AA Options History — April 2020 In April 2020, AA traded between $5.97 and $8.72. ATM implied volatility averaged 93.5%, placing in the 34.6% IV rank vs the trailing year. The 30-day expected move averaged 27.6%. IV traded below realized volatility by 32.4% (HV 20d: 125.9%). Max pain ranged from $6.00 to $15.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.45.
Notable Days 2020-04-15 : Highest Volume — 15,180 contracts2020-04-06 : Largest IV drop — 23.7% change2020-04-03 : Highest IV Rank — 49.0%2020-04-01 : Largest Expected Move — 35.3%Monthly Statistics Metric Avg Min Max Open Close Price $7.28 $5.97 $8.72 $6.35 $8.19 Max Pain $7.14 $6.00 $15.00 $15.00 $7.00 ATM IV 93.5% 72.0% 118.3% 101.9% 72.8% Expected Move 27.6% 20.9% 35.3% 35.3% 21.1% HV 20d 125.9% 72.4% 173.7% 173.7% 83.2% HV 60d 112.9% 108.8% 117.3% 108.9% 117.3% IV Rank 34.6% 22.1% 49.0% 39.4% 22.5% IV Percentile 90.7% 84.9% 96.0% 94.0% 84.9% Term Structure 1.5% -10.9% 22.8% -10.4% 3.2% VWIV 96.0% 72.2% 121.1% 121.1% 74.7% Skew 25d 14.2% 0.4% 35.6% 26.1% 9.5% Skew 10d 19.8% -39.7% 154.6% -39.7% 24.4% Call IV 25d 86.1% 65.8% 110.6% 94.9% 69.1% Put IV 25d 100.3% 77.1% 120.9% 120.9% 78.6% Bid-Ask Spread % 19.76 11.43 64.44 64.44 14.87 Gamma HHI 0.15 0.09 0.21 0.11 0.20 Net GEX 148.5K -36.7K 431.3K 5.4K 360.2K Net DEX 27.7M 13.1M 36.1M 36.1M 18.7M Net VEX -185.5K -261.1K -117.8K -124.5K -233.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.45 0.10 1.05 0.15 0.90 Total Volume 8,120.333 2,920 15,180 10,000 6,993 Total OI 185,095.81 172,720 209,546 176,567 191,438
Daily Data (21 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 2020-04-01 $6.35 $15.00 101.9% 35.3% 173.7% 39.4% 121.1% 26.1% -10.4% 5.4K 36.1M -124.5K 0.15 64.44 N/A N/A 8,668 1,332 96,243 80,324 2020-04-02 $6.02 $6.00 113.3% 31.5% 173.2% 46.0% 107.6% 35.6% 0.6% -2.3K 34.6M -121.8K 0.38 23.71 N/A N/A 3,058 1,166 99,083 80,782 2020-04-03 $5.97 $6.00 118.3% 32.1% 172.3% 49.0% 109.0% 1.6% -5.0% -36.7K 35.3M -117.8K 0.33 21.83 N/A N/A 2,860 935 100,701 81,490 2020-04-06 $6.54 $6.00 90.3% 28.8% 163.2% 32.7% 102.2% 26.3% 13.5% 27.5K 34.3M -145.8K 0.39 23.97 N/A N/A 7,426 2,889 98,145 80,030 2020-04-07 $7.11 $6.00 94.4% 28.9% 165.7% 35.1% 99.6% 7.9% 22.8% 99.8K 33.4M -166.4K 0.28 19.77 N/A N/A 8,687 2,455 101,201 80,221 2020-04-08 $7.32 $6.00 95.5% 28.6% 165.0% 35.7% 90.5% 16.9% -0.9% 123.2K 32.3M -182.6K 0.42 19.44 N/A N/A 2,617 1,091 102,063 80,818 2020-04-09 $7.41 $7.00 90.4% 28.7% 156.3% 32.8% 99.4% 0.4% 3.6% 61.5K 31.7M -187.8K 0.41 24.60 N/A N/A 6,049 2,486 103,358 81,322 2020-04-13 $7.61 $7.00 97.5% 28.1% 154.6% 36.9% 98.8% 14.2% 0.4% 92.8K 31.9M -191.8K 0.43 23.41 N/A N/A 2,046 874 100,965 81,098 2020-04-14 $7.69 $7.00 96.7% 27.7% 147.1% 36.4% 93.6% 15.5% 4.3% 117.5K 32.8M -189.1K 0.16 17.09 N/A N/A 12,386 1,935 101,789 81,864 2020-04-15 $7.27 $7.00 100.5% 28.8% 148.7% 38.6% 99.4% 17.2% 3.7% 116.3K 32.7M -179.9K 0.10 16.40 N/A N/A 13,759 1,421 110,897 82,995 2020-04-16 $6.93 $7.00 104.2% 29.8% 117.7% 40.8% 105.3% 10.9% 4.2% 130.0K 32.1M -175.2K 0.67 12.01 N/A N/A 3,191 2,133 123,194 83,295 2020-04-17 $7.60 $7.00 94.8% 26.9% 118.9% 35.3% 105.2% 16.6% 2.8% 185.4K 29.7M -205.2K 0.66 11.47 N/A N/A 6,027 3,952 124,728 84,818 2020-04-20 $7.45 $7.00 98.7% 29.0% 117.5% 37.6% 97.6% 15.2% -10.9% 197.0K 21.5M -203.9K 0.37 15.34 N/A N/A 7,125 2,631 102,510 70,210 2020-04-21 $7.34 $7.00 96.5% 29.8% 118.0% 36.3% 104.8% 10.8% -1.7% 192.1K 21.6M -202.3K 0.61 11.43 N/A N/A 2,300 1,398 107,258 71,947 2020-04-22 $7.52 $7.00 96.4% 28.7% 81.6% 36.2% 102.2% 14.7% 3.2% 216.1K 20.3M -212.0K 0.55 15.76 N/A N/A 4,733 2,597 108,257 71,921 2020-04-23 $7.35 $7.00 90.5% 26.0% 82.0% 32.8% 93.1% 11.8% -5.1% 196.3K 22.3M -197.3K 0.54 14.15 N/A N/A 6,611 3,586 111,163 73,726 2020-04-24 $7.16 $7.00 89.8% 24.7% 77.9% 32.4% 86.4% 16.4% 3.7% 135.6K 24.2M -189.0K 0.35 18.11 N/A N/A 5,049 1,758 111,403 74,701 2020-04-27 $7.41 $7.00 74.2% 22.8% 76.6% 23.4% 77.6% 10.0% -0.7% 177.3K 23.6M -194.2K 0.47 14.56 N/A N/A 4,710 2,194 108,004 71,798 2020-04-28 $7.90 $7.00 74.4% 20.9% 72.4% 23.5% 74.9% 11.0% -0.7% 292.7K 19.6M -215.2K 1.05 15.07 N/A N/A 3,869 4,055 110,157 73,194 2020-04-29 $8.72 $7.00 72.0% 21.2% 78.5% 22.1% 72.2% 10.3% 1.4% 431.3K 13.1M -261.1K 0.34 17.46 N/A N/A 8,571 2,904 111,422 76,479 2020-04-30 $8.19 $7.00 72.8% 21.1% 83.2% 22.5% 74.7% 9.5% 3.2% 360.2K 18.7M -233.2K 0.90 14.87 N/A N/A 3,689 3,304 113,611 77,827
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