AA Options History — November 2019

In November 2019, AA traded between $20.16 and $22.84. ATM implied volatility averaged 40.5%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 2.6% (HV 20d: 43.1%). 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 10 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2019-11-05: Highest Volume — 14,967 contracts
  • 2019-11-22: Largest IV drop — 6.1% change
  • 2019-11-20: Highest IV Rank — 28.9%
  • 2019-11-01: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.29$20.16$22.84$21.81$20.39
Max Pain$20.07$20.00$21.00$20.50$20.00
ATM IV40.5%37.7%42.7%40.9%37.7%
Expected Move11.9%11.2%12.9%12.9%11.7%
HV 20d43.1%36.8%49.9%46.1%36.8%
HV 60d47.7%42.8%52.4%52.4%42.8%
IV Rank21.8%12.4%28.9%23.1%12.4%
IV Percentile25.8%10.3%43.3%25.8%10.3%
Term Structure-0.1%-2.5%1.7%0.2%-1.3%
VWIV41.6%38.9%45.1%44.4%39.9%
Skew 25d1.8%-0.1%4.1%1.4%3.2%
Skew 10d4.6%-0.3%9.9%9.9%3.8%
Call IV 25d39.6%36.7%41.7%40.5%37.1%
Put IV 25d41.4%38.5%44.1%41.9%40.3%
Bid-Ask Spread %13.929.8717.7914.1015.18
Gamma HHI0.240.100.520.520.25
Net GEX1.9M269.2K4.1M3.7M1.6M
Net DEX-14.1M-70.7M18.4M-38.1M15.2M
Net VEX-437.1K-487.1K-394.9K-475.0K-417.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.066.730.160.36
Total Volume5,417.31,66314,9678,8141,663
Total OI140,975.45122,319154,184152,867138,429

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$21.81$20.5040.9%12.9%46.1%23.1%44.4%1.4%0.2%3.7M-38.1M-475.0K0.1614.10N/AN/A7,5681,246100,28652,581
2019-11-04$22.84$21.0042.5%12.1%48.2%28.3%45.1%2.4%-0.2%3.3M-65.7M-487.1K0.2213.53N/AN/A10,1662,22898,58551,968
2019-11-05$22.71$20.0041.0%12.1%45.3%23.4%43.3%1.3%1.3%3.7M-70.7M-486.2K0.1314.30N/AN/A13,2621,705102,14352,041
2019-11-06$21.95$20.0041.3%12.0%47.5%24.2%43.7%1.7%0.2%2.9M-35.8M-462.0K1.9311.71N/AN/A1,5042,90193,72652,063
2019-11-07$22.55$20.0041.4%11.9%47.8%24.5%41.6%4.1%0.0%3.0M-52.7M-472.9K0.2412.50N/AN/A4,7151,14894,07753,477
2019-11-08$22.55$20.0040.5%11.9%47.3%21.7%41.9%1.8%1.0%3.5M-54.4M-473.0K0.2416.77N/AN/A2,53661596,02353,644
2019-11-11$22.18$20.0041.0%11.6%47.8%23.4%43.1%2.3%-0.8%3.6M-41.7M-458.9K1.1817.22N/AN/A1,2281,45594,06452,781
2019-11-12$22.14$20.0040.8%12.0%47.8%22.5%41.5%1.1%1.2%4.1M-40.9M-455.5K0.0610.73N/AN/A8,31251494,38353,969
2019-11-13$21.30$20.0041.8%11.9%49.9%25.9%42.1%1.5%-0.6%2.9M-12.7M-429.4K0.4511.52N/AN/A2,2111,00093,72453,901
2019-11-14$20.93$20.0041.4%12.0%47.3%24.7%42.2%1.5%1.1%1.5M959.4K-414.1K0.9914.51N/AN/A1,3761,35793,44054,284
2019-11-15$20.88$20.0039.8%11.6%42.3%19.3%39.9%-0.1%1.7%1.4M5.8M-408.6K0.4913.07N/AN/A3,1181,51693,38154,831
2019-11-18$20.63$20.0041.0%11.8%39.8%23.5%41.0%1.7%-1.2%269.8K10.5M-395.7K1.3114.32N/AN/A2,4263,17672,11850,201
2019-11-19$20.56$20.0041.7%12.0%39.7%25.6%40.8%2.0%-2.5%269.2K11.7M-395.1K0.2512.69N/AN/A2,90772472,76050,802
2019-11-20$20.48$20.0042.7%12.2%38.9%28.9%42.0%2.4%-1.7%370.9K12.2M-394.9K0.7617.79N/AN/A4,3633,31174,53551,174
2019-11-21$20.16$20.0041.8%12.0%38.3%26.1%41.5%1.9%-0.4%333.3K16.3M-397.6K6.7314.41N/AN/A6954,67577,29752,254
2019-11-22$20.60$20.0039.3%11.3%38.9%17.7%39.5%2.4%0.3%485.6K12.5M-439.2K0.289.87N/AN/A3,57298577,60956,119
2019-11-25$20.41$20.0038.0%11.2%37.4%13.6%39.4%1.9%0.1%523.3K14.1M-430.0K0.7412.82N/AN/A1,7771,30878,44555,478
2019-11-26$20.22$20.0038.0%11.4%37.4%13.4%38.9%1.0%-0.1%531.3K18.4M-420.3K0.4515.39N/AN/A1,53868680,38355,744
2019-11-27$20.55$20.0038.3%11.5%37.6%14.4%39.8%1.4%-0.2%746.1K12.6M-428.3K0.1816.00N/AN/A2,42243780,86955,920
2019-11-29$20.39$20.0037.7%11.7%36.8%12.4%39.9%3.2%-1.3%1.6M15.2M-417.6K0.3615.18N/AN/A1,22044382,34156,088