AA Options History — August 2020 In August 2020, AA traded between $13.65 and $15.61. ATM implied volatility averaged 57.6%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded above realized volatility by 4.2% (HV 20d: 53.4%). Max pain ranged from $11.00 to $13.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.42.
Notable Days 2020-08-10 : Highest Volume — 24,387 contracts2020-08-07 : Largest IV drop — 6.3% change2020-08-05 : Highest IV Rank — 15.9%2020-08-11 : Largest Expected Move — 17.6%Monthly Statistics Metric Avg Min Max Open Close Price $14.78 $13.65 $15.61 $13.65 $14.72 Max Pain $11.57 $11.00 $13.00 $12.00 $13.00 ATM IV 57.6% 52.8% 62.4% 61.9% 60.1% Expected Move 16.2% 14.9% 17.6% 17.4% 16.3% HV 20d 53.4% 49.2% 61.0% 59.0% 50.1% HV 60d 74.7% 67.7% 82.2% 82.2% 67.8% IV Rank 13.0% 10.3% 15.9% 15.6% 14.6% IV Percentile 54.5% 48.0% 60.3% 60.3% 57.5% Term Structure 0.8% -2.6% 16.9% -1.8% -0.2% VWIV 56.9% 51.9% 62.4% 60.4% 56.5% Skew 25d 4.0% -17.0% 7.5% 4.7% 7.4% Skew 10d 9.5% -11.9% 21.0% 13.2% 10.1% Call IV 25d 56.7% 52.2% 83.1% 59.9% 56.6% Put IV 25d 60.7% 56.4% 66.1% 64.5% 64.0% Bid-Ask Spread % 5.90 3.55 16.90 4.35 5.01 Gamma HHI 0.27 0.10 0.49 0.22 0.10 Net GEX 1.1M 100.3K 2.3M 971.2K 704.7K Net DEX -30.8M -55.4M -17.0M -20.9M -17.9M Net VEX -399.1K -435.2K -377.4K -381.8K -397.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.42 0.15 1.98 0.49 0.36 Total Volume 8,165.905 3,344 24,387 9,107 6,633 Total OI 175,761.429 158,133 184,813 173,163 167,157
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 2020-08-03 $13.65 $12.00 61.9% 17.4% 59.0% 15.6% 60.4% 4.7% -1.8% 971.2K -20.9M -381.8K 0.49 4.35 N/A N/A 6,092 3,015 99,714 73,449 2020-08-04 $13.69 $12.00 61.4% 17.2% 58.2% 15.3% 60.6% 6.6% -1.6% 976.7K -21.6M -385.3K 0.24 4.90 N/A N/A 2,743 664 100,497 75,113 2020-08-05 $14.65 $12.00 62.4% 16.5% 61.0% 15.9% 59.1% 4.3% -0.9% 1.4M -40.8M -411.2K 0.30 5.83 N/A N/A 11,585 3,433 101,968 75,479 2020-08-06 $14.90 $11.00 61.6% 16.6% 55.8% 15.4% 60.0% -17.0% 16.9% 1.8M -46.7M -419.1K 0.39 16.90 N/A N/A 8,709 3,409 104,942 76,378 2020-08-07 $14.64 $11.00 57.7% 16.6% 53.6% 13.1% 59.7% 7.5% -0.5% 1.6M -39.7M -413.0K 0.41 16.80 N/A N/A 3,483 1,445 105,431 78,107 2020-08-10 $15.61 $11.00 60.0% 17.0% 56.6% 14.5% 61.1% 4.6% -0.2% 1.2M -55.4M -435.2K 0.28 4.41 N/A N/A 19,015 5,372 99,879 75,758 2020-08-11 $14.93 $11.00 60.5% 17.6% 54.7% 14.7% 62.4% 3.7% 2.5% 1.0M -36.8M -419.7K 0.21 5.50 N/A N/A 7,107 1,514 100,457 79,571 2020-08-12 $14.93 $11.00 58.6% 16.9% 54.8% 13.6% 58.7% 6.0% 0.3% 1.2M -36.6M -417.2K 0.32 5.28 N/A N/A 5,243 1,665 101,731 79,801 2020-08-13 $14.45 $11.00 58.7% 17.1% 52.9% 13.7% 58.5% 5.6% 0.7% 1.0M -23.9M -398.7K 0.25 4.48 N/A N/A 3,548 870 102,500 80,599 2020-08-14 $14.62 $11.00 56.1% 16.0% 50.6% 12.2% 57.1% 4.9% -1.1% 1.0M -27.4M -394.3K 1.98 4.01 N/A N/A 2,310 4,566 102,435 80,804 2020-08-17 $14.43 $11.00 55.6% 16.0% 50.6% 11.9% 54.9% 4.4% -0.2% 1.4M -22.9M -382.3K 0.32 3.55 N/A N/A 3,812 1,238 98,164 79,140 2020-08-18 $14.78 $11.00 54.9% 15.8% 50.1% 11.5% 55.0% 3.5% -2.0% 1.9M -31.6M -391.7K 0.16 4.45 N/A N/A 3,318 515 99,334 80,013 2020-08-19 $15.31 $11.00 53.9% 15.4% 50.9% 10.9% 54.4% 3.8% 0.9% 2.2M -46.7M -402.4K 0.28 5.22 N/A N/A 17,518 4,933 100,471 80,193 2020-08-20 $15.22 $12.00 55.3% 15.8% 49.2% 11.7% 54.9% 5.2% 1.5% 2.3M -40.4M -399.7K 0.27 5.44 N/A N/A 2,631 713 101,806 82,904 2020-08-21 $14.56 $12.00 52.8% 15.0% 52.7% 10.3% 52.8% 5.1% 2.2% 100.3K -17.0M -377.4K 0.29 4.89 N/A N/A 5,672 1,633 101,623 83,190 2020-08-24 $15.10 $12.00 55.2% 15.2% 52.6% 11.7% 53.8% 4.7% -2.6% 469.5K -21.8M -385.3K 0.22 4.36 N/A N/A 6,127 1,328 83,140 74,993 2020-08-25 $15.06 $12.00 54.1% 14.9% 52.0% 11.0% 51.9% 6.4% 2.3% 627.1K -23.2M -391.8K 0.15 4.95 N/A N/A 3,453 511 87,104 75,702 2020-08-26 $15.07 $12.00 55.4% 15.8% 51.8% 11.8% 53.3% 2.9% -0.6% 695.6K -25.7M -392.4K 0.33 3.90 N/A N/A 3,555 1,184 89,303 75,878 2020-08-27 $14.86 $12.00 55.4% 15.5% 52.2% 11.8% 54.5% 4.2% 0.7% 649.9K -21.1M -390.9K 0.32 5.00 N/A N/A 3,301 1,041 90,563 76,529 2020-08-28 $15.15 $12.00 57.1% 15.8% 51.4% 12.8% 55.2% 6.5% 0.6% 727.2K -28.0M -395.4K 1.24 4.71 N/A N/A 2,932 3,648 91,988 77,182 2020-08-31 $14.72 $13.00 60.1% 16.3% 50.1% 14.6% 56.5% 7.4% -0.2% 704.7K -17.9M -397.5K 0.36 5.01 N/A N/A 4,861 1,772 89,500 77,657
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