AA Options History — March 2021 In March 2021, AA traded between $26.05 and $32.92. ATM implied volatility averaged 66.9%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 19.2%. IV traded below realized volatility by 16.2% (HV 20d: 83.1%). Max pain ranged from $19.00 to $24.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.42.
Notable Days 2021-03-03 : Highest Volume — 103,114 contracts2021-03-26 : Largest IV spike — 10.0% change2021-03-29 : Highest IV Rank — 37.4%2021-03-29 : Largest Expected Move — 22.3%Monthly Statistics Metric Avg Min Max Open Close Price $30.36 $26.05 $32.92 $26.05 $32.69 Max Pain $20.17 $19.00 $24.00 $23.00 $21.00 ATM IV 66.9% 62.1% 76.8% 64.1% 66.4% Expected Move 19.2% 16.9% 22.3% 18.7% 20.6% HV 20d 83.1% 64.4% 91.6% 64.4% 76.0% HV 60d 70.5% 64.2% 75.6% 64.2% 75.6% IV Rank 12.8% 6.5% 37.4% 8.2% 21.6% IV Percentile 55.6% 36.1% 82.1% 45.6% 58.7% Term Structure 0.0% -9.9% 8.0% -4.2% -1.1% VWIV 68.2% 60.4% 78.5% 65.3% 71.9% Skew 25d 1.0% -4.8% 8.3% 1.0% -4.8% Skew 10d -2.1% -35.6% 12.5% -0.2% -3.0% Call IV 25d 69.2% 63.8% 79.0% 65.4% 72.5% Put IV 25d 70.2% 63.2% 83.6% 66.4% 67.7% Bid-Ask Spread % 21.30 6.77 48.31 12.08 7.58 Gamma HHI 0.16 0.12 0.22 0.12 0.19 Net GEX 5.7M 4.0M 7.5M 4.3M 6.5M Net DEX -380.9M -486.2M -213.6M -243.5M -421.1M Net VEX -964.0K -1.1M -833.8K -833.8K -1.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.42 0.08 1.67 0.14 0.81 Total Volume 29,525.522 11,329 103,114 42,564 16,002 Total OI 288,958.565 243,939 315,211 243,939 292,149
Daily Data (23 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 2021-03-01 $26.05 $23.00 64.1% 18.7% 64.4% 8.2% 65.3% 1.0% -4.2% 4.3M -243.5M -833.8K 0.14 12.08 N/A N/A 37,310 5,254 169,955 73,984 2021-03-02 $27.62 $23.00 65.0% 18.7% 65.0% 8.8% 66.4% 2.1% -1.9% 6.4M -319.4M -869.0K 0.45 10.83 N/A N/A 16,948 7,687 186,051 77,970 2021-03-03 $31.12 $24.00 70.2% 20.1% 74.1% 12.1% 71.9% 0.4% -4.4% 4.4M -445.6M -856.6K 0.16 35.23 N/A N/A 89,048 14,066 186,932 82,053 2021-03-04 $28.80 $19.00 72.3% 20.8% 82.2% 13.5% 72.3% 8.3% 1.5% 6.2M -370.9M -1.0M 0.29 46.36 N/A N/A 33,173 9,558 215,901 87,538 2021-03-05 $28.95 $19.00 70.5% 19.8% 82.3% 12.3% 70.1% 3.6% -3.5% 5.4M -386.5M -1.0M 0.36 40.30 N/A N/A 20,302 7,343 220,919 88,915 2021-03-08 $28.66 $19.00 67.7% 20.8% 82.8% 10.5% 71.6% 2.8% 8.0% 5.3M -332.6M -981.2K 0.38 48.31 N/A N/A 8,668 3,302 202,294 84,887 2021-03-09 $29.91 $19.00 65.0% 19.0% 82.8% 8.8% 67.3% -0.0% 1.4% 5.7M -382.4M -980.2K 0.22 20.52 N/A N/A 9,974 2,165 203,991 86,524 2021-03-10 $32.14 $19.00 65.2% 18.9% 84.9% 8.9% 67.1% -0.4% 0.5% 5.6M -480.1M -929.2K 0.20 11.42 N/A N/A 27,228 5,322 205,391 87,138 2021-03-11 $32.39 $19.00 63.2% 18.3% 84.2% 7.6% 65.8% -0.8% 1.5% 6.1M -486.2M -951.9K 0.28 25.20 N/A N/A 12,863 3,659 208,058 89,484 2021-03-12 $31.51 $19.00 64.3% 18.5% 85.4% 8.4% 65.0% -0.3% 0.2% 5.5M -444.6M -952.5K 0.59 14.74 N/A N/A 10,415 6,117 208,653 91,410 2021-03-15 $31.01 $19.00 63.4% 18.2% 86.2% 7.8% 65.2% -0.4% 1.0% 6.1M -420.2M -934.0K 0.37 11.08 N/A N/A 8,251 3,078 204,833 86,983 2021-03-16 $29.40 $19.00 62.9% 18.1% 89.1% 7.4% 65.9% -1.4% 5.7% 6.0M -351.5M -932.6K 0.10 13.92 N/A N/A 34,756 3,538 205,677 89,077 2021-03-17 $31.40 $19.00 62.1% 17.8% 89.9% 6.5% 63.6% -1.3% 3.5% 7.3M -450.1M -989.5K 0.08 38.32 N/A N/A 36,377 2,743 219,346 90,174 2021-03-18 $31.17 $19.00 66.1% 18.8% 87.9% 9.1% 67.7% 0.4% 2.8% 7.5M -443.2M -983.3K 0.39 14.32 N/A N/A 23,598 9,160 223,874 91,337 2021-03-19 $31.17 $19.00 65.0% 18.0% 84.5% 8.4% 63.4% 0.2% 5.5% 6.2M -428.8M -975.5K 0.48 13.28 N/A N/A 17,540 8,503 219,085 94,556 2021-03-22 $30.58 $20.00 64.7% 16.9% 82.6% 8.2% 60.4% 2.1% -1.0% 5.4M -325.6M -945.7K 0.71 8.95 N/A N/A 11,856 8,444 187,041 68,589 2021-03-23 $27.63 $20.00 67.3% 18.0% 91.6% 9.9% 66.4% 5.7% -3.1% 4.0M -213.6M -916.0K 0.34 42.73 N/A N/A 28,851 9,951 193,618 75,372 2021-03-24 $28.84 $21.00 66.0% 17.0% 88.1% 9.1% 61.9% -1.1% -0.9% 4.6M -263.3M -959.3K 0.34 26.66 N/A N/A 20,761 7,024 201,512 80,973 2021-03-25 $29.68 $21.00 67.3% 19.4% 85.0% 9.9% 68.7% 7.3% 4.5% 5.0M -300.8M -994.3K 0.47 22.27 N/A N/A 13,925 6,531 203,592 84,003 2021-03-26 $32.47 $21.00 74.0% 22.0% 88.6% 33.1% 77.6% -3.8% -3.4% 5.7M -435.0M -1.0M 0.28 6.77 N/A N/A 35,066 9,890 208,891 85,771 2021-03-29 $32.07 $21.00 76.8% 22.3% 88.1% 37.4% 78.5% 3.4% -9.9% 5.3M -389.7M -1.1M 0.50 10.36 N/A N/A 12,581 6,349 204,153 83,923 2021-03-30 $32.92 $21.00 69.8% 21.3% 86.4% 26.7% 74.7% 0.0% -2.4% 5.9M -426.8M -1.0M 1.67 8.67 N/A N/A 5,211 8,699 206,343 87,127 2021-03-31 $32.69 $21.00 66.4% 20.6% 76.0% 21.6% 71.9% -4.8% -1.1% 6.5M -421.1M -1.0M 0.81 7.58 N/A N/A 8,825 7,177 207,554 84,595
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