AA Options History — September 2023

In September 2023, AA traded between $25.81 and $31.11. ATM implied volatility averaged 47.2%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 2.1% (HV 20d: 45.1%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.92.

Notable Days

  • 2023-09-28: Highest Volume — 73,219 contracts
  • 2023-09-18: Largest IV spike — 11.9% change
  • 2023-09-26: Highest IV Rank — 41.5%
  • 2023-09-26: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.56$25.81$31.11$31.11$29.16
Max Pain$34.05$30.00$35.00$30.00$30.00
ATM IV47.2%40.3%56.3%41.3%54.1%
Expected Move14.3%11.1%16.7%11.1%16.2%
HV 20d45.1%35.1%61.6%35.1%61.6%
HV 60d46.5%43.8%51.0%43.8%51.0%
IV Rank16.9%0.0%41.5%0.0%35.8%
IV Percentile25.8%0.0%59.9%0.0%57.9%
Term Structure1.0%-1.8%7.1%0.8%-0.2%
VWIV49.4%38.8%58.0%38.8%56.8%
Skew 25d2.1%1.3%3.4%1.8%2.0%
Skew 10d3.8%3.0%5.1%3.0%3.2%
Call IV 25d46.5%38.7%55.2%40.7%54.0%
Put IV 25d48.6%40.5%58.6%42.5%56.0%
Bid-Ask Spread %2.641.134.023.524.02
Gamma HHI0.130.090.300.150.09
Net GEX-1.5M-3.9M4.3M3.5M-789.5K
Net DEX160.9M27.4M240.5M27.4M69.9M
Net VEX-1.3M-1.7M-1.1M-1.5M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.273.170.350.57
Total Volume23,290.9511,60273,21923,93526,304
Total OI349,923.4287,840401,985377,857401,985

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$31.11$30.0041.3%11.1%35.1%0.0%38.8%1.8%0.8%3.5M27.4M-1.5M0.353.52N/AN/A17,6726,263191,411186,446
2023-09-05$30.30$35.0042.4%13.6%35.9%2.9%47.6%1.3%0.8%1.2M99.7M-1.4M0.782.25N/AN/A8,0906,291176,291183,318
2023-09-06$30.16$35.0041.8%13.5%35.4%1.3%47.0%1.8%0.7%979.0K108.1M-1.4M0.872.52N/AN/A6,6815,828179,946187,315
2023-09-07$28.36$35.0043.5%13.6%39.7%5.7%47.8%1.4%0.3%-2.1M193.5M-1.2M0.892.13N/AN/A12,35211,048182,222190,661
2023-09-08$28.09$35.0041.9%13.3%38.7%1.6%46.9%1.6%0.6%-3.4M206.9M-1.2M1.151.63N/AN/A5,5516,394185,168195,154
2023-09-11$28.55$35.0041.1%13.1%39.2%0.0%45.8%1.7%4.2%-2.0M181.4M-1.2M0.371.94N/AN/A12,9804,855177,347189,935
2023-09-12$28.16$35.0041.5%13.2%39.3%0.9%46.3%1.4%4.4%-2.0M194.0M-1.2M1.191.75N/AN/A5,6256,689184,763191,406
2023-09-13$28.52$35.0040.3%13.1%36.4%0.0%43.2%1.8%5.5%-1.3M178.3M-1.2M0.712.16N/AN/A14,42810,215187,142192,987
2023-09-14$30.26$35.0040.5%13.3%40.0%0.4%44.2%1.8%7.1%4.3M62.7M-1.3M0.271.13N/AN/A21,4775,847188,903194,964
2023-09-15$28.81$35.0042.8%13.5%43.8%6.3%47.1%2.0%6.3%-34.8K171.2M-1.2M1.592.18N/AN/A12,26419,491182,771195,424
2023-09-18$28.88$35.0047.9%14.2%43.8%19.5%49.1%3.1%-1.8%-2.8M167.2M-1.2M1.052.74N/AN/A10,05010,568109,628178,212
2023-09-19$28.39$35.0049.3%14.4%44.1%23.2%49.9%2.7%-1.4%-3.5M186.3M-1.2M0.652.93N/AN/A7,0424,560115,178186,517
2023-09-20$29.48$35.0051.2%14.7%46.0%28.2%48.9%2.1%-1.5%-1.9M141.2M-1.3M0.873.33N/AN/A12,09910,481117,968187,762
2023-09-21$28.05$35.0051.9%14.9%49.4%30.1%51.6%2.1%-1.4%-3.9M195.2M-1.2M1.512.30N/AN/A6,5499,909123,010191,297
2023-09-22$28.39$35.0051.6%14.9%49.7%29.2%51.2%2.4%-1.0%-2.8M186.0M-1.3M0.293.69N/AN/A13,2003,764124,457196,729
2023-09-25$26.55$35.0054.1%15.9%54.9%35.7%55.4%3.0%-0.2%-3.6M229.0M-1.1M0.862.74N/AN/A17,03814,604123,468188,278
2023-09-26$25.81$35.0056.3%16.7%55.4%41.5%58.0%3.4%-1.0%-3.6M240.5M-1.1M0.742.57N/AN/A11,6058,637133,588196,246
2023-09-27$26.16$30.5055.6%16.4%53.7%39.7%55.8%2.8%-0.7%-3.3M222.7M-1.2M3.173.31N/AN/A6,26919,880137,103197,544
2023-09-28$28.09$30.5054.4%16.3%60.4%36.6%56.6%2.0%-0.4%-2.3M157.0M-1.3M0.423.88N/AN/A51,50521,714139,361206,563
2023-09-29$29.16$30.0054.1%16.2%61.6%35.8%56.8%2.0%-0.2%-789.5K69.9M-1.7M0.574.02N/AN/A16,7949,510179,385222,600