AA Options History — September 2019

In September 2019, AA traded between $17.62 and $22.97. ATM implied volatility averaged 47.7%, placing in the 45.5% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 9.4% (HV 20d: 57.1%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2019-09-13: Highest Volume — 13,973 contracts
  • 2019-09-16: Largest IV spike — 5.3% change
  • 2019-09-27: Highest IV Rank — 60.1%
  • 2019-09-30: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.93$17.62$22.97$17.62$20.16
Max Pain$20.70$20.00$21.00$21.00$21.00
ATM IV47.7%44.2%52.1%45.3%52.0%
Expected Move14.2%12.8%16.1%13.0%16.1%
HV 20d57.1%52.5%66.7%54.4%56.2%
HV 60d47.5%41.3%49.7%41.3%49.6%
IV Rank45.5%33.8%60.1%37.5%59.8%
IV Percentile75.4%56.7%92.1%63.9%91.7%
Term Structure0.9%-1.7%4.4%1.2%-0.1%
VWIV49.5%44.5%54.9%45.4%54.4%
Skew 25d4.0%2.1%5.7%4.5%2.3%
Skew 10d8.4%3.4%30.0%5.7%4.8%
Call IV 25d45.9%41.9%51.3%44.3%51.0%
Put IV 25d49.8%45.6%55.8%48.8%53.2%
Bid-Ask Spread %11.217.6916.6910.2110.69
Gamma HHI0.330.160.440.160.22
Net GEX2.3M380.0K3.9M380.0K1.6M
Net DEX-29.1M-99.4M35.9M35.9M5.4M
Net VEX-504.9K-615.3K-344.8K-344.8K-433.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.112.020.851.89
Total Volume6,2511,34013,9732,0154,045
Total OI194,009.8178,957204,282183,020195,204

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$17.62$21.0045.3%13.0%54.4%37.5%45.4%4.5%1.2%380.0K35.9M-344.8K0.8510.21N/AN/A1,090925125,74157,279
2019-09-04$18.24$21.0045.5%12.8%56.1%38.2%44.5%3.4%-0.2%600.3K26.8M-377.7K0.117.69N/AN/A4,775518126,34558,035
2019-09-05$19.71$20.0044.2%13.8%63.0%33.8%46.8%4.1%1.1%1.4M-4.6M-466.3K0.8014.61N/AN/A4,2093,359129,16658,300
2019-09-06$19.03$20.0044.2%13.8%63.3%34.0%47.5%2.1%1.6%833.2K10.7M-425.3K0.6710.71N/AN/A1,6341,101130,31260,238
2019-09-09$20.22$20.0045.7%14.3%65.2%38.9%49.1%2.1%4.0%1.8M-15.1M-487.0K0.2512.52N/AN/A10,7352,700129,65159,598
2019-09-10$20.84$20.0045.1%14.1%64.1%36.8%49.7%5.6%3.0%2.4M-31.1M-529.8K0.608.76N/AN/A3,7892,257133,95961,441
2019-09-11$22.20$20.0044.3%14.0%66.7%34.4%48.9%3.8%4.4%3.5M-71.5M-584.8K0.6316.69N/AN/A6,0363,786134,14962,382
2019-09-12$22.72$20.0044.7%13.7%56.5%35.6%49.2%3.7%4.2%3.9M-90.1M-601.8K1.139.54N/AN/A5,3436,061134,53764,365
2019-09-13$22.97$21.0046.0%13.8%52.8%39.9%47.9%3.9%3.1%3.9M-99.4M-615.3K0.1513.47N/AN/A12,1411,832135,95168,331
2019-09-16$22.54$21.0048.5%14.1%53.3%48.1%49.3%4.0%0.3%3.7M-75.8M-591.8K0.978.73N/AN/A1,6721,617135,61865,426
2019-09-17$22.05$21.0048.5%14.0%53.8%48.1%49.7%5.7%0.3%3.2M-56.7M-568.0K0.4910.68N/AN/A2,045999136,21665,998
2019-09-18$21.62$21.0049.3%14.1%54.8%50.9%48.6%5.1%-0.3%2.4M-41.1M-546.4K0.408.90N/AN/A955385136,56466,638
2019-09-19$21.99$21.0048.4%13.9%54.9%47.9%47.3%4.8%-0.4%2.9M-52.2M-553.5K0.487.94N/AN/A1,149557136,80566,686
2019-09-20$21.54$21.0048.0%13.7%54.5%46.5%47.3%4.2%0.5%2.5M-38.3M-524.4K0.338.89N/AN/A2,372782137,44266,522
2019-09-23$21.46$21.0049.8%14.7%52.5%52.3%52.7%4.0%-0.3%2.6M-28.2M-507.8K2.0212.37N/AN/A2,3514,758123,23755,720
2019-09-24$20.60$21.0050.8%14.8%54.5%55.8%50.6%3.2%-0.4%1.8M-5.3M-471.2K0.4911.20N/AN/A5,2162,557125,22360,144
2019-09-25$21.46$21.0050.9%14.7%54.4%56.1%53.3%5.4%-1.4%2.8M-30.4M-508.6K0.3511.20N/AN/A7,4752,624127,84562,048
2019-09-26$21.05$21.0050.5%15.1%55.5%54.9%53.9%3.5%-1.7%2.3M-17.5M-493.7K1.8314.32N/AN/A1,7913,271128,51063,584
2019-09-27$20.48$21.0052.1%15.7%55.7%60.1%54.9%4.5%-1.6%1.5M-3.2M-465.1K0.3315.14N/AN/A4,5941,514128,98566,001
2019-09-30$20.16$21.0052.0%16.1%56.2%59.8%54.4%2.3%-0.1%1.6M5.4M-433.7K1.8910.69N/AN/A1,4002,645130,57664,628