AA Options History — September 2021 In September 2021, AA traded between $45.36 and $51.89. ATM implied volatility averaged 58.4%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded below realized volatility by 3.7% (HV 20d: 62.2%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.73.
Notable Days 2021-09-10 : Highest Volume — 73,917 contracts2021-09-20 : Largest IV spike — 13.7% change2021-09-20 : Highest IV Rank — 66.9%2021-09-30 : Largest Expected Move — 19.6%Monthly Statistics Metric Avg Min Max Open Close Price $48.53 $45.36 $51.89 $45.36 $49.16 Max Pain $37.52 $35.00 $40.00 $38.00 $40.00 ATM IV 58.4% 51.8% 67.3% 52.1% 62.8% Expected Move 17.2% 14.5% 19.6% 14.5% 19.6% HV 20d 62.2% 52.9% 72.0% 71.4% 55.0% HV 60d 62.1% 59.8% 63.8% 61.0% 63.8% IV Rank 36.0% 12.8% 66.9% 13.9% 51.2% IV Percentile 47.6% 9.5% 89.7% 11.1% 71.0% Term Structure 0.4% -1.4% 4.0% -0.1% -0.5% VWIV 61.1% 51.0% 69.7% 51.0% 69.7% Skew 25d 1.0% -1.4% 3.5% 1.1% 2.3% Skew 10d 1.1% -5.8% 7.5% 1.5% -1.8% Call IV 25d 59.1% 52.5% 66.7% 52.5% 63.4% Put IV 25d 60.0% 53.2% 70.1% 53.6% 65.6% Bid-Ask Spread % 18.02 3.40 34.35 7.34 18.58 Gamma HHI 0.15 0.10 0.33 0.13 0.12 Net GEX 7.9M 2.6M 12.7M 9.8M 5.9M Net DEX -558.1M -795.6M -330.6M -499.3M -502.4M Net VEX -2.3M -2.6M -2.1M -2.2M -2.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.73 0.29 1.53 0.31 0.70 Total Volume 32,466.857 12,043 73,917 43,604 15,732 Total OI 409,652.619 371,487 446,671 371,487 440,442
Daily Data (21 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 2021-09-01 $45.36 $38.00 52.1% 14.5% 71.4% 13.9% 51.0% 1.1% -0.1% 9.8M -499.3M -2.2M 0.31 7.34 N/A N/A 33,294 10,310 206,746 164,741 2021-09-02 $47.00 $35.00 52.3% 15.9% 72.0% 14.6% 56.3% -1.4% 1.9% 10.5M -574.2M -2.2M 0.43 16.51 N/A N/A 38,210 16,445 207,163 174,929 2021-09-03 $47.05 $35.00 51.8% 15.8% 70.4% 12.8% 57.6% 0.3% 0.9% 10.9M -587.4M -2.2M 0.79 7.17 N/A N/A 13,481 10,699 211,062 179,218 2021-09-07 $46.74 $35.00 53.2% 16.0% 70.5% 17.8% 57.1% 1.0% 2.6% 9.1M -540.2M -2.2M 0.38 30.26 N/A N/A 14,511 5,535 211,889 180,359 2021-09-08 $45.77 $35.00 53.8% 16.2% 65.8% 19.9% 57.5% 0.0% 2.8% 8.6M -486.7M -2.3M 0.29 34.35 N/A N/A 15,518 4,539 216,750 185,325 2021-09-09 $47.84 $35.00 53.7% 16.2% 67.3% 19.4% 57.6% 0.9% 4.0% 9.9M -599.2M -2.2M 0.58 21.55 N/A N/A 16,377 9,560 218,467 188,250 2021-09-10 $49.59 $35.00 55.0% 16.5% 68.3% 24.1% 58.1% 1.1% 3.9% 10.4M -684.3M -2.1M 0.44 29.45 N/A N/A 51,179 22,738 217,149 188,949 2021-09-13 $49.31 $35.00 57.0% 16.5% 68.4% 31.1% 59.5% -1.1% 0.8% 8.7M -636.0M -2.1M 0.64 7.09 N/A N/A 27,728 17,645 209,580 184,870 2021-09-14 $48.07 $37.00 58.2% 16.8% 67.3% 35.3% 59.6% -0.3% -0.3% 9.1M -588.0M -2.2M 1.53 11.22 N/A N/A 7,921 12,132 221,206 191,120 2021-09-15 $51.89 $37.00 58.5% 16.8% 68.8% 36.3% 59.0% -0.4% 0.7% 10.4M -795.6M -2.2M 0.37 18.77 N/A N/A 31,961 11,723 230,917 199,935 2021-09-16 $49.44 $37.00 58.0% 16.6% 72.0% 34.3% 59.7% 0.0% 0.7% 12.7M -661.2M -2.2M 1.44 18.30 N/A N/A 12,902 18,526 232,228 203,646 2021-09-17 $48.98 $38.00 59.2% 17.0% 55.4% 38.7% 59.8% 0.6% -0.5% 7.8M -611.6M -2.3M 0.95 4.93 N/A N/A 12,449 11,837 239,193 207,478 2021-09-20 $47.97 $38.00 67.3% 19.3% 56.7% 66.9% 67.9% 3.3% -1.2% 3.9M -420.5M -2.4M 1.12 15.81 N/A N/A 20,408 22,936 190,443 182,425 2021-09-21 $45.86 $38.00 66.8% 19.1% 52.9% 65.0% 67.6% 2.4% -1.4% 2.6M -330.6M -2.4M 0.91 26.72 N/A N/A 22,016 20,123 193,472 187,249 2021-09-22 $48.16 $40.00 63.0% 18.1% 54.7% 51.8% 63.6% 0.7% -1.4% 4.1M -429.2M -2.4M 0.53 27.90 N/A N/A 29,406 15,560 201,027 200,422 2021-09-23 $48.62 $40.00 60.8% 17.4% 54.6% 44.0% 61.6% 1.5% -1.2% 5.1M -466.1M -2.4M 0.72 21.83 N/A N/A 6,994 5,049 207,218 209,629 2021-09-24 $48.75 $40.00 59.9% 17.3% 54.0% 41.1% 60.8% 1.4% -0.9% 5.1M -492.1M -2.6M 0.41 25.96 N/A N/A 17,398 7,088 225,382 216,825 2021-09-27 $51.53 $40.00 59.5% 18.0% 53.3% 39.7% 63.6% 1.2% -1.2% 7.3M -617.0M -2.4M 0.75 5.45 N/A N/A 21,294 15,892 211,354 205,510 2021-09-28 $51.22 $40.00 62.6% 19.1% 53.4% 50.6% 69.1% 2.1% -1.1% 7.3M -611.3M -2.5M 1.30 3.40 N/A N/A 8,933 11,573 215,908 208,182 2021-09-29 $50.78 $40.00 61.6% 18.8% 53.7% 47.1% 66.7% 3.5% -0.7% 7.5M -588.1M -2.5M 0.67 25.85 N/A N/A 8,490 5,692 220,593 215,454 2021-09-30 $49.16 $40.00 62.8% 19.6% 55.0% 51.2% 69.7% 2.3% -0.5% 5.9M -502.4M -2.6M 0.70 18.58 N/A N/A 9,263 6,469 222,494 217,948
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