AA Options History — November 2023 In November 2023, AA traded between $24.51 and $26.91. ATM implied volatility averaged 46.6%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded below realized volatility by 5.5% (HV 20d: 52.1%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.08.
Notable Days 2023-11-29 : Highest Volume — 30,878 contracts2023-11-20 : Largest IV drop — 3.9% change2023-11-01 : Highest IV Rank — 35.6%2023-11-01 : Largest Expected Move — 14.9%Monthly Statistics Metric Avg Min Max Open Close Price $25.97 $24.51 $26.91 $24.93 $26.86 Max Pain $25.00 $25.00 $25.00 $25.00 $25.00 ATM IV 46.6% 44.2% 49.7% 49.7% 45.8% Expected Move 13.7% 12.7% 14.9% 14.9% 13.7% HV 20d 52.1% 38.9% 60.1% 55.8% 38.9% HV 60d 52.4% 51.1% 53.6% 51.1% 52.3% IV Rank 24.1% 15.4% 35.6% 35.6% 21.8% IV Percentile 19.6% 6.7% 40.1% 40.1% 16.3% Term Structure 0.1% -2.5% 2.3% 0.6% -0.3% VWIV 48.0% 44.7% 52.0% 52.0% 48.0% Skew 25d 2.7% 0.3% 3.8% 3.8% 2.0% Skew 10d 5.9% 2.2% 10.6% 8.6% 5.6% Call IV 25d 46.0% 43.1% 48.6% 48.5% 45.6% Put IV 25d 48.7% 46.4% 52.3% 52.3% 47.6% Bid-Ask Spread % 4.73 2.59 16.99 4.51 3.78 Gamma HHI 0.17 0.13 0.22 0.14 0.18 Net GEX 1.3M -673.5K 3.3M 1.6M 2.5M Net DEX 57.6M -2.1M 121.5M 96.0M 19.9M Net VEX -1.6M -1.7M -1.4M -1.6M -1.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.08 0.37 3.15 1.70 1.00 Total Volume 17,861.429 5,631 30,878 14,479 20,466 Total OI 420,094.429 388,322 445,090 423,341 426,440
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 2023-11-01 $24.93 $25.00 49.7% 14.9% 55.8% 35.6% 52.0% 3.8% 0.6% 1.6M 96.0M -1.6M 1.70 4.51 N/A N/A 5,354 9,125 206,525 216,816 2023-11-02 $26.05 $25.00 48.1% 14.2% 57.9% 29.4% 49.9% 3.1% 0.8% 2.4M 33.9M -1.7M 0.42 4.17 N/A N/A 17,961 7,588 207,886 215,496 2023-11-03 $26.70 $25.00 46.9% 14.3% 57.9% 25.1% 49.3% 2.9% 0.9% 2.4M 1.7M -1.7M 0.59 5.19 N/A N/A 14,128 8,400 213,766 217,767 2023-11-06 $25.99 $25.00 47.7% 14.3% 58.6% 27.8% 49.6% 3.3% 1.8% 2.0M 47.9M -1.7M 1.18 2.81 N/A N/A 6,748 7,964 208,859 212,096 2023-11-07 $25.57 $25.00 46.9% 14.1% 56.9% 24.7% 48.9% 3.1% 2.3% 1.3M 72.3M -1.6M 1.03 3.27 N/A N/A 5,793 5,972 211,507 216,438 2023-11-08 $25.59 $25.00 46.2% 13.9% 56.9% 22.2% 48.8% 2.3% 2.2% 1.3M 72.5M -1.6M 1.64 4.12 N/A N/A 6,227 10,186 213,472 219,660 2023-11-09 $24.51 $25.00 46.7% 13.7% 56.8% 24.0% 48.5% 3.5% 1.4% -230.2K 120.0M -1.5M 1.40 3.01 N/A N/A 5,281 7,383 215,641 219,440 2023-11-10 $24.59 $25.00 45.4% 13.3% 56.8% 19.0% 46.9% 3.5% 1.3% -673.5K 121.5M -1.5M 0.69 3.34 N/A N/A 12,427 8,538 217,246 219,017 2023-11-13 $24.66 $25.00 46.1% 13.3% 56.7% 22.0% 46.8% 0.3% 0.3% 103.3K 117.7M -1.4M 0.49 3.97 N/A N/A 12,710 6,192 207,287 211,931 2023-11-14 $26.21 $25.00 47.6% 13.7% 60.1% 27.6% 47.8% 3.2% -1.8% 2.3M 36.2M -1.6M 1.02 3.03 N/A N/A 13,192 13,498 210,124 214,067 2023-11-15 $26.91 $25.00 49.1% 14.1% 59.3% 33.1% 48.6% 3.0% -2.5% 3.3M -2.1M -1.6M 0.80 3.09 N/A N/A 11,248 8,989 212,315 219,918 2023-11-16 $26.02 $25.00 47.6% 13.7% 49.9% 27.7% 48.9% 2.7% -1.0% 2.1M 45.1M -1.5M 1.76 2.59 N/A N/A 6,595 11,627 215,057 222,560 2023-11-17 $26.21 $25.00 47.7% 13.8% 49.4% 28.0% 48.6% 1.6% -1.5% 2.6M 35.8M -1.6M 0.80 2.82 N/A N/A 8,608 6,864 217,679 227,411 2023-11-20 $26.54 $25.00 45.8% 13.3% 48.6% 20.9% 46.9% 2.4% -0.7% 840.3K 46.8M -1.6M 1.01 7.90 N/A N/A 8,592 8,690 190,028 198,294 2023-11-21 $26.34 $25.00 45.7% 13.0% 48.8% 21.1% 45.9% 2.7% -0.2% 587.8K 56.6M -1.5M 3.15 16.99 N/A N/A 3,772 11,886 194,957 202,306 2023-11-22 $26.41 $25.00 44.8% 12.8% 48.6% 17.5% 45.1% 2.5% -0.5% 384.0K 55.4M -1.5M 1.29 4.11 N/A N/A 6,927 8,904 196,229 204,546 2023-11-24 $26.38 $25.00 44.2% 12.7% 48.4% 15.4% 44.7% 2.9% -0.4% 415.8K 58.6M -1.5M 0.62 7.41 N/A N/A 3,477 2,154 198,983 208,170 2023-11-27 $26.34 $25.00 45.3% 13.4% 48.2% 19.5% 47.0% 2.2% -0.0% 741.5K 60.2M -1.5M 0.37 3.66 N/A N/A 12,882 4,784 191,826 200,230 2023-11-28 $26.14 $25.00 45.6% 13.3% 40.4% 20.6% 46.2% 3.5% -0.1% 853.0K 66.8M -1.5M 0.51 4.89 N/A N/A 8,681 4,399 202,380 204,148 2023-11-29 $26.41 $25.00 46.4% 13.9% 40.2% 23.8% 48.7% 2.1% 0.2% 1.4M 46.4M -1.6M 1.27 4.70 N/A N/A 13,628 17,250 206,480 206,985 2023-11-30 $26.86 $25.00 45.8% 13.7% 38.9% 21.8% 48.0% 2.0% -0.3% 2.5M 19.9M -1.6M 1.00 3.78 N/A N/A 10,219 10,247 214,948 211,492
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