AA Options History — September 2020 In September 2020, AA traded between $11.53 and $15.06. ATM implied volatility averaged 61.9%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 17.8%. IV traded above realized volatility by 21.0% (HV 20d: 40.8%). Max pain ranged from $11.00 to $13.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.38.
Notable Days 2020-09-25 : Highest Volume — 28,253 contracts2020-09-23 : Largest IV spike — 10.8% change2020-09-23 : Highest IV Rank — 19.5%2020-09-30 : Largest Expected Move — 19.8%Monthly Statistics Metric Avg Min Max Open Close Price $13.25 $11.53 $15.06 $15.06 $11.62 Max Pain $11.19 $11.00 $13.00 $13.00 $11.00 ATM IV 61.9% 54.8% 68.6% 59.8% 67.4% Expected Move 17.8% 15.7% 19.8% 16.3% 19.8% HV 20d 40.8% 33.2% 50.6% 50.6% 46.1% HV 60d 55.9% 52.0% 66.2% 66.2% 53.3% IV Rank 15.6% 11.4% 19.5% 14.3% 18.8% IV Percentile 56.3% 44.4% 63.1% 56.0% 61.9% Term Structure 0.9% -7.4% 11.2% 0.3% 0.1% VWIV 61.6% 54.8% 68.0% 54.8% 67.5% Skew 25d 6.5% 2.5% 10.4% 7.9% 7.2% Skew 10d 8.2% -55.8% 24.0% 11.2% 13.6% Call IV 25d 58.5% 52.3% 64.4% 54.8% 62.8% Put IV 25d 65.0% 58.0% 71.5% 62.7% 70.1% Bid-Ask Spread % 7.27 4.17 19.21 5.38 6.70 Gamma HHI 0.12 0.08 0.22 0.12 0.22 Net GEX 321.3K -256.0K 894.5K 894.5K 265.1K Net DEX 4.1M -23.8M 26.5M -23.8M 14.8M Net VEX -336.9K -405.1K -270.9K -405.1K -323.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.38 0.11 0.91 0.18 0.13 Total Volume 7,560.095 3,091 28,253 5,254 6,555 Total OI 178,603.905 168,848 201,942 171,003 201,942
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 2020-09-01 $15.06 $13.00 59.8% 16.3% 50.6% 14.3% 54.8% 7.9% 0.3% 894.5K -23.8M -405.1K 0.18 5.38 N/A N/A 4,445 809 92,020 78,983 2020-09-02 $14.69 $13.00 60.5% 16.9% 45.7% 14.7% 57.6% 10.4% -0.9% 803.7K -18.0M -395.6K 0.27 5.43 N/A N/A 4,692 1,259 93,623 79,416 2020-09-03 $14.22 $11.00 65.5% 19.0% 46.7% 17.7% 66.3% 7.4% -4.6% 488.5K -9.6M -381.7K 0.84 6.89 N/A N/A 2,785 2,348 93,772 80,021 2020-09-04 $14.39 $11.00 65.4% 18.6% 46.6% 17.6% 64.2% 5.3% -1.6% 427.7K -10.8M -381.1K 0.84 19.21 N/A N/A 2,457 2,061 93,754 81,256 2020-09-08 $14.36 $11.00 64.7% 19.4% 39.7% 17.2% 66.6% 8.1% 2.9% 485.3K -11.4M -375.8K 0.34 6.14 N/A N/A 3,435 1,162 89,336 79,740 2020-09-09 $14.18 $11.00 59.3% 18.2% 37.0% 14.1% 62.1% 5.9% 11.2% 504.6K -8.0M -366.6K 0.91 6.85 N/A N/A 2,252 2,048 90,384 80,178 2020-09-10 $13.86 $11.00 60.9% 17.6% 37.6% 15.0% 61.0% 7.1% 2.9% 348.8K -1.1M -353.5K 0.60 7.19 N/A N/A 1,930 1,161 91,268 81,680 2020-09-11 $13.97 $11.00 59.3% 16.9% 36.2% 14.1% 58.0% 6.4% 1.3% 341.7K -2.0M -348.4K 0.46 5.41 N/A N/A 4,688 2,159 94,398 82,045 2020-09-14 $14.05 $11.00 57.3% 16.5% 36.0% 12.9% 58.3% 5.9% 5.9% 618.3K -2.5M -346.5K 0.23 5.55 N/A N/A 3,264 748 93,137 80,924 2020-09-15 $13.90 $11.00 55.0% 15.9% 35.9% 11.6% 56.0% 3.7% 0.9% 615.5K -400.3K -337.7K 0.22 8.65 N/A N/A 8,526 1,907 94,382 81,393 2020-09-16 $13.94 $11.00 54.8% 15.7% 34.6% 11.4% 55.4% 3.0% 7.8% 663.4K 153.2K -337.6K 0.22 6.89 N/A N/A 2,748 617 96,828 82,454 2020-09-17 $13.47 $11.00 59.6% 17.1% 33.2% 14.3% 59.5% 2.5% -1.2% 131.7K 8.2M -324.2K 0.28 12.13 N/A N/A 9,504 2,661 97,953 82,716 2020-09-18 $13.38 $11.00 56.2% 16.2% 33.2% 12.2% 55.2% 5.2% -2.1% -56.4K 10.0M -327.9K 0.32 6.73 N/A N/A 6,779 2,146 100,953 84,157 2020-09-21 $12.26 $11.00 60.5% 17.7% 42.1% 14.7% 63.2% 7.1% 3.9% -15.5K 21.1M -286.1K 0.50 8.64 N/A N/A 8,272 4,115 89,308 79,540 2020-09-22 $12.20 $11.00 61.9% 17.2% 38.6% 15.6% 59.6% 8.8% 0.7% 4.4K 21.3M -287.9K 0.32 7.37 N/A N/A 4,112 1,316 92,364 82,150 2020-09-23 $11.62 $11.00 68.6% 18.0% 40.8% 19.5% 63.1% 5.1% -7.4% -81.9K 26.5M -271.0K 0.74 7.45 N/A N/A 2,320 1,706 93,979 82,758 2020-09-24 $11.69 $11.00 63.7% 18.6% 41.1% 16.6% 63.7% 8.3% -5.4% -47.6K 25.8M -270.9K 0.18 5.45 N/A N/A 3,323 583 95,946 82,958 2020-09-25 $11.53 $11.00 66.3% 19.3% 41.1% 18.2% 67.8% 5.5% -0.3% -256.0K 24.6M -281.9K 0.11 5.81 N/A N/A 25,433 2,820 97,309 83,098 2020-09-28 $12.22 $11.00 64.4% 19.1% 47.0% 17.0% 66.1% 7.8% 3.6% 339.3K 7.6M -346.0K 0.14 4.17 N/A N/A 10,015 1,433 111,662 82,374 2020-09-29 $11.72 $11.00 68.0% 19.8% 47.8% 19.2% 68.0% 8.7% 1.2% 272.7K 13.6M -325.6K 0.20 4.53 N/A N/A 6,799 1,369 115,364 83,159 2020-09-30 $11.62 $11.00 67.4% 19.8% 46.1% 18.8% 67.5% 7.2% 0.1% 265.1K 14.8M -323.4K 0.13 6.70 N/A N/A 5,806 749 118,408 83,534
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