AA Options History — February 2020 In February 2020, AA traded between $13.61 and $16.71. ATM implied volatility averaged 49.3%, placing in the 62.5% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded below realized volatility by 4.8% (HV 20d: 54.1%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.52.
Notable Days 2020-02-05 : Highest Volume — 60,480 contracts2020-02-28 : Largest IV spike — 21.5% change2020-02-26 : Highest IV Rank — 100.0%2020-02-28 : Largest Expected Move — 24.3%Monthly Statistics Metric Avg Min Max Open Close Price $15.29 $13.61 $16.71 $14.24 $13.64 Max Pain $15.84 $15.00 $16.00 $16.00 $15.00 ATM IV 49.3% 42.4% 79.0% 44.3% 79.0% Expected Move 14.3% 12.2% 24.3% 13.2% 24.3% HV 20d 54.1% 45.0% 62.8% 51.7% 51.6% HV 60d 44.4% 40.3% 47.6% 40.3% 47.6% IV Rank 62.5% 38.9% 100.0% 47.8% 100.0% IV Percentile 76.5% 49.6% 100.0% 66.7% 100.0% Term Structure -0.6% -4.3% 1.4% 0.5% -4.3% VWIV 49.6% 41.7% 87.0% 44.9% 87.0% Skew 25d 3.7% -0.4% 7.8% 5.3% 7.8% Skew 10d 8.3% -4.5% 28.0% 20.9% 28.0% Call IV 25d 47.7% 40.8% 77.3% 42.8% 77.3% Put IV 25d 51.4% 43.1% 85.0% 48.1% 85.0% Bid-Ask Spread % 17.76 8.03 29.14 25.31 27.00 Gamma HHI 0.19 0.11 0.52 0.11 0.11 Net GEX 1.4M -199.4K 4.3M -199.4K 148.3K Net DEX 21.1M -22.5M 55.9M 55.9M 47.7M Net VEX -474.1K -535.5K -341.9K -341.9K -436.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.52 0.09 1.63 0.39 1.19 Total Volume 13,724.053 3,010 60,480 13,105 11,977 Total OI 192,682.421 150,675 216,115 150,675 191,696
Daily Data (19 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 2020-02-03 $14.24 $16.00 44.3% 13.2% 51.7% 47.8% 44.9% 5.3% 0.5% -199.4K 55.9M -341.9K 0.39 25.31 N/A N/A 9,400 3,705 73,722 76,953 2020-02-04 $14.69 $15.50 42.8% 12.3% 54.8% 40.8% 42.8% 2.1% 0.1% 240.6K 46.6M -390.2K 0.12 8.03 N/A N/A 19,932 2,301 80,260 80,539 2020-02-05 $15.78 $15.50 45.9% 13.1% 62.4% 55.1% 46.2% 4.2% 0.9% 444.2K 17.0M -483.5K 0.09 29.14 N/A N/A 55,602 4,878 90,361 81,042 2020-02-06 $15.93 $16.00 46.0% 12.8% 62.3% 55.5% 45.0% 5.7% 0.2% 1.8M -1.5M -528.4K 0.23 16.97 N/A N/A 8,133 1,907 115,546 82,491 2020-02-07 $15.48 $16.00 45.4% 13.0% 61.9% 52.9% 44.3% 3.4% 0.0% 1.8M 11.1M -502.6K 0.23 22.08 N/A N/A 6,046 1,374 116,470 83,726 2020-02-10 $15.34 $16.00 45.1% 13.2% 61.9% 51.6% 44.3% 2.8% 1.1% 1.5M 22.9M -480.4K 0.18 10.73 N/A N/A 10,900 1,973 109,819 82,347 2020-02-11 $15.73 $16.00 48.0% 13.5% 62.8% 64.7% 46.4% -0.4% -0.9% 1.7M 9.5M -507.7K 0.18 15.86 N/A N/A 24,527 4,447 110,308 83,445 2020-02-12 $15.77 $16.00 44.5% 12.6% 60.1% 48.7% 44.0% 1.1% -0.6% 2.3M 6.6M -522.2K 0.75 19.45 N/A N/A 5,078 3,798 123,335 86,152 2020-02-13 $15.73 $16.00 45.6% 12.7% 60.2% 53.8% 43.2% 0.8% -1.0% 2.4M 10.6M -517.3K 0.45 16.94 N/A N/A 2,079 931 123,991 89,160 2020-02-14 $15.66 $16.00 43.2% 12.3% 45.0% 42.8% 42.9% 1.8% -0.9% 2.4M 12.3M -505.5K 0.28 18.40 N/A N/A 3,267 910 124,362 89,347 2020-02-18 $15.86 $16.00 44.5% 12.8% 45.5% 48.5% 43.8% 2.2% -0.9% 2.4M 8.6M -498.3K 0.26 15.39 N/A N/A 3,153 805 119,324 87,099 2020-02-19 $16.71 $16.00 42.4% 12.2% 48.7% 38.9% 41.7% 4.8% 1.4% 2.9M -22.5M -535.5K 0.48 13.81 N/A N/A 11,920 5,702 120,734 87,331 2020-02-20 $16.14 $16.00 44.7% 12.9% 48.9% 49.5% 43.8% 1.9% -1.3% 3.0M -694.8K -520.6K 0.49 14.74 N/A N/A 3,185 1,545 124,741 91,374 2020-02-21 $16.11 $16.00 46.2% 13.3% 48.6% 56.6% 48.6% 4.5% -1.4% 4.3M -4.4M -516.2K 1.63 14.44 N/A N/A 3,252 5,293 125,200 90,197 2020-02-24 $15.36 $16.00 51.7% 15.1% 48.2% 81.9% 51.7% 6.5% -1.5% 250.1K 31.8M -479.7K 1.05 15.70 N/A N/A 4,513 4,757 93,673 81,645 2020-02-25 $14.53 $16.00 55.2% 16.4% 49.8% 98.1% 56.7% 5.0% -0.1% -74.4K 45.8M -423.5K 0.83 18.57 N/A N/A 3,853 3,215 95,243 82,136 2020-02-26 $14.16 $16.00 56.5% 17.0% 50.6% 100.0% 58.2% 4.3% -0.2% -111.9K 49.8M -413.2K 0.28 17.57 N/A N/A 14,198 4,003 97,012 82,918 2020-02-27 $13.61 $15.00 65.0% 19.9% 52.1% 100.0% 67.8% 5.6% -2.7% 25.3K 53.3M -404.3K 0.86 17.34 N/A N/A 4,418 3,780 101,565 85,702 2020-02-28 $13.64 $15.00 79.0% 24.3% 51.6% 100.0% 87.0% 7.8% -4.3% 148.3K 47.7M -436.6K 1.19 27.00 N/A N/A 5,459 6,518 103,872 87,824
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