AA Options History — November 2021

In November 2021, AA traded between $46.00 and $52.16. ATM implied volatility averaged 56.4%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded below realized volatility by 9.5% (HV 20d: 66.0%). Max pain ranged from $47.00 to $49.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.59.

Notable Days

2021-11-11: Highest Volume — 98,944 contracts
2021-11-26: Largest IV spike — 16.2% change
2021-11-26: Highest IV Rank — 59.1%
2021-11-26: Largest Expected Move — 19.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.33	$46.00	$52.16	$47.06	$47.09
Max Pain	$47.19	$47.00	$49.00	$49.00	$47.00
ATM IV	56.4%	52.6%	65.1%	52.6%	62.9%
Expected Move	16.4%	15.6%	19.0%	15.8%	18.9%
HV 20d	66.0%	53.1%	82.5%	72.2%	59.3%
HV 60d	62.3%	59.7%	66.7%	65.2%	61.3%
IV Rank	28.9%	15.6%	59.1%	15.6%	51.4%
IV Percentile	43.1%	20.6%	84.9%	20.6%	75.8%
Term Structure	-0.1%	-1.2%	0.9%	-0.0%	0.6%
VWIV	57.7%	55.0%	67.2%	55.2%	66.5%
Skew 25d	0.0%	-1.9%	3.4%	0.9%	3.4%
Skew 10d	-0.4%	-5.3%	5.2%	3.9%	5.2%
Call IV 25d	57.2%	53.4%	66.3%	53.4%	62.1%
Put IV 25d	57.2%	54.2%	67.3%	54.2%	65.5%
Bid-Ask Spread %	4.20	3.23	6.13	3.27	3.75
Gamma HHI	0.11	0.08	0.21	0.11	0.09
Net GEX	8.5M	3.2M	16.9M	5.5M	6.4M
Net DEX	-334.0M	-726.9M	-141.9M	-192.7M	-246.7M
Net VEX	-3.1M	-3.2M	-2.9M	-2.9M	-3.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.25	1.05	0.54	0.69
Total Volume	48,081.619	23,979	98,944	34,458	59,063
Total OI	549,084.952	480,696	600,514	496,335	527,913

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
2021-11-01	$47.06	$49.00	52.6%	15.8%	72.2%	15.6%	55.2%	0.9%	-0.0%	5.5M	-192.7M	-2.9M	0.54	3.27	N/A	N/A	22,401	12,057	258,413	237,922
2021-11-02	$47.12	$48.00	53.5%	15.8%	72.2%	18.9%	55.9%	1.3%	0.3%	6.8M	-210.3M	-2.9M	0.59	4.11	N/A	N/A	27,552	16,263	266,152	240,694
2021-11-03	$47.46	$48.00	54.3%	16.1%	70.4%	21.6%	56.8%	0.1%	-0.5%	8.2M	-255.0M	-3.1M	0.40	3.23	N/A	N/A	21,685	8,757	281,944	250,574
2021-11-04	$46.00	$47.00	55.4%	15.9%	71.3%	25.2%	55.9%	-0.1%	-0.0%	5.5M	-147.1M	-3.0M	0.60	4.22	N/A	N/A	26,341	15,744	289,333	252,311
2021-11-05	$47.94	$47.00	56.0%	16.1%	72.4%	27.6%	56.5%	-0.1%	0.8%	16.9M	-321.4M	-3.2M	0.66	4.67	N/A	N/A	32,063	21,205	298,431	261,469
2021-11-08	$48.98	$47.00	56.7%	16.5%	72.3%	29.9%	57.7%	-0.3%	0.9%	10.1M	-409.4M	-3.2M	0.34	6.13	N/A	N/A	52,492	17,878	292,815	258,284
2021-11-09	$47.09	$47.00	55.6%	16.0%	73.8%	25.9%	56.3%	0.5%	0.7%	7.1M	-239.2M	-3.1M	0.88	4.16	N/A	N/A	31,245	27,368	304,149	263,868
2021-11-10	$46.11	$47.00	56.3%	15.8%	73.9%	28.5%	55.2%	0.1%	-1.2%	3.2M	-141.9M	-3.1M	0.40	3.50	N/A	N/A	25,102	10,123	304,663	271,806
2021-11-11	$51.02	$47.00	55.6%	15.9%	82.5%	26.0%	56.3%	-0.0%	-0.3%	16.1M	-616.2M	-3.1M	0.48	6.10	N/A	N/A	66,801	32,143	309,385	273,487
2021-11-12	$52.16	$47.00	55.8%	16.1%	64.5%	26.9%	56.9%	0.3%	0.6%	14.6M	-726.9M	-3.1M	0.30	4.01	N/A	N/A	67,182	20,063	316,193	278,487
2021-11-15	$50.53	$47.00	56.0%	16.1%	64.5%	27.6%	57.0%	-1.1%	-0.5%	12.5M	-524.6M	-3.2M	0.57	3.44	N/A	N/A	24,964	14,297	306,875	267,715
2021-11-16	$48.05	$47.00	55.3%	15.9%	63.9%	25.1%	56.1%	-1.3%	-0.1%	6.0M	-292.8M	-3.1M	0.92	3.31	N/A	N/A	21,078	19,416	318,215	272,646
2021-11-17	$47.88	$47.00	54.8%	15.7%	63.3%	23.2%	55.0%	-1.1%	-0.3%	5.9M	-271.0M	-3.1M	0.58	3.48	N/A	N/A	15,176	8,803	318,252	274,113
2021-11-18	$47.53	$47.00	54.4%	15.6%	61.2%	21.8%	55.0%	-0.4%	-0.4%	3.6M	-231.7M	-3.0M	0.76	4.02	N/A	N/A	16,848	12,853	320,406	274,974
2021-11-19	$47.49	$47.00	54.9%	15.9%	61.0%	23.7%	55.5%	-1.9%	-0.9%	4.7M	-224.8M	-3.0M	1.05	4.60	N/A	N/A	23,524	24,621	325,053	275,461
2021-11-22	$48.75	$47.00	55.3%	16.0%	60.2%	25.0%	57.1%	-1.7%	0.3%	6.8M	-353.1M	-3.0M	0.40	3.28	N/A	N/A	34,480	13,673	253,351	227,345
2021-11-23	$48.89	$47.00	57.6%	16.6%	59.4%	33.1%	59.0%	-1.2%	-0.6%	8.1M	-370.2M	-3.1M	0.25	4.20	N/A	N/A	34,465	8,569	264,974	232,075
2021-11-24	$50.44	$47.00	56.0%	16.2%	53.1%	27.5%	57.0%	0.3%	-0.6%	14.1M	-505.8M	-3.1M	0.25	4.69	N/A	N/A	49,561	12,399	278,485	234,183
2021-11-26	$47.99	$47.00	65.1%	19.0%	56.5%	59.1%	67.2%	1.1%	-0.9%	6.9M	-319.0M	-3.2M	0.99	5.58	N/A	N/A	17,438	17,299	292,796	238,016
2021-11-29	$49.31	$47.00	60.6%	17.7%	57.2%	43.3%	63.0%	2.0%	0.5%	9.7M	-414.7M	-3.1M	0.75	4.43	N/A	N/A	15,241	11,481	281,592	235,964
2021-11-30	$47.09	$47.00	62.9%	18.9%	59.3%	51.4%	66.5%	3.4%	0.6%	6.4M	-246.7M	-3.0M	0.69	3.75	N/A	N/A	34,886	24,177	287,505	240,408