AA Options History — December 2019

In December 2019, AA traded between $19.71 and $21.53. ATM implied volatility averaged 38.9%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 8.4% (HV 20d: 30.5%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.56.

Notable Days

  • 2019-12-18: Highest Volume — 11,827 contracts
  • 2019-12-04: Largest IV drop — 7.9% change
  • 2019-12-31: Highest IV Rank — 34.7%
  • 2019-12-31: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.88$19.71$21.53$20.41$21.51
Max Pain$21.71$20.00$22.00$20.00$22.00
ATM IV38.9%35.6%43.1%38.7%43.1%
Expected Move11.9%11.3%13.4%12.2%13.4%
HV 20d30.5%25.7%32.8%31.1%31.3%
HV 60d38.8%36.8%42.1%42.1%36.8%
IV Rank16.9%5.5%34.7%15.7%34.7%
IV Percentile21.8%5.2%58.3%15.5%58.3%
Term Structure0.8%-2.1%6.4%-0.3%-2.1%
VWIV40.7%37.6%43.5%41.2%43.5%
Skew 25d2.7%0.6%4.4%3.0%2.9%
Skew 10d4.9%-0.5%13.6%0.4%2.9%
Call IV 25d37.4%33.1%40.3%36.7%40.3%
Put IV 25d40.1%36.0%43.2%39.7%43.2%
Bid-Ask Spread %10.397.2914.3710.539.12
Gamma HHI0.160.120.370.150.16
Net GEX1.0M30.2K3.2M628.9K793.6K
Net DEX6.3M-11.7M27.0M14.3M1.1M
Net VEX-412.2K-442.6K-384.9K-412.1K-431.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.072.690.390.16
Total Volume4,005.28696211,8272,7194,806
Total OI139,885.095133,993152,000135,094139,045

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$20.41$20.0038.7%12.2%31.1%15.7%41.2%3.0%-0.3%628.9K14.3M-412.1K0.3910.53N/AN/A1,96375679,89155,203
2019-12-03$19.71$20.0040.4%12.4%27.1%21.3%42.6%3.5%-0.0%281.7K27.0M-389.5K2.6912.07N/AN/A1,4463,89681,03455,681
2019-12-04$19.88$20.0037.2%11.6%27.6%10.7%38.3%2.2%2.0%30.2K24.8M-390.6K0.6812.10N/AN/A1,24985381,31358,878
2019-12-05$19.88$22.0036.9%11.9%25.7%9.9%39.3%3.2%1.3%244.1K24.7M-384.9K0.2614.37N/AN/A76619681,63658,352
2019-12-06$20.70$22.0036.0%11.3%28.3%6.8%40.1%1.7%0.0%829.9K8.7M-405.1K0.4910.11N/AN/A2,1721,05681,94158,378
2019-12-09$20.19$22.0037.2%12.0%29.1%10.9%41.0%2.6%4.0%527.6K19.3M-385.2K0.4811.27N/AN/A1,89490778,90755,086
2019-12-10$20.69$22.0036.8%11.8%30.7%9.3%40.1%4.4%4.5%797.2K10.3M-396.8K0.429.98N/AN/A1,15348380,07155,542
2019-12-11$20.70$22.0035.7%11.6%30.7%5.9%38.7%2.1%3.6%996.0K7.4M-399.2K0.3012.47N/AN/A1,53045780,70055,621
2019-12-12$21.30$22.0035.6%11.4%29.7%5.5%37.6%3.5%5.3%1.2M-3.6M-406.5K0.1913.62N/AN/A4,84694280,90255,801
2019-12-13$20.72$22.0037.2%11.6%30.7%10.7%40.8%2.8%6.4%1.2M7.0M-397.0K0.0710.24N/AN/A6,94049783,74156,306
2019-12-16$21.05$22.0038.7%11.5%31.2%15.9%39.4%3.3%-1.4%1.4M-979.7K-401.3K0.2712.82N/AN/A2,86878386,00855,497
2019-12-17$20.70$22.0039.7%11.6%31.5%19.0%40.5%2.9%-1.0%1.4M6.1M-394.2K0.637.29N/AN/A2,0241,28387,50755,444
2019-12-18$20.98$22.0040.6%11.6%31.8%22.0%40.4%3.6%-2.0%1.5M439.4K-395.4K1.797.48N/AN/A4,2387,58987,78355,935
2019-12-19$21.49$22.0040.8%11.8%32.8%22.8%40.2%1.7%-1.2%1.8M-11.7M-441.2K0.199.19N/AN/A4,84992488,59162,298
2019-12-20$21.20$22.0040.2%11.6%32.6%20.8%40.4%1.9%0.1%1.3M-4.7M-439.9K0.1711.13N/AN/A5,63596089,38362,617
2019-12-23$21.53$22.0038.6%11.3%32.2%15.5%39.9%3.6%-0.2%945.8K875.2K-436.3K0.258.61N/AN/A3,25081276,68158,911
2019-12-24$21.48$22.0040.2%12.0%32.0%20.6%40.9%0.6%-1.3%1.1M-1.8M-442.6K0.759.02N/AN/A1,6601,24178,89059,419
2019-12-26$21.46$22.0040.8%12.4%31.7%23.0%43.3%3.2%-0.6%1.3M-268.0K-440.8K0.9210.77N/AN/A82576279,33860,381
2019-12-27$21.49$22.0041.3%12.5%31.3%25.6%42.9%3.0%-0.6%3.2M-1.2M-436.7K0.298.32N/AN/A2,75379579,60560,958
2019-12-30$21.36$22.0041.5%12.8%31.3%28.2%43.2%1.8%-0.4%656.7K4.1M-429.6K0.297.68N/AN/A1,58946377,87460,438
2019-12-31$21.51$22.0043.1%13.4%31.3%34.7%43.5%2.9%-2.1%793.6K1.1M-431.9K0.169.12N/AN/A4,13467278,22060,825