AA Options History — July 2020 In July 2020, AA traded between $10.57 and $13.45. ATM implied volatility averaged 69.3%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 19.9%. IV traded below realized volatility by 3.3% (HV 20d: 72.6%). Max pain ranged from $10.00 to $13.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.44.
Notable Days 2020-07-01 : Highest Volume — 40,465 contracts2020-07-16 : Largest IV drop — 8.8% change2020-07-01 : Highest IV Rank — 27.9%2020-07-01 : Largest Expected Move — 26.1%Monthly Statistics Metric Avg Min Max Open Close Price $12.32 $10.57 $13.45 $10.95 $12.95 Max Pain $11.09 $10.00 $13.00 $13.00 $12.00 ATM IV 69.3% 58.2% 82.0% 82.0% 59.8% Expected Move 19.9% 16.2% 26.1% 26.1% 16.8% HV 20d 72.6% 57.8% 92.4% 92.4% 58.6% HV 60d 85.9% 82.0% 87.8% 87.8% 82.1% IV Rank 20.4% 13.5% 27.9% 27.9% 14.4% IV Percentile 69.2% 58.3% 83.3% 83.3% 59.5% Term Structure -0.2% -3.2% 2.3% 0.7% 0.5% VWIV 68.6% 57.6% 90.3% 90.3% 58.4% Skew 25d 8.1% 5.1% 11.1% 9.1% 7.2% Skew 10d 13.8% 0.6% 19.8% 0.6% 6.7% Call IV 25d 66.1% 55.2% 81.2% 81.2% 57.3% Put IV 25d 74.2% 61.7% 90.3% 90.3% 64.5% Bid-Ask Spread % 8.60 5.11 20.61 20.61 5.74 Gamma HHI 0.21 0.09 0.69 0.10 0.30 Net GEX 737.1K 129.7K 3.3M 261.4K 1.5M Net DEX -4.6M -36.8M 20.2M 12.5M -7.9M Net VEX -357.2K -400.2K -296.8K -335.3K -357.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.44 0.08 1.36 0.08 0.20 Total Volume 12,755.636 3,180 40,465 40,465 7,141 Total OI 199,888.227 169,049 235,193 208,019 180,093
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 2020-07-01 $10.95 $13.00 82.0% 26.1% 92.4% 27.9% 90.3% 9.1% 0.7% 261.4K 12.5M -335.3K 0.08 20.61 N/A N/A 37,425 3,040 119,567 88,452 2020-07-02 $10.94 $13.00 75.3% 24.5% 89.0% 24.0% 84.3% 7.2% 1.1% 738.0K 10.6M -331.5K 0.21 17.38 N/A N/A 14,041 2,913 135,499 89,423 2020-07-06 $11.49 $10.00 75.4% 21.7% 90.1% 24.1% 71.2% 9.4% 0.3% 1.1M 3.0M -347.2K 0.33 9.33 N/A N/A 16,058 5,243 133,981 87,258 2020-07-07 $11.28 $10.00 76.6% 21.8% 85.3% 24.7% 71.9% 9.3% -1.3% 686.1K 8.5M -332.2K 0.15 9.70 N/A N/A 7,159 1,097 128,522 87,688 2020-07-08 $11.14 $10.00 77.3% 21.4% 85.0% 25.2% 73.4% 7.9% -1.8% 518.2K 12.0M -323.4K 0.21 9.65 N/A N/A 8,383 1,763 127,648 88,005 2020-07-09 $10.57 $10.00 81.4% 22.0% 86.1% 27.6% 74.6% 10.8% -3.2% 129.7K 20.2M -296.8K 1.36 10.58 N/A N/A 2,543 3,446 128,307 88,637 2020-07-10 $11.32 $10.00 79.9% 22.8% 70.6% 26.7% 73.9% 8.9% -1.3% 204.2K 7.3M -330.4K 0.32 8.25 N/A N/A 5,696 1,823 128,562 88,047 2020-07-13 $11.56 $10.00 81.4% 22.6% 63.2% 27.5% 80.5% 10.4% -2.6% 244.4K 5.2M -334.9K 0.30 11.11 N/A N/A 8,020 2,400 117,881 86,130 2020-07-14 $12.53 $10.00 77.9% 21.9% 69.3% 25.5% 75.8% 8.6% -1.2% 557.8K -10.9M -369.3K 1.00 11.49 N/A N/A 16,578 16,584 121,881 86,972 2020-07-15 $12.65 $10.00 77.5% 21.3% 69.3% 25.3% 74.5% 11.1% -2.3% 560.7K -11.5M -375.3K 0.60 11.76 N/A N/A 15,080 9,070 127,567 96,150 2020-07-16 $13.45 $11.00 70.7% 20.5% 72.1% 21.3% 70.5% 10.2% -0.1% 1.2M -36.8M -400.2K 0.42 7.63 N/A N/A 20,296 8,433 134,324 100,322 2020-07-17 $12.95 $11.00 64.5% 18.4% 73.9% 17.7% 63.0% 7.0% -0.5% 3.3M -18.3M -378.6K 0.36 5.64 N/A N/A 12,777 4,562 133,547 101,646 2020-07-20 $12.78 $11.00 64.5% 18.5% 74.1% 17.7% 65.4% 8.1% 0.5% 331.2K -7.6M -373.3K 0.58 6.50 N/A N/A 6,021 3,479 92,242 76,807 2020-07-21 $13.20 $11.00 62.7% 17.9% 74.5% 16.7% 62.2% 7.3% 1.1% 470.1K -13.5M -383.9K 0.38 5.11 N/A N/A 4,946 1,901 95,144 79,133 2020-07-22 $13.11 $11.00 61.7% 17.7% 74.1% 16.1% 64.3% 7.4% -0.3% 561.0K -13.0M -381.5K 0.79 5.76 N/A N/A 1,912 1,512 98,246 79,830 2020-07-23 $12.72 $11.50 61.2% 17.5% 67.2% 15.8% 59.9% 5.6% 2.3% 415.4K -6.3M -363.8K 0.55 5.24 N/A N/A 5,424 2,959 99,628 79,913 2020-07-24 $12.73 $12.00 59.7% 17.0% 65.2% 15.0% 58.2% 5.1% 1.4% 423.6K -6.6M -364.1K 0.23 5.23 N/A N/A 2,851 647 101,747 81,795 2020-07-27 $13.22 $12.00 59.8% 17.0% 60.1% 14.9% 61.4% 7.0% 0.1% 636.9K -12.3M -377.6K 0.27 5.70 N/A N/A 4,728 1,266 97,360 76,324 2020-07-28 $12.99 $11.50 58.7% 16.5% 60.6% 13.8% 57.6% 5.2% 0.4% 656.9K -9.0M -363.9K 0.44 5.33 N/A N/A 2,202 978 99,444 76,853 2020-07-29 $13.26 $12.00 58.2% 16.2% 59.8% 13.5% 57.8% 5.6% 0.2% 823.8K -13.1M -369.5K 0.22 5.34 N/A N/A 3,153 703 100,113 77,461 2020-07-30 $13.22 $12.00 59.4% 16.8% 57.8% 14.1% 59.0% 8.9% 0.4% 902.3K -13.1M -368.1K 0.62 6.05 N/A N/A 2,701 1,670 101,726 77,666 2020-07-31 $12.95 $12.00 59.8% 16.8% 58.6% 14.4% 58.4% 7.2% 0.5% 1.5M -7.9M -357.9K 0.20 5.74 N/A N/A 5,942 1,199 101,764 78,329
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