AA Options History — November 2020 In November 2020, AA traded between $13.24 and $20.76. ATM implied volatility averaged 56.2%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded below realized volatility by 2.0% (HV 20d: 58.2%). Max pain ranged from $13.00 to $18.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.46.
Notable Days 2020-11-05 : Highest Volume — 20,984 contracts2020-11-04 : Largest IV drop — 7.2% change2020-11-03 : Highest IV Rank — 16.2%2020-11-03 : Largest Expected Move — 19.3%Monthly Statistics Metric Avg Min Max Open Close Price $17.12 $13.24 $20.76 $13.62 $19.90 Max Pain $14.15 $13.00 $18.50 $13.00 $18.50 ATM IV 56.2% 52.0% 63.0% 62.6% 57.8% Expected Move 16.3% 15.0% 19.3% 18.9% 17.3% HV 20d 58.2% 52.0% 64.0% 52.7% 56.2% HV 60d 52.9% 48.0% 55.3% 49.9% 54.8% IV Rank 12.2% 9.8% 16.2% 16.0% 13.2% IV Percentile 34.0% 25.4% 52.4% 52.0% 36.9% Term Structure -0.5% -1.8% 1.1% -1.3% 1.1% VWIV 58.1% 53.9% 67.5% 67.5% 63.3% Skew 25d 5.7% 3.1% 11.7% 10.5% 4.5% Skew 10d 14.3% -7.6% 67.5% 27.3% 8.7% Call IV 25d 54.6% 49.9% 59.0% 59.0% 56.6% Put IV 25d 60.3% 55.6% 70.7% 69.5% 61.1% Bid-Ask Spread % 5.50 3.96 9.25 7.17 4.64 Gamma HHI 0.15 0.09 0.27 0.19 0.09 Net GEX 829.6K 455.7K 1.8M 610.5K 455.7K Net DEX -65.8M -118.4M 2.4M -5.0M -92.2M Net VEX -399.1K -441.0K -330.7K -349.5K -439.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.46 0.07 1.55 0.17 0.34 Total Volume 11,739.65 3,694 20,984 9,953 19,469 Total OI 186,498.45 173,130 197,504 173,130 189,982
Daily Data (20 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 2020-11-02 $13.62 $13.00 62.6% 18.9% 52.7% 16.0% 67.5% 10.5% -1.3% 610.5K -5.0M -349.5K 0.17 7.17 N/A N/A 8,502 1,451 94,004 79,126 2020-11-03 $13.82 $13.00 63.0% 19.3% 52.0% 16.2% 65.6% 11.7% -0.4% 624.2K -9.1M -354.2K 0.19 5.96 N/A N/A 5,227 1,012 94,004 79,126 2020-11-04 $13.24 $13.00 58.5% 17.1% 53.2% 13.6% 61.5% 10.2% -1.1% 731.6K 2.4M -330.7K 0.46 6.54 N/A N/A 2,537 1,157 97,947 79,987 2020-11-05 $14.11 $13.00 59.1% 17.1% 56.5% 14.0% 58.3% 5.1% 0.0% 993.8K -15.6M -354.0K 0.07 9.25 N/A N/A 19,701 1,283 98,585 80,348 2020-11-06 $14.49 $13.00 55.4% 16.6% 56.8% 11.8% 56.9% 5.4% 0.8% 1.8M -36.3M -393.2K 0.17 6.17 N/A N/A 6,320 1,049 113,303 80,393 2020-11-09 $15.86 $13.00 55.0% 15.8% 63.9% 11.6% 55.5% 5.0% 0.5% 946.3K -56.1M -400.3K 0.29 7.60 N/A N/A 10,715 3,114 106,993 78,527 2020-11-10 $15.97 $13.00 56.6% 16.4% 63.9% 12.5% 58.9% 5.6% 0.9% 988.1K -56.8M -403.1K 1.33 5.05 N/A N/A 4,390 5,849 107,294 79,548 2020-11-11 $15.74 $13.00 54.8% 15.5% 64.0% 11.4% 55.0% 5.6% -1.7% 932.6K -50.7M -402.8K 0.41 4.36 N/A N/A 5,194 2,127 107,269 83,480 2020-11-12 $15.56 $14.00 56.5% 16.0% 57.1% 12.4% 56.2% 4.3% -0.2% 839.6K -42.7M -396.5K 0.37 5.64 N/A N/A 5,392 2,014 105,077 84,467 2020-11-13 $16.61 $13.00 55.0% 15.8% 59.8% 11.5% 57.1% 4.3% 0.4% 855.7K -65.7M -398.3K 0.23 4.29 N/A N/A 6,775 1,563 104,869 84,332 2020-11-16 $17.54 $14.00 52.5% 15.1% 61.4% 10.1% 54.1% 3.8% 0.1% 626.3K -75.8M -381.5K 0.17 3.97 N/A N/A 12,688 2,212 99,333 82,283 2020-11-17 $18.18 $14.00 55.7% 16.0% 61.8% 12.0% 56.0% 5.6% -1.1% 673.5K -83.1M -393.6K 0.15 4.06 N/A N/A 15,915 2,415 98,945 83,043 2020-11-18 $18.47 $14.00 55.1% 15.8% 60.8% 11.6% 56.8% 4.8% -1.8% 865.2K -93.2M -416.0K 0.48 8.38 N/A N/A 9,214 4,430 106,932 84,272 2020-11-19 $18.91 $14.00 54.5% 15.7% 60.9% 11.3% 56.4% 4.2% -1.5% 769.2K -100.1M -419.7K 1.55 4.18 N/A N/A 4,060 6,276 108,011 86,145 2020-11-20 $18.91 $15.00 52.0% 15.0% 60.6% 9.8% 53.9% 3.6% -0.4% 749.6K -99.2M -422.4K 0.91 4.73 N/A N/A 5,587 5,062 108,814 88,499 2020-11-23 $19.87 $15.00 52.5% 15.3% 57.6% 10.1% 54.4% 6.7% -0.2% 742.6K -99.4M -412.7K 0.61 4.20 N/A N/A 7,891 4,804 99,128 81,825 2020-11-24 $20.76 $14.00 55.3% 15.9% 57.9% 11.7% 57.4% 6.3% -1.6% 940.5K -118.4M -431.6K 0.38 4.55 N/A N/A 11,040 4,216 102,175 83,288 2020-11-25 $20.37 $15.00 55.9% 15.8% 53.0% 12.1% 58.9% 3.1% -1.3% 930.2K -110.8M -440.5K 0.67 5.29 N/A N/A 10,116 6,735 105,407 85,704 2020-11-27 $20.40 $18.50 56.0% 16.4% 53.6% 12.2% 58.1% 3.6% -1.0% 540.9K -108.7M -441.0K 0.30 3.96 N/A N/A 5,591 1,700 105,727 91,777 2020-11-30 $19.90 $18.50 57.8% 17.3% 56.2% 13.2% 63.3% 4.5% 1.1% 455.7K -92.2M -439.7K 0.34 4.64 N/A N/A 14,569 4,900 102,055 87,927
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