AA Options History — June 2020 In June 2020, AA traded between $9.55 and $12.93. ATM implied volatility averaged 76.9%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 22.0%. IV traded below realized volatility by 18.1% (HV 20d: 94.9%). Max pain ranged from $8.00 to $13.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.76.
Notable Days 2020-06-08 : Highest Volume — 42,599 contracts2020-06-05 : Largest IV spike — 18.6% change2020-06-15 : Highest IV Rank — 30.0%2020-06-12 : Largest Expected Move — 24.9%Monthly Statistics Metric Avg Min Max Open Close Price $11.43 $9.55 $12.93 $9.55 $11.34 Max Pain $12.32 $8.00 $13.00 $8.00 $13.00 ATM IV 76.9% 66.8% 85.6% 70.1% 76.4% Expected Move 22.0% 18.4% 24.9% 21.2% 22.5% HV 20d 94.9% 88.2% 108.0% 88.2% 97.2% HV 60d 102.9% 87.5% 125.3% 125.3% 89.0% IV Rank 24.9% 19.1% 30.0% 21.0% 24.6% IV Percentile 81.2% 74.2% 86.9% 75.8% 78.6% Term Structure -0.8% -5.6% 4.0% -1.5% -0.5% VWIV 77.8% 67.4% 85.6% 74.5% 78.8% Skew 25d 8.4% 3.9% 13.7% 8.9% 11.0% Skew 10d 20.1% -18.9% 41.4% 33.1% 31.4% Call IV 25d 73.4% 62.2% 81.9% 64.5% 72.6% Put IV 25d 81.8% 69.6% 91.1% 73.4% 83.6% Bid-Ask Spread % 18.75 8.81 39.89 12.82 21.12 Gamma HHI 0.18 0.09 0.46 0.46 0.10 Net GEX 297.6K -604.7K 595.7K 383.6K 269.2K Net DEX -5.8M -33.9M 15.0M 10.5M 10.3M Net VEX -362.6K -427.6K -274.1K -274.1K -346.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.76 0.15 1.74 1.74 0.15 Total Volume 10,681.773 2,096 42,599 6,973 3,916 Total OI 212,965.864 193,086 233,136 193,670 205,477
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 2020-06-01 $9.55 $8.00 70.1% 21.2% 88.2% 21.0% 74.5% 8.9% -1.5% 383.6K 10.5M -274.1K 1.74 12.82 N/A N/A 2,544 4,429 110,494 83,176 2020-06-02 $9.86 $8.00 69.2% 19.6% 88.4% 20.5% 72.6% 11.4% -2.2% 408.2K 5.2M -288.5K 1.29 11.92 N/A N/A 3,875 4,989 111,278 87,029 2020-06-03 $10.85 $8.00 66.8% 18.8% 92.9% 19.1% 67.9% 6.4% -1.7% 564.4K -8.8M -312.6K 1.18 14.08 N/A N/A 7,408 8,747 111,141 90,517 2020-06-04 $11.60 $13.00 67.3% 18.4% 94.1% 19.4% 75.0% 10.3% -1.4% 405.2K -18.5M -345.1K 0.93 12.00 N/A N/A 12,328 11,524 110,633 96,352 2020-06-05 $11.98 $13.00 79.8% 19.5% 92.3% 26.6% 71.5% 3.9% 3.5% 348.8K -23.1M -364.5K 0.33 11.30 N/A N/A 22,335 7,378 110,664 102,767 2020-06-08 $12.93 $13.00 73.1% 19.9% 92.6% 22.7% 67.4% 7.8% -2.0% 280.6K -33.9M -407.1K 0.24 12.81 N/A N/A 34,384 8,215 112,514 88,012 2020-06-09 $12.61 $13.00 74.6% 20.3% 92.4% 23.6% 74.3% 7.1% -3.1% 183.3K -26.5M -427.6K 0.70 8.81 N/A N/A 3,256 2,268 128,027 99,019 2020-06-10 $12.19 $13.00 74.8% 21.7% 89.4% 23.7% 75.3% 5.4% 1.8% 24.4K -19.5M -406.3K 0.42 12.84 N/A N/A 4,215 1,779 128,907 99,985 2020-06-11 $10.45 $13.00 82.2% 24.0% 106.7% 28.0% 82.3% 10.5% 4.0% 355.9K 14.5M -337.9K 0.66 21.99 N/A N/A 8,423 5,569 129,275 100,727 2020-06-12 $11.44 $13.00 84.3% 24.9% 108.0% 29.2% 83.8% 7.5% 3.3% 509.3K -7.8M -386.6K 0.50 14.27 N/A N/A 5,392 2,693 133,055 100,081 2020-06-15 $11.41 $13.00 85.6% 24.7% 107.2% 30.0% 84.3% 8.2% -5.6% 595.7K -12.0M -380.9K 0.67 24.46 N/A N/A 3,487 2,344 130,176 90,253 2020-06-16 $11.51 $13.00 82.2% 23.5% 94.4% 28.0% 82.8% 5.6% -0.1% 566.0K -14.9M -382.8K 1.37 27.19 N/A N/A 3,514 4,804 132,013 91,889 2020-06-17 $11.64 $13.00 79.8% 22.9% 94.1% 26.6% 81.8% 6.2% -3.3% 241.9K -16.3M -385.8K 0.55 24.83 N/A N/A 1,353 743 133,043 95,539 2020-06-18 $11.65 $13.00 80.1% 23.0% 93.0% 26.8% 77.9% 9.4% -1.8% 177.2K -14.0M -379.5K 0.77 16.72 N/A N/A 2,953 2,272 131,933 95,709 2020-06-19 $11.59 $13.00 77.4% 22.0% 93.0% 25.2% 76.3% 9.3% 2.7% -604.7K -12.2M -374.3K 0.56 21.85 N/A N/A 2,807 1,572 132,912 97,231 2020-06-22 $11.86 $13.00 76.9% 21.8% 92.6% 24.9% 77.6% 8.5% -1.0% 362.8K 640.0K -376.7K 1.07 23.81 N/A N/A 2,322 2,491 111,433 81,653 2020-06-23 $12.20 $13.00 75.5% 21.9% 91.0% 24.1% 75.0% 4.1% -1.2% 464.7K -4.1M -387.2K 0.92 18.57 N/A N/A 8,890 8,148 112,428 82,322 2020-06-24 $11.18 $13.00 72.7% 23.2% 92.8% 22.5% 81.5% 6.6% -0.7% 252.5K 10.6M -357.3K 0.90 20.92 N/A N/A 3,928 3,549 116,930 87,670 2020-06-25 $11.76 $13.00 77.2% 22.7% 93.5% 25.1% 81.4% 11.2% -1.0% 446.3K 3.3M -382.7K 0.30 20.21 N/A N/A 4,044 1,226 118,637 90,024 2020-06-26 $10.97 $13.00 82.1% 23.9% 97.1% 28.0% 83.0% 12.4% -3.0% 148.7K 14.1M -340.9K 0.84 39.89 N/A N/A 2,146 1,808 120,996 90,208 2020-06-29 $10.91 $13.00 82.7% 24.4% 97.0% 28.3% 85.6% 13.7% -2.3% 163.1K 15.0M -331.3K 0.54 20.19 N/A N/A 3,203 1,728 115,594 87,526 2020-06-30 $11.34 $13.00 76.4% 22.5% 97.2% 24.6% 78.8% 11.0% -0.5% 269.2K 10.3M -346.5K 0.15 21.12 N/A N/A 3,410 506 117,065 88,412
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