AA Options History — September 2022

In September 2022, AA traded between $33.78 and $52.70. ATM implied volatility averaged 68.7%, placing in the 60.1% IV rank vs the trailing year. The 30-day expected move averaged 19.9%. IV traded below realized volatility by 2.9% (HV 20d: 71.6%). Max pain ranged from $43.00 to $55.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.28.

Notable Days

  • 2022-09-26: Highest Volume — 77,984 contracts
  • 2022-09-14: Largest IV spike — 6.3% change
  • 2022-09-30: Highest IV Rank — 90.7%
  • 2022-09-30: Largest Expected Move — 22.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.93$33.78$52.70$47.87$33.78
Max Pain$50.86$43.00$55.00$55.00$43.00
ATM IV68.7%60.6%78.8%63.4%78.8%
Expected Move19.9%17.5%22.8%18.2%22.8%
HV 20d71.6%58.3%80.4%62.6%74.9%
HV 60d61.7%55.4%66.1%62.2%63.3%
IV Rank60.1%35.5%90.7%44.1%90.7%
IV Percentile73.4%41.7%99.2%57.9%99.2%
Term Structure0.5%-2.1%4.8%0.8%-1.2%
VWIV69.1%61.9%78.0%64.4%78.0%
Skew 25d5.1%2.5%7.5%2.5%6.7%
Skew 10d10.3%6.4%14.4%9.1%13.3%
Call IV 25d66.3%57.8%75.5%62.3%75.5%
Put IV 25d71.5%61.7%82.2%64.8%82.2%
Bid-Ask Spread %5.602.8413.193.914.67
Gamma HHI0.090.060.170.070.07
Net GEX-1.6M-5.8M4.2M-879.1K-2.7M
Net DEX140.0M-88.2M265.3M96.1M239.2M
Net VEX-1.7M-2.0M-1.3M-1.9M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.383.150.831.11
Total Volume30,942.38113,09877,98421,06736,903
Total OI328,821.952288,195373,430311,002373,430

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$47.87$55.0063.4%18.2%62.6%44.1%64.4%2.5%0.8%-879.1K96.1M-1.9M0.833.91N/AN/A11,4839,584154,512156,490
2022-09-02$49.07$55.0063.2%17.5%62.2%43.6%62.4%3.7%-0.2%296.1K58.9M-2.0M1.043.60N/AN/A6,4366,662158,881160,929
2022-09-06$47.96$55.0064.9%19.2%62.5%48.6%68.6%3.4%2.3%-634.7K85.9M-1.8M0.9111.04N/AN/A11,90410,849150,719153,929
2022-09-07$47.60$55.0062.8%18.6%61.6%42.5%65.5%4.6%1.4%-993.5K98.5M-1.8M1.097.98N/AN/A10,70411,628155,520157,751
2022-09-08$48.76$55.0060.6%18.1%58.3%35.6%64.0%4.1%4.8%70.3K62.3M-1.9M1.276.08N/AN/A6,7698,611157,124158,542
2022-09-09$52.70$55.0060.6%17.7%65.0%35.5%61.9%3.9%2.5%4.2M-88.2M-2.0M0.805.59N/AN/A12,57810,113159,949162,203
2022-09-12$52.30$55.0064.0%18.7%65.0%46.0%65.1%2.6%0.7%2.5M-51.2M-2.0M1.6313.19N/AN/A6,82711,120154,946158,070
2022-09-13$50.11$55.0065.6%19.0%66.3%50.6%66.0%6.8%1.1%629.0K27.0M-1.9M1.838.19N/AN/A7,94714,578157,123165,939
2022-09-14$44.75$55.0069.7%19.9%76.3%63.2%70.3%3.8%0.3%-2.9M182.3M-1.6M1.004.74N/AN/A27,34027,209158,033169,314
2022-09-15$43.20$55.0065.6%19.1%76.6%50.7%68.1%4.5%0.8%-2.8M220.3M-1.6M1.114.34N/AN/A12,70314,153171,578183,701
2022-09-16$41.94$55.0068.7%20.0%74.6%60.2%69.0%5.3%2.7%-4.5M247.2M-1.6M1.668.03N/AN/A17,76629,497173,093188,683
2022-09-19$44.76$50.0066.6%19.1%77.8%53.7%66.3%5.3%-0.2%-1.5M87.4M-1.7M0.383.04N/AN/A19,3067,253129,361158,834
2022-09-20$43.78$50.0068.5%19.6%77.8%59.4%69.3%6.3%0.8%-1.1M99.7M-1.7M1.212.92N/AN/A8,27310,000139,308160,978
2022-09-21$39.62$50.0070.1%20.1%80.4%64.4%68.8%5.9%-0.8%-3.6M195.2M-1.5M1.033.79N/AN/A14,82615,232144,464168,009
2022-09-22$37.81$50.0070.3%20.2%79.9%65.1%69.9%5.7%0.1%-4.4M227.2M-1.4M1.714.34N/AN/A10,91318,714152,140173,131
2022-09-23$35.53$45.0073.4%21.1%77.7%74.3%71.8%6.8%-0.6%-5.8M265.3M-1.3M3.155.32N/AN/A10,26132,312156,835183,338
2022-09-26$34.65$45.0075.7%21.7%77.7%81.2%75.1%6.8%-0.5%-3.0M244.3M-1.3M1.125.27N/AN/A36,84141,143148,174185,613
2022-09-27$34.67$44.0077.2%22.1%77.6%85.9%75.5%6.1%-1.1%-2.3M224.2M-1.4M1.294.69N/AN/A14,46818,626162,667184,185
2022-09-28$35.31$43.0075.0%21.8%74.2%79.0%73.6%5.9%-0.9%-2.1M213.3M-1.5M1.742.84N/AN/A11,05919,207168,504187,912
2022-09-29$35.35$43.0078.0%22.6%74.5%88.3%77.7%7.5%-2.1%-1.8M205.7M-1.5M0.944.05N/AN/A19,59118,401170,983190,366
2022-09-30$33.78$43.0078.8%22.8%74.9%90.7%78.0%6.7%-1.2%-2.7M239.2M-1.4M1.114.67N/AN/A17,47019,433179,302194,128