AA Options History — January 2021

In January 2021, AA traded between $17.88 and $25.28. ATM implied volatility averaged 65.7%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded above realized volatility by 12.3% (HV 20d: 53.4%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.53.

Notable Days

  • 2021-01-21: Highest Volume — 102,195 contracts
  • 2021-01-27: Largest IV spike — 8.9% change
  • 2021-01-11: Highest IV Rank — 19.9%
  • 2021-01-27: Largest Expected Move — 20.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.28$17.88$25.28$23.22$17.88
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV65.7%58.5%70.1%69.1%70.1%
Expected Move18.4%16.6%20.3%18.8%20.1%
HV 20d53.4%36.0%68.7%53.8%65.9%
HV 60d59.6%54.6%65.3%56.4%64.2%
IV Rank17.1%12.7%19.9%19.8%17.3%
IV Percentile53.0%25.4%64.3%63.1%64.3%
Term Structure-1.1%-4.2%4.8%-1.4%-4.2%
VWIV65.5%58.4%73.0%66.1%73.0%
Skew 25d3.3%-4.4%11.2%3.7%2.3%
Skew 10d6.7%-0.2%15.1%10.6%11.3%
Call IV 25d65.9%58.2%74.2%68.7%69.6%
Put IV 25d69.2%61.3%77.6%72.4%71.9%
Bid-Ask Spread %6.524.6011.386.078.45
Gamma HHI0.220.070.700.260.08
Net GEX3.3M-1.1M10.5M3.2M275.1K
Net DEX-144.3M-283.7M-1.1M-191.9M-1.1M
Net VEX-519.1K-566.0K-436.3K-501.5K-548.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.121.080.160.82
Total Volume23,262.5797,490102,19518,53813,517
Total OI249,335.947162,873298,059253,545254,236

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$23.22$20.0069.1%18.8%53.8%19.8%66.1%3.7%-1.4%3.2M-191.9M-501.5K0.166.07N/AN/A15,9172,621151,727101,818
2021-01-05$23.78$20.0067.8%18.6%46.2%19.1%68.6%3.4%-0.9%3.8M-212.0M-497.5K0.487.37N/AN/A5,1732,485153,837102,895
2021-01-06$25.16$20.0066.3%18.2%49.2%18.2%64.9%-4.4%-1.4%4.2M-263.2M-472.1K0.1911.38N/AN/A14,7652,806154,195103,922
2021-01-07$25.28$20.0067.3%18.5%49.2%18.8%64.0%2.1%-2.0%4.6M-272.5M-480.4K0.124.60N/AN/A26,7763,104158,153105,321
2021-01-08$25.05$20.0067.0%18.3%47.9%18.6%65.8%2.8%-1.0%7.5M-277.4M-555.2K0.476.68N/AN/A8,2503,890177,872107,793
2021-01-11$24.62$20.0069.2%18.9%43.7%19.9%66.5%2.4%-3.0%5.1M-253.4M-532.5K0.206.65N/AN/A9,6761,902172,728108,752
2021-01-12$25.05$20.0067.8%18.6%39.0%19.1%65.7%4.3%-2.8%5.5M-273.9M-538.9K0.505.77N/AN/A7,3443,658177,297109,739
2021-01-13$24.40$20.0067.7%18.8%36.0%19.0%67.6%2.8%-2.2%6.1M-249.0M-539.7K1.086.21N/AN/A5,5035,960181,231111,025
2021-01-14$25.16$20.0067.3%18.5%36.7%18.8%67.3%4.0%-3.0%6.5M-283.7M-541.4K0.555.85N/AN/A4,8242,666181,612116,371
2021-01-15$23.18$20.0066.1%18.3%47.1%18.0%65.2%4.3%-2.5%10.5M-197.9M-516.4K0.366.42N/AN/A11,3314,026180,049118,010
2021-01-19$23.02$20.0063.5%18.1%46.8%16.5%63.5%3.6%0.7%2.0M-86.9M-496.2K1.005.66N/AN/A8,4318,472104,75758,116
2021-01-20$23.02$20.0060.9%17.4%46.7%15.0%62.0%2.9%0.6%2.2M-88.6M-491.0K1.036.04N/AN/A16,30216,799109,52063,977
2021-01-21$20.05$20.0059.4%17.0%68.2%13.7%60.1%2.3%1.4%50.9K-10.6M-436.3K0.355.16N/AN/A75,61826,577123,28571,424
2021-01-22$19.44$20.0058.5%16.6%68.7%12.7%58.4%3.1%1.5%-1.1M-6.7M-519.1K0.404.61N/AN/A38,07215,061151,80085,432
2021-01-25$19.27$20.0061.1%17.3%67.4%13.0%61.8%2.1%-0.4%925.3K-28.6M-548.8K0.696.89N/AN/A10,9437,539146,30477,752
2021-01-26$18.71$20.0063.2%17.7%67.6%13.8%62.8%5.3%-1.9%612.0K-15.4M-539.1K0.536.00N/AN/A9,0554,791150,11982,154
2021-01-27$18.37$20.0068.9%20.3%67.2%17.3%70.8%4.9%-3.2%592.6K-10.8M-541.3K0.926.33N/AN/A12,50111,497154,31084,356
2021-01-28$18.60$20.0067.5%19.7%67.6%16.2%70.3%11.2%4.8%772.0K-18.1M-566.0K0.287.81N/AN/A18,8025,335156,94288,552
2021-01-29$17.88$20.0070.1%20.1%65.9%17.3%73.0%2.3%-4.2%275.1K-1.1M-548.9K0.828.45N/AN/A7,4466,071162,53591,701