AA Options History — May 2021

In May 2021, AA traded between $35.16 and $41.62. ATM implied volatility averaged 54.9%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded below realized volatility by 1.9% (HV 20d: 56.7%). Max pain ranged from $30.00 to $37.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.65.

Notable Days

  • 2021-05-10: Highest Volume — 42,734 contracts
  • 2021-05-10: Largest IV spike — 11.2% change
  • 2021-05-13: Highest IV Rank — 27.4%
  • 2021-05-12: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.76$35.16$41.62$37.75$39.50
Max Pain$34.80$30.00$37.00$30.00$37.00
ATM IV54.9%50.2%59.9%51.4%52.2%
Expected Move15.7%14.3%17.4%14.4%14.3%
HV 20d56.7%42.0%62.4%55.0%62.3%
HV 60d68.6%61.9%71.3%69.7%61.9%
IV Rank12.9%0.0%27.4%1.6%5.7%
IV Percentile12.5%0.0%32.9%0.8%3.2%
Term Structure0.1%-2.3%1.5%0.6%1.3%
VWIV55.1%50.4%61.5%50.5%50.4%
Skew 25d-0.1%-2.6%2.7%-0.1%-1.0%
Skew 10d1.8%-5.7%10.4%8.9%-3.3%
Call IV 25d55.9%50.7%63.2%51.0%54.0%
Put IV 25d55.8%49.7%60.6%50.9%53.0%
Bid-Ask Spread %11.995.2819.999.285.28
Gamma HHI0.110.090.170.110.13
Net GEX3.8M1.7M6.8M4.1M4.7M
Net DEX-343.3M-468.8M-166.2M-348.3M-322.4M
Net VEX-1.1M-1.3M-931.0K-970.9K-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.271.000.770.48
Total Volume18,4879,71442,73410,54114,510
Total OI255,650.65228,503290,510228,560264,451

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$37.75$30.0051.4%14.4%55.0%1.6%50.5%-0.1%0.6%4.1M-348.3M-970.9K0.779.28N/AN/A5,9494,592139,14589,415
2021-05-04$39.03$30.0052.0%15.2%55.4%3.2%52.9%-1.1%-0.7%4.4M-392.0M-931.0K0.276.92N/AN/A17,5314,703140,76690,831
2021-05-05$40.57$30.0052.4%15.2%56.0%4.4%53.5%-0.2%-0.3%4.6M-440.0M-1.0M0.7311.81N/AN/A13,87910,074147,57991,340
2021-05-06$39.69$34.0052.5%15.1%57.1%4.7%53.2%-0.1%-0.4%4.3M-410.5M-1.0M1.0016.49N/AN/A7,0627,047151,98197,282
2021-05-07$41.11$34.0050.2%14.8%57.5%0.0%51.0%-1.0%0.8%6.8M-468.8M-981.2K0.5513.25N/AN/A11,9946,608153,92698,645
2021-05-10$41.38$34.0055.8%15.5%57.6%15.8%54.6%0.4%-2.3%4.3M-454.9M-973.4K0.5511.84N/AN/A27,63615,098148,69292,511
2021-05-11$41.62$34.0057.3%16.3%57.2%20.2%57.2%2.7%-0.4%3.8M-455.5M-1.1M0.9611.48N/AN/A10,2469,808155,203102,158
2021-05-12$39.43$35.0059.3%17.4%59.5%25.8%61.5%-2.6%1.5%3.2M-375.0M-1.2M0.6514.92N/AN/A8,7665,665159,093107,126
2021-05-13$39.45$35.0059.9%17.2%59.0%27.4%60.6%-1.1%-0.1%3.4M-377.0M-1.2M0.9319.99N/AN/A7,0366,547161,506109,142
2021-05-14$39.63$35.0056.3%16.3%53.1%17.2%57.0%-0.9%1.2%3.8M-385.0M-1.2M0.5217.14N/AN/A7,3603,810162,839110,443
2021-05-17$40.41$35.0057.8%16.6%53.3%21.4%57.8%1.0%0.4%3.7M-414.3M-1.1M0.4912.06N/AN/A6,5403,174157,099107,491
2021-05-18$40.27$36.0056.3%16.2%42.0%17.2%56.5%0.6%0.0%4.1M-413.6M-1.1M0.446.36N/AN/A7,7353,372159,775109,167
2021-05-19$35.90$37.0059.6%17.1%60.1%26.5%60.4%0.2%-1.5%2.0M-239.5M-1.2M0.4613.62N/AN/A22,21710,311160,889110,889
2021-05-20$35.93$36.0057.0%16.3%59.3%19.2%58.4%-0.4%-0.0%2.7M-248.0M-1.2M0.9615.87N/AN/A9,1138,735170,993112,488
2021-05-21$36.19$37.0055.0%15.7%58.1%13.7%55.5%-0.9%0.1%4.3M-252.0M-1.2M0.8613.56N/AN/A10,6939,156173,542116,968
2021-05-24$36.72$37.0053.9%15.4%54.7%10.6%54.3%0.1%-1.1%2.4M-212.1M-1.2M0.7810.34N/AN/A8,2536,448131,16997,334
2021-05-25$35.16$37.0053.4%14.9%56.8%9.2%53.0%1.3%1.2%1.7M-166.2M-1.2M0.818.54N/AN/A9,1177,419133,867101,448
2021-05-26$36.53$36.5052.6%14.6%58.6%6.8%51.4%1.3%0.7%2.6M-205.1M-1.2M0.4312.52N/AN/A9,3573,979136,774106,576
2021-05-27$38.84$36.5052.7%14.7%62.4%7.0%51.5%-1.2%0.5%4.1M-286.4M-1.3M0.308.47N/AN/A21,6286,572141,648110,822
2021-05-28$39.50$37.0052.2%14.3%62.3%5.7%50.4%-1.0%1.3%4.7M-322.4M-1.3M0.485.28N/AN/A9,8004,710151,794112,657