AA Options History — October 2020 In October 2020, AA traded between $11.34 and $13.64. ATM implied volatility averaged 63.3%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded above realized volatility by 10.9% (HV 20d: 52.4%). Max pain ranged from $11.00 to $13.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.32.
Notable Days 2020-10-15 : Highest Volume — 21,347 contracts2020-10-28 : Largest IV spike — 11.1% change2020-10-06 : Highest IV Rank — 19.6%2020-10-01 : Largest Expected Move — 20.7%Monthly Statistics Metric Avg Min Max Open Close Price $12.63 $11.34 $13.64 $11.34 $12.86 Max Pain $12.82 $11.00 $13.00 $11.00 $13.00 ATM IV 63.3% 57.3% 68.8% 68.4% 65.2% Expected Move 18.3% 16.1% 20.7% 20.7% 20.2% HV 20d 52.4% 46.1% 61.5% 46.1% 49.2% HV 60d 49.7% 47.4% 53.5% 53.5% 48.5% IV Rank 16.4% 12.9% 19.6% 19.4% 17.5% IV Percentile 52.8% 40.9% 63.1% 62.7% 56.0% Term Structure -0.7% -8.0% 1.8% 1.1% -0.1% VWIV 63.8% 56.9% 72.3% 71.9% 70.6% Skew 25d 7.0% 4.2% 10.2% 8.2% 10.1% Skew 10d 6.3% -61.5% 16.8% 13.1% 13.0% Call IV 25d 60.3% 54.9% 66.2% 64.2% 62.0% Put IV 25d 67.4% 61.2% 73.3% 72.4% 72.1% Bid-Ask Spread % 5.43 3.91 10.25 7.29 4.51 Gamma HHI 0.22 0.17 0.29 0.23 0.20 Net GEX 605.4K 161.4K 1.1M 161.4K 269.9K Net DEX 2.0M -13.2M 18.0M 18.0M 7.9M Net VEX -335.2K -352.9K -308.7K -308.7K -333.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.32 0.17 0.66 0.17 0.19 Total Volume 8,901.045 2,575 21,347 7,360 10,488 Total OI 192,801.318 167,023 221,530 204,030 175,968
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 2020-10-01 $11.34 $11.00 68.4% 20.7% 46.1% 19.4% 71.9% 8.2% 1.1% 161.4K 18.0M -308.7K 0.17 7.29 N/A N/A 6,305 1,055 120,125 83,905 2020-10-02 $11.85 $11.00 67.7% 20.5% 49.7% 18.9% 72.3% 8.9% 0.1% 322.6K 10.2M -335.9K 0.22 5.30 N/A N/A 7,794 1,752 122,619 84,455 2020-10-05 $11.97 $13.00 67.1% 19.3% 49.6% 18.6% 67.7% 8.0% -0.5% 418.7K 7.4M -337.7K 0.23 4.61 N/A N/A 7,319 1,659 118,775 82,833 2020-10-06 $11.76 $13.00 68.8% 19.5% 49.6% 19.6% 67.1% 7.1% -1.0% 433.0K 10.2M -321.5K 0.31 5.59 N/A N/A 8,335 2,550 122,256 83,856 2020-10-07 $12.28 $13.00 65.7% 19.5% 53.0% 17.8% 64.7% 9.0% 0.0% 602.5K 2.6M -344.0K 0.26 6.99 N/A N/A 3,284 842 123,503 85,246 2020-10-08 $12.69 $13.00 66.2% 18.8% 54.5% 18.1% 64.4% 6.6% -0.6% 777.1K -5.1M -351.3K 0.23 4.61 N/A N/A 6,760 1,588 124,473 85,679 2020-10-09 $12.61 $13.00 65.3% 18.4% 54.3% 17.6% 63.9% 4.8% -0.7% 877.7K -4.1M -347.5K 0.27 5.96 N/A N/A 6,714 1,831 125,444 85,946 2020-10-12 $12.59 $13.00 65.7% 18.6% 54.2% 17.8% 64.9% 7.1% -1.1% 709.9K -2.0M -340.6K 0.20 5.35 N/A N/A 6,879 1,377 117,752 84,649 2020-10-13 $12.69 $13.00 65.0% 18.3% 54.4% 17.4% 65.0% 8.1% -1.1% 814.4K -6.1M -343.1K 0.52 6.99 N/A N/A 6,734 3,472 120,753 85,274 2020-10-14 $13.11 $13.00 64.7% 18.0% 55.9% 17.2% 62.7% 6.0% -0.9% 923.5K -13.2M -352.3K 0.23 8.77 N/A N/A 13,755 3,230 120,899 87,947 2020-10-15 $12.20 $13.00 62.2% 16.8% 60.1% 15.8% 58.3% 4.7% -8.0% 594.6K 8.9M -308.7K 0.51 3.91 N/A N/A 14,110 7,237 130,056 89,674 2020-10-16 $12.59 $13.00 57.3% 16.1% 61.5% 12.9% 56.9% 6.3% -1.3% 1.1M -1.5M -323.5K 0.30 4.68 N/A N/A 8,338 2,520 131,591 89,939 2020-10-19 $12.69 $13.00 59.8% 17.2% 52.8% 14.4% 59.5% 4.8% -1.6% 541.0K 4.8M -319.0K 0.19 4.88 N/A N/A 9,354 1,808 95,018 72,005 2020-10-20 $12.82 $13.00 59.3% 17.0% 52.9% 14.1% 59.3% 5.1% -2.0% 620.5K 3.0M -324.7K 0.66 3.97 N/A N/A 4,511 2,991 97,765 73,220 2020-10-21 $13.43 $13.00 59.4% 17.0% 51.4% 14.1% 59.0% 5.6% -1.1% 826.5K -7.7M -352.9K 0.30 3.98 N/A N/A 8,204 2,443 98,914 75,829 2020-10-22 $13.64 $13.00 58.8% 16.9% 51.5% 13.8% 59.7% 5.9% -0.1% 944.9K -9.7M -352.5K 0.27 4.40 N/A N/A 5,187 1,399 98,791 77,001 2020-10-23 $13.56 $13.00 58.1% 16.7% 51.1% 13.4% 59.1% 4.2% -0.7% 1.0M -9.3M -350.2K 0.29 4.07 N/A N/A 5,657 1,646 99,804 77,527 2020-10-26 $13.01 $13.00 60.3% 17.7% 50.4% 14.6% 61.4% 7.3% 1.3% 425.1K 4.4M -337.1K 0.44 4.56 N/A N/A 3,405 1,501 93,554 77,986 2020-10-27 $13.11 $13.00 59.3% 17.4% 47.6% 14.1% 60.1% 7.0% 1.8% 451.4K 3.7M -337.8K 0.21 4.52 N/A N/A 2,123 452 93,598 78,968 2020-10-28 $12.43 $13.00 65.9% 19.8% 51.8% 17.9% 71.3% 9.4% 0.1% 234.4K 13.1M -320.2K 0.37 10.25 N/A N/A 3,848 1,437 94,020 79,224 2020-10-29 $12.72 $13.00 62.0% 18.7% 51.1% 15.7% 64.4% 10.2% 0.6% 284.6K 8.4M -332.0K 0.58 4.33 N/A N/A 2,489 1,440 94,986 79,802 2020-10-30 $12.86 $13.00 65.2% 20.2% 49.2% 17.5% 70.6% 10.1% -0.1% 269.9K 7.9M -333.0K 0.19 4.51 N/A N/A 8,837 1,651 95,009 80,959
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