AA Options History — March 2020 In March 2020, AA traded between $5.43 and $13.44. ATM implied volatility averaged 117.3%, placing in the 75.3% IV rank vs the trailing year. The 30-day expected move averaged 33.9%. IV traded above realized volatility by 4.3% (HV 20d: 113.1%). Max pain ranged from $15.00 to $17.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.55.
Notable Days 2020-03-05 : Highest Volume — 11,006 contracts2020-03-17 : Largest IV spike — 179.4% change2020-03-06 : Highest IV Rank — 100.0%2020-03-13 : Largest Expected Move — 52.1%Monthly Statistics Metric Avg Min Max Open Close Price $8.20 $5.43 $13.44 $13.44 $6.14 Max Pain $15.27 $15.00 $17.00 $15.00 $15.00 ATM IV 117.3% 51.4% 206.2% 69.7% 113.3% Expected Move 33.9% 16.5% 52.1% 21.3% 34.9% HV 20d 113.1% 47.1% 172.1% 51.5% 172.1% HV 60d 79.6% 47.3% 108.3% 47.3% 108.3% IV Rank 75.3% 14.2% 100.0% 79.3% 46.0% IV Percentile 98.1% 89.7% 100.0% 99.6% 95.6% Term Structure -8.8% -159.6% 164.1% -0.8% -45.8% VWIV 116.8% 69.8% 163.9% 69.8% 114.2% Skew 25d 20.3% -76.3% 94.6% 8.1% 14.4% Skew 10d 24.6% -94.3% 153.0% 17.7% -23.6% Call IV 25d 107.4% 63.3% 215.3% 64.5% 115.4% Put IV 25d 127.7% 72.5% 189.9% 72.6% 129.8% Bid-Ask Spread % 69.24 25.71 105.14 26.24 83.84 Gamma HHI 0.11 0.08 0.13 0.12 0.10 Net GEX -83.3K -289.4K 14.3K -121.8K -6.9K Net DEX 46.9M 36.0M 63.2M 52.4M 37.1M Net VEX -189.6K -405.5K -97.7K -405.5K -113.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.55 0.23 1.35 0.30 0.25 Total Volume 6,397.273 2,828 11,006 5,395 4,327 Total OI 192,106.409 161,882 212,707 190,157 174,954
Daily Data (22 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 2020-03-02 $13.44 $15.00 69.7% 21.3% 51.5% 79.3% 69.8% 8.1% -0.8% -121.8K 52.4M -405.5K 0.30 26.24 N/A N/A 4,146 1,249 101,890 88,267 2020-03-03 $12.94 $15.00 70.9% 22.5% 52.3% 82.0% 75.5% 8.7% -11.9% -120.1K 53.2M -385.3K 0.61 30.62 N/A N/A 4,284 2,596 104,676 86,454 2020-03-04 $12.81 $15.00 67.7% 19.9% 50.6% 74.9% 70.4% 9.3% -3.0% -211.7K 56.8M -367.2K 0.39 26.66 N/A N/A 3,693 1,434 107,312 87,437 2020-03-05 $11.88 $17.00 73.7% 20.9% 47.1% 88.1% 70.3% 8.6% -0.9% -289.4K 61.7M -324.0K 0.90 28.83 N/A N/A 5,794 5,212 109,424 87,927 2020-03-06 $10.89 $16.00 104.7% 24.3% 52.8% 100.0% 83.6% -4.7% 42.0% -244.2K 63.2M -283.4K 0.57 32.47 N/A N/A 4,932 2,798 112,406 89,335 2020-03-09 $8.81 $16.00 143.8% 31.0% 86.6% 100.0% 93.3% -42.6% 2.1% -154.4K 58.4M -194.0K 0.80 25.71 N/A N/A 6,015 4,802 111,161 88,402 2020-03-10 $9.19 $16.00 104.7% 28.6% 89.9% 64.4% 83.4% 22.8% -2.0% -156.5K 59.0M -202.5K 0.96 26.55 N/A N/A 3,438 3,312 113,686 87,203 2020-03-11 $8.57 $16.00 136.8% 28.6% 89.1% 93.6% 104.6% 82.0% -71.6% -136.4K 57.0M -177.7K 0.30 29.80 N/A N/A 6,256 1,856 114,726 88,019 2020-03-12 $7.38 $15.00 129.9% 38.1% 97.6% 87.3% 124.4% 73.6% 60.6% -83.4K 50.4M -151.7K 0.84 87.50 N/A N/A 3,281 2,764 118,355 88,703 2020-03-13 $7.90 $15.00 156.8% 52.1% 104.0% 100.0% 117.2% 94.6% 14.5% -82.8K 49.2M -179.3K 0.82 86.44 N/A N/A 5,237 4,319 119,481 88,070 2020-03-16 $6.94 $15.00 51.4% 16.5% 108.6% 14.2% 136.4% -76.3% 92.5% -43.8K 43.8M -152.6K 1.35 105.14 N/A N/A 2,260 3,050 119,389 86,026 2020-03-17 $6.96 $15.00 143.6% 41.0% 108.0% 89.2% 140.2% 34.7% -14.8% -48.1K 45.7M -141.2K 0.55 74.28 N/A N/A 2,923 1,608 120,801 86,402 2020-03-18 $5.43 $15.00 152.7% 43.8% 124.9% 96.7% 151.3% 3.3% -12.6% -29.9K 38.2M -99.8K 0.43 93.44 N/A N/A 5,463 2,369 122,651 86,449 2020-03-19 $5.87 $15.00 147.1% 42.2% 133.6% 92.1% 140.8% 16.9% -98.1% -37.7K 39.5M -116.8K 0.37 102.55 N/A N/A 3,674 1,347 124,970 86,175 2020-03-20 $5.61 $15.00 128.3% 36.8% 132.4% 76.8% 143.3% 74.6% 20.5% -26.9K 38.3M -104.7K 0.38 94.88 N/A N/A 2,042 786 126,923 85,784 2020-03-23 $5.70 $15.00 169.2% 44.3% 134.6% 100.0% 146.5% 75.9% -159.6% -19.9K 36.0M -97.7K 0.23 103.95 N/A N/A 3,094 698 82,554 79,328 2020-03-24 $7.26 $15.00 114.7% 35.1% 169.7% 59.7% 134.4% 39.9% -96.8% -15.3K 41.5M -139.5K 0.54 80.30 N/A N/A 6,013 3,272 84,720 79,845 2020-03-25 $7.31 $15.00 206.2% 46.9% 170.3% 100.0% 141.2% 19.4% 0.2% 115 37.4M -166.3K 0.38 94.21 N/A N/A 3,350 1,271 87,827 81,952 2020-03-26 $6.79 $15.00 85.6% 39.0% 170.9% 30.0% 135.3% 20.1% 164.1% 14.3K 38.6M -135.8K 0.53 94.57 N/A N/A 3,459 1,844 88,798 81,441 2020-03-27 $6.49 $15.00 97.6% 40.6% 170.4% 37.0% 163.9% -10.4% -34.8% -7.0K 38.2M -124.7K 0.27 102.58 N/A N/A 4,950 1,350 91,461 82,186 2020-03-30 $6.01 $15.00 113.3% 37.9% 170.7% 46.0% 129.7% -26.6% -37.0% -11.5K 37.0M -106.8K 0.38 92.69 N/A N/A 3,016 1,156 91,965 80,806 2020-03-31 $6.14 $15.00 113.3% 34.9% 172.1% 46.0% 114.2% 14.4% -45.8% -6.9K 37.1M -113.9K 0.25 83.84 N/A N/A 3,473 854 94,054 80,900
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