AA Options History — January 2020

In January 2020, AA traded between $13.95 and $21.55. ATM implied volatility averaged 40.8%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 0.3% (HV 20d: 41.2%). Max pain ranged from $16.00 to $22.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2020-01-16: Highest Volume — 38,247 contracts
  • 2020-01-16: Largest IV drop — 11.1% change
  • 2020-01-31: Highest IV Rank — 53.9%
  • 2020-01-03: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.02$13.95$21.55$21.39$13.95
Max Pain$19.40$16.00$22.00$22.00$16.00
ATM IV40.8%35.3%45.6%42.3%45.6%
Expected Move11.6%9.9%13.6%13.6%13.4%
HV 20d41.2%27.1%52.3%28.2%50.5%
HV 60d39.4%34.9%43.1%36.8%39.9%
IV Rank30.7%6.0%53.9%31.5%53.9%
IV Percentile40.0%4.4%73.8%48.8%73.8%
Term Structure-0.4%-3.1%1.6%-1.3%1.1%
VWIV40.0%32.7%47.5%47.5%45.8%
Skew 25d2.4%-0.4%5.8%2.4%1.9%
Skew 10d4.4%-4.1%24.3%5.4%15.6%
Call IV 25d39.7%33.8%43.8%40.8%43.8%
Put IV 25d42.1%35.7%45.7%43.2%45.7%
Bid-Ask Spread %13.086.4617.568.0214.71
Gamma HHI0.160.120.370.150.26
Net GEX-116.8K-1.1M3.4M779.8K-764.0K
Net DEX43.3M-2.2M80.0M3.3M60.0M
Net VEX-372.5K-433.5K-309.2K-422.2K-325.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.143.010.240.76
Total Volume11,296.3332,20638,2473,88814,925
Total OI143,835.714109,898186,115138,545149,534

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$21.39$22.0042.3%13.6%28.2%31.5%47.5%2.4%-1.3%779.8K3.3M-422.2K0.248.02N/AN/A3,14474477,70460,841
2020-01-03$21.55$22.0042.1%13.6%28.2%30.9%47.2%2.5%-0.5%3.4M-2.2M-420.4K0.246.46N/AN/A1,78642080,40761,361
2020-01-06$21.01$20.0042.3%11.3%30.1%33.6%39.8%3.8%-0.6%578.0K12.5M-398.3K0.4212.77N/AN/A2,05986378,83960,901
2020-01-07$21.35$20.0042.7%11.5%27.1%38.0%40.1%3.0%-0.7%899.0K4.2M-410.6K0.1416.63N/AN/A6,84196079,54161,234
2020-01-08$20.54$20.0043.1%11.5%29.3%41.8%40.5%2.8%-0.6%342.6K16.2M-399.7K0.7414.74N/AN/A2,4921,83784,46861,944
2020-01-09$19.78$21.0042.1%11.3%30.9%37.6%40.0%2.7%-0.5%-181.5K31.9M-378.7K3.0117.56N/AN/A2,5237,58285,41063,388
2020-01-10$19.40$21.0041.8%11.6%31.4%36.0%38.9%1.9%-0.6%-604.8K42.9M-405.3K1.0317.43N/AN/A2,4232,50386,27169,224
2020-01-13$19.61$20.0042.6%11.7%29.6%40.0%40.3%2.7%-2.4%-718.6K41.1M-405.7K0.5413.90N/AN/A9,2824,98884,90171,535
2020-01-14$20.41$20.0042.3%11.6%32.1%38.5%39.9%2.8%-1.4%69.7K19.5M-428.6K0.4911.77N/AN/A8,2574,01689,75873,258
2020-01-15$20.10$20.0043.6%11.7%31.9%44.5%40.5%0.8%-3.1%-106.4K26.0M-433.5K0.6616.41N/AN/A6,6504,37991,88275,785
2020-01-16$17.84$20.0038.8%10.8%52.3%22.2%37.5%2.4%-1.6%-909.9K80.0M-344.4K1.4614.85N/AN/A15,57022,67795,64278,746
2020-01-17$17.68$20.0035.5%9.9%51.7%7.1%34.2%-0.4%-1.5%-1.1M77.6M-381.0K1.0014.40N/AN/A5,2545,243102,39283,723
2020-01-21$17.12$20.0035.3%10.1%50.9%6.0%32.7%2.5%1.4%-823.1K55.7M-359.4K2.0710.09N/AN/A5,22610,81045,50164,397
2020-01-22$16.59$19.0036.2%10.4%51.4%10.2%35.5%0.8%-0.2%-1.1M65.2M-346.2K1.3811.77N/AN/A5,3437,38148,20769,337
2020-01-23$16.32$19.0037.0%10.6%50.3%13.9%37.1%3.8%-1.2%-804.1K63.3M-355.5K0.5914.47N/AN/A8,1034,75051,51569,257
2020-01-24$15.51$19.0039.4%11.3%51.8%24.9%39.4%1.6%0.1%-412.2K66.0M-336.1K0.6812.31N/AN/A7,1724,86756,18170,895
2020-01-27$14.86$18.0042.6%12.4%52.3%39.9%42.8%2.2%1.3%-385.4K65.7M-319.1K0.5111.90N/AN/A8,8894,52056,00871,408
2020-01-28$14.76$18.0040.3%11.9%51.9%29.2%40.2%2.5%1.2%-244.8K60.0M-326.0K0.3111.35N/AN/A6,9362,13961,99270,285
2020-01-29$14.53$16.5040.6%11.8%51.7%30.5%40.4%1.1%1.6%-183.6K60.1M-317.8K1.0610.53N/AN/A4,4574,71766,59470,318
2020-01-30$14.20$16.0041.5%12.1%50.8%35.0%40.5%5.8%0.6%-275.7K60.9M-309.2K0.6912.53N/AN/A8,5735,92269,16870,798
2020-01-31$13.95$16.0045.6%13.4%50.5%53.9%45.8%1.9%1.1%-764.0K60.0M-325.0K0.7614.71N/AN/A8,4906,43575,14374,391