AA Options History — May 2020

In May 2020, AA traded between $6.65 and $9.68. ATM implied volatility averaged 75.1%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 21.4%. IV traded below realized volatility by 12.2% (HV 20d: 87.3%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.64.

Notable Days

  • 2020-05-27: Highest Volume — 17,213 contracts
  • 2020-05-18: Largest IV drop — 14.3% change
  • 2020-05-14: Highest IV Rank — 29.4%
  • 2020-05-14: Largest Expected Move — 23.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.98$6.65$9.68$7.62$9.30
Max Pain$7.95$7.00$8.00$7.00$8.00
ATM IV75.1%70.9%84.5%80.0%73.5%
Expected Move21.4%19.6%23.9%23.5%20.2%
HV 20d87.3%73.7%100.7%85.4%92.8%
HV 60d120.5%116.6%126.1%116.7%126.0%
IV Rank23.9%21.5%29.4%26.7%22.9%
IV Percentile82.9%78.6%86.5%86.5%81.0%
Term Structure0.6%-3.8%5.3%2.9%-3.8%
VWIV73.7%65.8%83.4%80.6%70.5%
Skew 25d8.4%2.2%14.7%7.6%10.5%
Skew 10d23.2%-2.7%53.4%-2.7%50.4%
Call IV 25d71.6%65.4%81.4%77.3%68.6%
Put IV 25d80.0%73.7%92.6%84.9%79.1%
Bid-Ask Spread %15.2111.8917.8811.8915.93
Gamma HHI0.220.140.430.170.40
Net GEX342.6K64.0K613.0K233.1K458.3K
Net DEX19.6M1.4M28.8M22.6M10.1M
Net VEX-219.1K-289.4K-166.7K-214.5K-269.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.131.860.431.86
Total Volume7,693.452,72217,2136,03810,408
Total OI195,481.05186,953207,345194,179201,509

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$7.62$7.0080.0%23.5%85.4%26.7%80.6%7.6%2.9%233.1K22.6M-214.5K0.4311.89N/AN/A4,2181,820114,74979,430
2020-05-04$7.80$8.0079.2%22.7%85.1%26.3%79.7%9.3%-0.3%280.4K22.2M-217.8K0.5115.85N/AN/A2,5741,305112,49176,177
2020-05-05$7.73$8.0076.6%22.1%80.3%24.7%77.3%6.4%1.0%301.3K22.0M-213.6K0.4716.81N/AN/A2,1751,029114,01576,806
2020-05-06$7.69$8.0074.4%20.9%75.3%23.5%73.5%14.7%2.6%298.3K22.9M-211.5K1.2914.58N/AN/A1,3311,715114,80377,329
2020-05-07$7.47$8.0077.3%21.8%75.5%25.2%74.0%10.2%0.8%201.7K25.8M-195.6K0.4713.31N/AN/A1,846876115,29878,691
2020-05-08$8.03$8.0072.1%20.9%79.6%22.1%71.9%10.5%0.6%613.0K20.7M-223.6K0.1516.76N/AN/A4,784699115,92879,087
2020-05-11$7.81$8.0071.5%20.8%79.9%21.8%68.0%7.6%0.0%319.3K22.9M-214.9K0.5214.07N/AN/A2,8361,466114,27377,834
2020-05-12$7.34$8.0072.5%20.9%82.9%22.4%70.7%4.8%1.9%188.3K26.1M-188.6K0.5512.47N/AN/A2,5511,398115,28977,705
2020-05-13$6.96$8.0078.3%22.3%82.6%25.8%75.3%5.8%0.2%96.2K28.7M-167.9K0.3414.85N/AN/A3,9281,331115,87778,573
2020-05-14$6.78$8.0084.5%23.9%81.4%29.4%83.4%11.5%-3.3%70.4K28.0M-168.2K1.0113.24N/AN/A4,6344,682117,09377,950
2020-05-15$6.65$8.0082.7%23.0%73.7%28.3%80.7%7.3%-3.0%64.0K28.8M-166.7K1.0816.45N/AN/A2,0442,209119,92681,314
2020-05-18$7.83$8.0070.9%20.2%95.0%21.5%71.3%12.0%-1.8%306.0K23.8M-204.4K0.1317.07N/AN/A10,9121,407111,25075,703
2020-05-19$7.82$8.0072.2%20.6%94.7%22.2%72.4%2.2%0.0%419.9K20.9M-213.5K0.1317.04N/AN/A10,2091,276116,43076,339
2020-05-20$8.32$8.0071.1%20.4%96.8%21.6%73.0%10.8%4.7%606.8K15.9M-228.3K0.9716.73N/AN/A7,6297,411120,74777,086
2020-05-21$8.28$8.0073.9%21.1%96.3%23.2%73.7%8.0%2.1%462.5K15.3M-235.6K0.3214.54N/AN/A3,8881,230124,00883,337
2020-05-22$8.22$8.0072.9%20.7%95.7%22.6%71.0%9.4%2.6%332.5K13.8M-229.6K1.0815.57N/AN/A2,0512,207123,71783,605
2020-05-26$8.78$8.0071.9%19.6%97.5%22.0%69.4%7.9%-0.2%493.8K14.2M-245.5K0.6914.59N/AN/A9,3686,508112,67676,317
2020-05-27$9.68$8.0071.6%20.8%100.7%21.8%70.7%7.7%5.3%606.9K1.4M-289.4K0.4617.88N/AN/A11,7835,430115,15081,146
2020-05-28$9.52$8.0074.6%20.8%95.5%23.6%65.8%2.9%-0.8%498.7K5.9M-282.7K0.4214.56N/AN/A7,5243,177114,67985,284
2020-05-29$9.30$8.0073.5%20.2%92.8%22.9%70.5%10.5%-3.8%458.3K10.1M-269.5K1.8615.93N/AN/A3,6416,767114,97986,530