AA Options History — December 2020 In December 2020, AA traded between $21.62 and $24.04. ATM implied volatility averaged 61.1%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded below realized volatility by 0.7% (HV 20d: 61.8%). Max pain ranged from $16.00 to $18.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.60.
Notable Days 2020-12-29 : Highest Volume — 44,413 contracts2020-12-07 : Largest IV spike — 6.3% change2020-12-31 : Highest IV Rank — 17.5%2020-12-21 : Largest Expected Move — 19.7%Monthly Statistics Metric Avg Min Max Open Close Price $22.47 $21.62 $24.04 $21.88 $23.16 Max Pain $16.30 $16.00 $18.50 $18.50 $17.50 ATM IV 61.1% 55.9% 65.2% 57.6% 65.2% Expected Move 17.5% 16.0% 19.7% 16.9% 16.0% HV 20d 61.8% 54.2% 66.4% 60.7% 54.2% HV 60d 58.9% 56.8% 62.8% 57.7% 56.8% IV Rank 15.1% 12.0% 17.5% 13.1% 17.5% IV Percentile 46.1% 31.3% 55.6% 36.1% 55.6% Term Structure 0.3% -4.5% 3.7% -1.2% -1.1% VWIV 62.7% 56.4% 72.3% 61.1% 56.4% Skew 25d 3.7% -4.0% 6.5% 6.5% 3.1% Skew 10d 10.2% 2.3% 38.7% 13.1% 10.8% Call IV 25d 60.8% 53.8% 68.4% 55.4% 65.0% Put IV 25d 64.5% 57.8% 69.8% 61.9% 68.1% Bid-Ask Spread % 5.43 3.09 11.13 6.65 6.22 Gamma HHI 0.18 0.09 0.29 0.09 0.29 Net GEX 2.0M 877.6K 3.4M 877.6K 3.4M Net DEX -166.5M -215.8M -137.5M -141.1M -195.3M Net VEX -526.5K -568.3K -463.5K -463.5K -519.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.60 0.14 3.00 0.20 0.37 Total Volume 14,138.955 2,701 44,413 34,946 6,609 Total OI 240,134.364 200,789 257,051 200,789 257,051
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 2020-12-01 $21.88 $18.50 57.6% 16.9% 60.7% 13.1% 61.1% 6.5% -1.2% 877.6K -141.1M -463.5K 0.20 6.65 N/A N/A 29,192 5,754 108,883 91,906 2020-12-02 $22.39 $18.50 57.7% 17.1% 60.6% 13.1% 72.3% 5.3% 1.2% 1.4M -171.5M -525.0K 3.00 5.38 N/A N/A 6,362 19,112 126,507 95,526 2020-12-03 $22.01 $16.00 55.9% 16.6% 57.4% 12.0% 58.5% 5.6% 1.9% 1.3M -160.9M -547.0K 0.17 4.58 N/A N/A 22,218 3,670 128,896 100,895 2020-12-04 $23.85 $16.00 56.6% 17.6% 59.2% 12.5% 61.2% 3.4% 0.8% 1.5M -206.6M -524.3K 0.86 3.62 N/A N/A 12,112 10,405 128,685 102,024 2020-12-07 $23.24 $16.00 60.1% 18.0% 62.0% 14.6% 62.9% 5.6% 2.9% 1.3M -179.3M -538.8K 0.14 7.60 N/A N/A 17,268 2,488 126,638 101,032 2020-12-08 $23.29 $16.00 59.2% 18.0% 57.1% 14.0% 62.1% 4.6% 3.1% 1.9M -191.1M -568.3K 0.31 6.21 N/A N/A 6,283 1,924 139,448 102,360 2020-12-09 $22.62 $16.00 60.4% 17.8% 59.6% 14.7% 62.2% 4.6% 1.8% 1.7M -171.6M -567.3K 0.18 6.36 N/A N/A 6,169 1,087 140,425 103,356 2020-12-10 $24.04 $16.00 59.8% 17.5% 60.2% 14.4% 64.2% 5.9% 2.0% 2.4M -215.8M -546.2K 0.30 3.83 N/A N/A 10,373 3,120 140,757 103,715 2020-12-11 $22.80 $16.00 59.3% 17.7% 64.8% 14.0% 62.7% 3.9% 3.7% 1.6M -178.4M -551.2K 0.35 4.75 N/A N/A 7,502 2,655 143,604 104,267 2020-12-14 $21.76 $16.00 60.3% 17.4% 66.4% 14.7% 63.8% 4.8% -1.5% 1.7M -148.7M -534.4K 0.50 3.09 N/A N/A 7,583 3,787 143,675 101,712 2020-12-15 $22.20 $16.00 62.5% 18.1% 64.7% 15.9% 65.6% 2.0% 0.1% 2.0M -162.2M -526.0K 1.46 3.83 N/A N/A 3,532 5,146 144,283 102,514 2020-12-16 $21.62 $16.00 62.4% 17.9% 65.4% 15.8% 64.1% 4.5% -3.9% 1.7M -140.7M -526.7K 0.74 4.00 N/A N/A 8,232 6,122 144,768 102,869 2020-12-17 $22.07 $16.00 62.3% 17.6% 65.5% 15.8% 63.1% 2.3% -4.5% 2.2M -158.4M -532.9K 0.39 4.01 N/A N/A 7,624 2,974 148,740 105,606 2020-12-18 $21.94 $16.00 62.4% 17.6% 65.4% 15.9% 64.3% 2.6% 3.0% 2.2M -156.3M -525.5K 0.48 3.34 N/A N/A 6,009 2,855 150,759 104,785 2020-12-21 $22.12 $16.00 64.1% 19.7% 65.4% 16.8% 68.5% 2.6% 2.2% 2.0M -151.3M -528.3K 1.33 7.78 N/A N/A 3,093 4,115 141,089 92,670 2020-12-22 $21.70 $16.00 62.5% 17.9% 64.1% 15.9% 63.1% 2.8% -1.1% 1.9M -137.5M -519.5K 0.31 5.61 N/A N/A 5,944 1,849 142,163 95,809 2020-12-23 $22.37 $16.00 63.7% 17.7% 63.2% 16.6% 62.7% -4.0% -1.7% 2.5M -160.5M -525.6K 0.21 4.70 N/A N/A 3,641 764 144,312 96,955 2020-12-24 $21.87 $16.00 61.0% 17.4% 63.4% 15.1% 61.2% 5.6% 0.5% 2.3M -145.2M -514.0K 0.39 4.96 N/A N/A 1,949 752 145,486 97,223 2020-12-28 $22.20 $16.00 62.6% 17.3% 63.5% 16.0% 62.0% 3.0% -0.1% 2.3M -153.2M -493.4K 0.66 6.51 N/A N/A 5,259 3,467 141,454 95,411 2020-12-29 $22.12 $16.00 64.0% 16.8% 62.7% 16.8% 59.9% 3.1% -1.0% 2.4M -149.3M -487.2K 0.64 11.13 N/A N/A 27,134 17,279 143,453 96,897 2020-12-30 $23.01 $16.00 65.2% 16.2% 54.7% 17.5% 57.3% 3.7% -1.2% 3.3M -187.9M -518.6K 0.23 5.37 N/A N/A 6,236 1,408 151,448 102,900 2020-12-31 $23.16 $17.50 65.2% 16.0% 54.2% 17.5% 56.4% 3.1% -1.1% 3.4M -195.3M -519.7K 0.37 6.22 N/A N/A 4,840 1,769 153,430 103,621
« Nov 2020 | All History | Jan 2021 » Home AA History December 2020