AA Options History — December 2021 In December 2021, AA traded between $44.06 and $59.87. ATM implied volatility averaged 59.5%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded above realized volatility by 5.4% (HV 20d: 54.1%). Max pain ranged from $40.00 to $47.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.80.
Notable Days 2021-12-22 : Highest Volume — 102,075 contracts2021-12-20 : Largest IV spike — 9.9% change2021-12-03 : Highest IV Rank — 61.9%2021-12-01 : Largest Expected Move — 19.8%Monthly Statistics Metric Avg Min Max Open Close Price $52.51 $44.06 $59.87 $44.63 $59.87 Max Pain $42.00 $40.00 $47.00 $47.00 $44.00 ATM IV 59.5% 54.2% 65.9% 64.5% 58.4% Expected Move 17.7% 16.8% 19.8% 19.8% 16.9% HV 20d 54.1% 41.6% 62.4% 62.3% 41.6% HV 60d 60.6% 59.5% 62.3% 62.3% 59.5% IV Rank 39.7% 21.2% 61.9% 57.0% 35.7% IV Percentile 59.2% 30.6% 87.3% 82.5% 56.0% Term Structure 1.0% -1.3% 5.0% 3.0% -0.8% VWIV 63.2% 60.0% 70.1% 69.8% 60.0% Skew 25d 2.4% 0.9% 5.0% 4.0% 2.1% Skew 10d 5.3% 2.8% 9.4% 4.9% 4.3% Call IV 25d 59.3% 53.3% 64.4% 63.9% 58.6% Put IV 25d 61.8% 56.2% 69.5% 67.8% 60.7% Bid-Ask Spread % 5.58 3.67 13.85 5.04 7.52 Gamma HHI 0.12 0.07 0.24 0.08 0.24 Net GEX 10.8M -871.5K 22.5M 2.2M 22.5M Net DEX -540.6M -936.3M -35.1M -78.6M -906.1M Net VEX -2.8M -3.0M -2.4M -3.0M -2.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.80 0.24 1.46 0.57 0.73 Total Volume 38,215.818 17,070 102,075 61,396 24,050 Total OI 522,331.636 449,474 560,079 543,933 495,516
Daily Data (22 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 2021-12-01 $44.63 $47.00 64.5% 19.8% 62.3% 57.0% 69.8% 4.0% 3.0% 2.2M -78.6M -3.0M 0.57 5.04 N/A N/A 39,003 22,393 294,538 249,395 2021-12-02 $45.12 $47.00 63.9% 18.7% 62.4% 55.0% 66.7% 3.7% -0.3% 1.7M -101.6M -2.9M 0.92 4.90 N/A N/A 15,223 13,947 290,648 252,835 2021-12-03 $44.06 $47.00 65.9% 19.7% 62.0% 61.9% 70.1% 5.0% 0.9% -871.5K -35.1M -2.9M 0.61 5.09 N/A N/A 47,257 28,839 294,890 254,903 2021-12-06 $45.54 $40.00 62.6% 18.7% 61.3% 50.6% 66.1% 3.6% 0.5% 1.7M -142.0M -3.0M 1.06 5.48 N/A N/A 13,701 14,505 280,259 259,994 2021-12-07 $47.06 $40.00 57.1% 17.5% 62.0% 31.4% 61.8% 3.1% 1.5% 4.4M -249.6M -3.0M 0.45 4.49 N/A N/A 18,405 8,373 285,045 264,618 2021-12-08 $48.66 $40.00 55.5% 17.2% 61.6% 25.8% 61.8% 2.6% 0.5% 7.8M -372.2M -3.0M 0.94 7.20 N/A N/A 9,633 9,012 286,686 265,082 2021-12-09 $50.03 $40.00 55.9% 17.4% 61.6% 27.3% 62.7% 2.3% 0.7% 10.4M -484.8M -3.0M 0.86 4.35 N/A N/A 21,453 18,502 287,523 266,481 2021-12-10 $48.79 $40.00 54.2% 17.0% 50.5% 21.2% 60.7% 2.9% 1.1% 9.2M -364.6M -2.9M 0.89 5.74 N/A N/A 17,805 15,780 286,330 269,337 2021-12-13 $47.98 $40.00 56.0% 17.4% 49.9% 27.5% 63.5% 2.5% 5.0% 3.9M -270.8M -2.8M 1.46 4.51 N/A N/A 8,283 12,119 273,116 267,847 2021-12-14 $50.49 $40.00 57.6% 17.7% 52.4% 33.1% 62.0% 1.5% 3.8% 9.6M -482.1M -2.8M 0.49 3.67 N/A N/A 29,384 14,522 275,282 270,284 2021-12-15 $50.70 $40.00 57.4% 17.6% 49.0% 32.2% 62.0% 2.3% 3.6% 10.6M -499.9M -2.8M 1.30 9.61 N/A N/A 9,947 12,892 278,299 271,653 2021-12-16 $52.68 $40.00 59.3% 17.8% 50.5% 38.9% 62.9% 1.5% 3.6% 14.3M -653.2M -2.8M 0.30 4.77 N/A N/A 56,120 16,863 278,356 274,469 2021-12-17 $53.07 $40.00 58.0% 17.4% 50.3% 34.5% 62.1% 1.4% 4.1% 11.1M -678.6M -2.7M 0.59 13.85 N/A N/A 20,671 12,252 283,224 276,855 2021-12-20 $52.80 $40.00 63.8% 18.5% 50.4% 54.5% 66.0% 3.0% -0.5% 9.1M -487.2M -2.7M 0.72 4.12 N/A N/A 15,254 10,983 229,494 219,980 2021-12-21 $56.75 $42.00 61.8% 17.8% 55.3% 47.8% 63.3% 2.5% -0.2% 12.7M -728.9M -2.7M 0.28 4.95 N/A N/A 57,585 16,314 236,600 225,090 2021-12-22 $59.35 $42.00 60.7% 17.4% 56.8% 43.9% 62.1% 1.5% -1.3% 15.3M -900.2M -2.6M 0.24 5.07 N/A N/A 82,327 19,748 248,891 229,855 2021-12-23 $59.63 $43.00 59.8% 17.1% 56.3% 40.6% 62.1% 2.3% -0.1% 18.9M -936.3M -2.7M 0.95 4.22 N/A N/A 15,368 14,613 269,876 236,314 2021-12-27 $59.73 $43.00 60.8% 17.2% 52.0% 44.3% 61.6% 2.2% -1.1% 17.5M -876.5M -2.6M 0.70 5.02 N/A N/A 13,657 9,560 256,393 229,342 2021-12-28 $59.49 $43.00 59.1% 16.9% 51.9% 38.3% 61.1% 0.9% -0.3% 18.4M -886.7M -2.5M 1.22 4.43 N/A N/A 8,376 10,236 260,428 231,072 2021-12-29 $59.57 $43.00 58.7% 16.8% 47.7% 36.7% 60.8% 1.6% -1.0% 18.4M -888.0M -2.5M 1.40 4.20 N/A N/A 7,806 10,917 259,318 232,862 2021-12-30 $59.31 $43.00 58.0% 16.9% 41.6% 34.5% 60.3% 1.4% -0.3% 18.6M -870.4M -2.4M 0.91 4.51 N/A N/A 8,937 8,133 258,658 233,658 2021-12-31 $59.87 $44.00 58.4% 16.9% 41.6% 35.7% 60.0% 2.1% -0.8% 22.5M -906.1M -2.4M 0.73 7.52 N/A N/A 13,920 10,130 258,973 236,543
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