.2K 47.9M -406.0K 1.33 9.04 N/A N/A 1,316 1,755 122,825 63,374 2019-08-21 $18.52 $21.00 42.5% 12.2% 54.2% 29.6% 41.9% 3.7% 1.5% 778.4K 44.9M -424.6K 0.80 11.95 N/A N/A 2,395 1,924 123,381 64,030 2019-08-22 $18.05 $21.00 43.3% 12.4% 53.9% 32.2% 42.8% 3.4% 0.9% 649.1K 50.5M -384.2K 1.06 12.09 N/A N/A 890 947 124,539 62,808 2019-08-23 $17.47 $21.00 46.9% 13.4% 53.4% 43.9% 47.8% 4.7% 0.4% 264.2K 57.0M -358.4K 0.73 14.38 N/A N/A 2,522 1,845 124,785 64,338 2019-08-26 $17.12 $21.00 48.3% 13.8% 53.2% 48.4% 49.0% 2.1% -0.7% 130.3K 58.5M -343.4K 1.45 8.93 N/A N/A 1,211 1,754 122,212 65,092 2019-08-27 $16.76 $21.00 48.2% 13.6% 53.1% 48.0% 47.3% 2.2% -0.6% 45.8K 62.2M -319.6K 0.64 11.00 N/A N/A 1,688 1,072 123,689 66,316 2019-08-28 $17.05 $21.00 48.1% 13.2% 54.4% 46.9% 41.4% 2.3% -0.4% 120.2K 52.7M -322.9K 1.27 12.17 N/A N/A 2,759 3,514 124,442 61,884 2019-08-29 $17.80 $21.00 44.0% 12.4% 55.0% 33.4% 43.1% 4.7% -0.2% 472.6K 35.1M -353.4K 0.43 10.86 N/A N/A 3,724 1,602 126,427 58,006 2019-08-30 $17.88 $21.00 42.8% 12.1% 54.6% 29.4% 41.6% 3.7% 0.0% 736.3K 32.3M -359.0K 1.16 12.79 N/A N/A 1,476 1,715 128,900 57,385
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