AA Options History — February 2021

In February 2021, AA traded between $18.80 and $27.20. ATM implied volatility averaged 62.6%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded below realized volatility by 3.5% (HV 20d: 66.1%). Max pain ranged from $20.00 to $23.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.24.

Notable Days

  • 2021-02-03: Highest Volume — 97,949 contracts
  • 2021-02-25: Largest IV spike — 11.1% change
  • 2021-02-03: Highest IV Rank — 14.8%
  • 2021-02-25: Largest Expected Move — 20.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.27$18.80$27.20$18.80$24.82
Max Pain$20.37$20.00$23.00$20.00$23.00
ATM IV62.6%58.6%70.9%65.3%64.5%
Expected Move18.1%16.8%20.3%18.9%19.7%
HV 20d66.1%54.2%71.3%69.3%66.6%
HV 60d62.4%59.2%66.3%64.8%66.3%
IV Rank11.1%7.4%14.8%14.0%8.4%
IV Percentile39.8%19.0%64.7%51.2%46.0%
Term Structure-0.3%-4.5%2.7%2.7%-1.5%
VWIV64.3%60.4%71.2%66.6%69.4%
Skew 25d-0.2%-3.0%5.6%5.6%-1.9%
Skew 10d-0.6%-23.5%42.1%42.1%5.3%
Call IV 25d63.8%60.1%70.5%60.2%70.5%
Put IV 25d63.6%59.7%71.6%65.8%68.6%
Bid-Ask Spread %14.076.2734.3934.397.89
Gamma HHI0.130.080.210.080.11
Net GEX4.1M756.2K6.0M756.2K3.6M
Net DEX-168.0M-311.9M-26.9M-26.9M-201.0M
Net VEX-710.0K-766.6K-563.7K-563.7K-752.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.080.480.440.11
Total Volume29,869.7898,73697,94921,52238,947
Total OI269,899.316223,628305,398232,894241,614

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-02-01$18.80$20.0065.3%18.9%69.3%14.0%66.6%5.6%2.7%756.2K-26.9M-563.7K0.4434.39N/AN/A14,9696,553142,24190,653
2021-02-02$19.09$20.0061.5%17.2%69.8%11.7%60.9%1.7%-1.6%1.2M-38.5M-568.3K0.3023.16N/AN/A17,6695,319150,52192,608
2021-02-03$19.79$20.0066.7%18.9%70.7%14.8%67.9%3.1%-1.0%2.1M-67.3M-607.5K0.0811.56N/AN/A90,6317,318155,08095,395
2021-02-04$20.27$20.0061.9%17.9%67.6%11.9%63.4%-0.8%0.2%3.6M-113.9M-738.1K0.176.74N/AN/A16,0492,763189,969100,071
2021-02-05$20.88$20.0059.5%17.6%68.9%10.5%62.2%-0.5%1.3%4.8M-140.6M-745.9K0.326.90N/AN/A17,1165,456192,259100,422
2021-02-08$21.79$20.0061.0%17.8%71.3%11.3%63.9%-2.1%1.0%4.2M-164.4M-738.6K0.2520.96N/AN/A21,9125,462182,15797,231
2021-02-09$21.79$20.0062.2%18.1%71.3%12.1%64.4%-2.4%1.8%4.4M-163.1M-733.1K0.1514.43N/AN/A26,7143,929183,47897,396
2021-02-10$21.54$20.0063.0%18.2%70.8%12.6%65.1%-2.3%0.2%4.5M-162.0M-735.4K0.107.79N/AN/A24,5412,552188,00499,836
2021-02-11$21.40$20.0061.8%17.6%70.4%11.9%63.2%-0.5%-0.8%5.0M-160.4M-766.6K0.2415.05N/AN/A17,2434,058200,890100,609
2021-02-12$21.52$20.0061.3%17.6%69.2%11.6%64.4%-2.1%0.6%5.4M-168.3M-750.5K0.1724.36N/AN/A14,7832,489203,795101,603
2021-02-16$22.55$20.0060.8%17.4%65.9%11.2%61.8%0.8%-0.8%5.3M-207.9M-735.4K0.1511.09N/AN/A17,0372,479198,52097,911
2021-02-17$22.05$20.0062.1%17.8%66.3%12.0%63.5%-0.7%-1.5%5.6M-185.6M-719.0K0.4814.55N/AN/A8,6354,139199,11998,308
2021-02-18$21.20$20.0058.6%16.8%67.6%9.9%60.4%-0.3%0.7%6.0M-142.0M-697.5K0.2314.41N/AN/A7,1011,635200,636100,730
2021-02-19$23.11$20.0060.5%17.2%54.2%9.8%61.7%-2.3%1.3%5.0M-234.0M-717.2K0.2011.32N/AN/A22,0574,373199,588101,343
2021-02-22$24.81$20.0062.1%18.0%56.7%9.9%63.4%-0.5%-2.2%4.1M-233.7M-713.7K0.2313.31N/AN/A41,8599,812160,28363,345
2021-02-23$25.02$21.0062.9%17.9%56.2%7.4%63.0%-0.3%-3.4%4.4M-231.6M-714.9K0.3612.09N/AN/A16,2115,889161,87066,630
2021-02-24$27.20$21.0063.8%18.6%59.1%8.0%65.5%-3.0%1.2%4.2M-311.9M-732.5K0.126.27N/AN/A44,9875,531166,13469,792
2021-02-25$25.55$22.0070.9%20.3%64.6%12.6%71.2%5.1%-4.5%4.4M-238.0M-759.7K0.4711.02N/AN/A19,9359,373165,41672,630
2021-02-26$24.82$23.0064.5%19.7%66.6%8.4%69.4%-1.9%-1.5%3.6M-201.0M-752.5K0.117.89N/AN/A35,1573,790163,97277,642