AA Options History — January 2023

In January 2023, AA traded between $44.61 and $55.09. ATM implied volatility averaged 55.0%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded above realized volatility by 3.0% (HV 20d: 52.0%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.90.

Notable Days

  • 2023-01-19: Highest Volume — 72,170 contracts
  • 2023-01-19: Largest IV drop — 13.0% change
  • 2023-01-03: Highest IV Rank — 37.8%
  • 2023-01-03: Largest Expected Move — 19.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.88$44.61$55.09$44.61$51.91
Max Pain$44.70$40.00$50.00$47.00$50.00
ATM IV55.0%47.5%64.0%64.0%49.0%
Expected Move16.0%14.2%19.9%19.9%14.7%
HV 20d52.0%44.2%56.3%50.8%54.4%
HV 60d63.9%60.9%66.2%65.2%60.9%
IV Rank13.3%0.0%37.8%37.8%4.5%
IV Percentile11.9%0.0%44.4%44.4%0.8%
Term Structure-0.6%-1.4%0.7%-0.8%-0.2%
VWIV56.2%49.2%69.3%69.2%52.2%
Skew 25d3.8%1.9%5.2%4.2%3.0%
Skew 10d7.7%4.4%9.6%9.1%6.9%
Call IV 25d53.4%46.3%62.6%62.6%48.1%
Put IV 25d57.2%49.3%66.7%66.7%51.1%
Bid-Ask Spread %4.322.866.873.043.10
Gamma HHI0.110.070.170.070.11
Net GEX5.3M909.8K8.6M909.8K7.0M
Net DEX-222.5M-442.4M-9.5M-9.5M-206.7M
Net VEX-1.9M-2.0M-1.7M-1.7M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.352.200.822.20
Total Volume27,632.9511,20172,17018,09312,049
Total OI340,153.9262,484444,447327,816295,301

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-01-03$44.61$47.0064.0%19.9%50.8%37.8%69.2%4.2%-0.8%909.8K-9.5M-1.7M0.823.04N/AN/A9,9528,141152,332175,484
2023-01-04$44.77$47.0063.6%19.7%45.6%36.3%69.3%4.5%-1.1%1.1M-13.1M-1.7M0.773.63N/AN/A7,5555,821157,179180,872
2023-01-05$45.36$40.0062.9%17.6%44.5%34.1%62.1%4.3%-0.8%2.1M-34.4M-1.7M0.682.86N/AN/A6,6544,547161,526183,416
2023-01-06$46.42$40.0060.1%17.1%44.2%24.1%58.4%2.8%-1.4%3.5M-72.4M-1.8M0.626.74N/AN/A17,74810,965164,028185,919
2023-01-09$50.50$40.0060.9%17.1%53.4%26.9%61.9%5.2%-1.2%4.9M-235.5M-1.8M0.816.87N/AN/A15,64112,690164,876179,295
2023-01-10$52.75$40.0059.5%16.6%51.8%22.1%59.1%3.8%-0.9%6.5M-345.4M-1.8M0.754.68N/AN/A13,75510,355171,549183,230
2023-01-11$51.77$40.0059.6%17.2%52.6%22.5%59.2%4.6%0.2%6.3M-303.0M-1.9M0.762.95N/AN/A9,5577,284176,858187,799
2023-01-12$53.09$40.0057.7%16.3%53.1%15.8%57.5%5.0%-1.2%7.2M-362.9M-1.9M1.364.69N/AN/A14,26019,383178,747190,314
2023-01-13$54.70$40.0056.0%15.9%53.2%10.0%56.2%3.6%-1.2%8.1M-442.4M-1.9M0.363.70N/AN/A25,8419,243183,921198,509
2023-01-17$55.09$40.0055.4%15.8%47.3%7.6%55.3%4.1%-0.9%7.5M-419.3M-1.9M0.524.61N/AN/A16,6148,600185,106193,582
2023-01-18$53.77$45.0057.1%16.4%48.6%13.9%58.7%4.5%-1.1%6.4M-351.8M-1.9M0.915.50N/AN/A37,22733,921187,890200,466
2023-01-19$50.10$45.0049.7%14.3%56.3%0.0%50.0%3.3%-0.6%1.0M-157.3M-1.8M0.643.76N/AN/A43,95828,212197,527221,907
2023-01-20$50.92$45.0049.3%14.2%55.3%0.0%49.2%1.9%-0.3%3.9M-236.4M-1.9M0.545.14N/AN/A18,97510,334216,530227,917
2023-01-23$51.41$45.0049.4%14.3%55.2%0.1%51.7%3.8%-0.7%5.7M-186.2M-1.9M1.874.20N/AN/A8,29015,476141,885120,599
2023-01-24$52.89$50.0048.9%14.3%54.2%0.0%50.6%3.9%0.4%6.7M-245.2M-2.0M0.633.06N/AN/A13,2758,379145,252131,384
2023-01-25$52.02$50.0049.2%14.4%54.9%1.0%50.6%3.1%-0.6%6.5M-210.6M-2.0M1.635.71N/AN/A6,25610,176150,737135,156
2023-01-26$51.91$50.0049.2%14.3%55.0%0.8%50.9%3.7%0.7%6.7M-207.8M-2.0M1.153.61N/AN/A6,8007,837154,791138,837
2023-01-27$53.23$50.0047.5%14.2%53.8%0.0%49.6%3.1%-0.6%8.6M-276.8M-2.0M0.544.63N/AN/A10,3595,595157,111142,752
2023-01-30$50.39$50.0050.1%15.1%55.1%7.6%53.1%3.9%-0.5%4.9M-133.9M-2.0M0.353.90N/AN/A30,35610,578150,311132,183
2023-01-31$51.91$50.0049.0%14.7%54.4%4.5%52.2%3.0%-0.2%7.0M-206.7M-2.0M2.203.10N/AN/A3,7718,278154,855140,446