AA Options History — December 2023

In December 2023, AA traded between $24.12 and $34.75. ATM implied volatility averaged 52.7%, placing in the 49.0% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded below realized volatility by 6.9% (HV 20d: 59.6%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.02.

Notable Days

  • 2023-12-14: Highest Volume — 75,564 contracts
  • 2023-12-14: Largest IV spike — 12.0% change
  • 2023-12-22: Highest IV Rank — 74.9%
  • 2023-12-14: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.40$24.12$34.75$27.79$34.14
Max Pain$29.25$25.00$30.00$25.00$30.00
ATM IV52.7%46.1%59.3%46.1%54.1%
Expected Move16.2%13.9%17.4%13.9%15.6%
HV 20d59.6%37.7%77.9%37.7%77.9%
HV 60d56.6%50.6%61.4%51.3%59.6%
IV Rank49.0%22.9%74.9%22.9%54.4%
IV Percentile59.7%17.9%88.1%17.9%73.4%
Term Structure2.3%-0.5%8.1%0.1%0.2%
VWIV57.6%48.4%61.5%48.4%55.6%
Skew 25d0.3%-1.9%2.7%0.8%-0.3%
Skew 10d1.9%-3.0%6.6%4.5%0.3%
Call IV 25d53.5%46.4%60.9%46.4%55.6%
Put IV 25d53.8%47.2%60.5%47.2%55.3%
Bid-Ask Spread %21.161.7747.743.027.04
Gamma HHI0.170.120.330.210.15
Net GEX3.0M-1.8M6.4M4.7M6.1M
Net DEX-126.7M-407.8M164.5M-39.9M-366.4M
Net VEX-1.8M-2.1M-1.4M-1.7M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.392.420.590.66
Total Volume34,070.5512,57675,56429,69419,490
Total OI471,749.35426,752517,220437,268517,220

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$27.79$25.0046.1%13.9%37.7%22.9%48.4%0.8%0.1%4.7M-39.9M-1.7M0.593.02N/AN/A18,71610,978222,248215,020
2023-12-04$26.80$30.0047.0%15.1%39.2%26.4%52.9%1.8%0.5%1.8M30.6M-1.6M1.413.53N/AN/A13,80419,432217,308209,444
2023-12-05$25.20$30.0048.6%15.6%44.0%32.8%54.0%1.6%0.7%-825.1K118.2M-1.5M0.651.77N/AN/A22,63914,675225,459217,918
2023-12-06$25.09$30.0047.9%15.6%43.7%30.1%58.5%1.7%1.3%-960.1K118.2M-1.5M1.914.37N/AN/A9,37617,900234,285224,356
2023-12-07$24.80$30.0048.3%16.0%43.9%31.3%56.8%2.1%1.1%-1.4M138.9M-1.5M0.873.72N/AN/A13,02011,332239,610226,012
2023-12-08$24.95$30.0047.8%16.1%41.1%29.5%57.2%1.5%1.5%-1.5M125.4M-1.5M1.3243.82N/AN/A10,62114,012244,946229,039
2023-12-11$24.87$30.0048.9%16.4%41.1%33.7%61.1%1.7%8.1%-1.0M124.2M-1.5M1.7842.20N/AN/A7,86213,961234,714226,674
2023-12-12$24.12$30.0048.1%16.0%42.5%30.7%56.9%1.4%7.5%-1.8M164.5M-1.4M0.692.35N/AN/A11,5157,984239,159230,714
2023-12-13$25.91$28.0049.5%16.2%44.7%36.4%59.0%2.7%6.2%1.0M53.6M-1.6M2.2946.56N/AN/A10,43923,906240,146229,904
2023-12-14$30.02$28.0055.5%17.4%68.6%59.9%61.3%-1.9%6.8%5.7M-211.5M-1.9M0.396.83N/AN/A54,18021,384244,558233,369
2023-12-15$31.20$28.0055.7%17.3%67.9%60.7%60.7%-1.6%7.1%4.7M-304.8M-1.9M0.4647.74N/AN/A39,83818,504258,426241,507
2023-12-18$30.81$28.0056.7%16.7%68.3%64.7%59.3%-0.4%-0.5%4.6M-205.9M-1.9M2.4229.78N/AN/A20,17048,896233,611215,337
2023-12-19$32.70$28.0056.8%16.5%70.7%64.8%58.5%-0.9%-0.5%5.5M-317.9M-1.9M0.8131.59N/AN/A19,82715,993242,483210,515
2023-12-20$30.70$30.0056.1%16.1%75.2%62.3%57.2%-0.0%3.6%3.9M-178.3M-1.9M0.9933.43N/AN/A21,20520,995240,556217,443
2023-12-21$31.99$30.0057.1%16.3%76.1%66.3%57.8%-0.2%0.4%5.1M-263.8M-2.1M0.6630.48N/AN/A11,3637,483254,723230,607
2023-12-22$33.75$30.0059.3%17.0%77.6%74.9%61.5%-0.6%0.1%5.6M-370.2M-2.1M0.4320.32N/AN/A37,20115,964256,301236,012
2023-12-26$34.00$30.0058.6%16.7%77.4%72.1%59.5%0.4%2.8%5.6M-355.8M-2.1M0.5914.25N/AN/A11,8736,985257,095229,880
2023-12-27$34.75$30.0057.3%16.6%77.1%66.8%59.5%-1.1%-0.4%6.4M-407.8M-2.1M0.5924.17N/AN/A15,8739,439262,178234,538
2023-12-28$34.41$30.0055.2%16.0%77.6%58.6%57.1%-1.8%-0.1%6.4M-385.6M-2.1M0.8726.21N/AN/A6,7315,845270,211241,461
2023-12-29$34.14$30.0054.1%15.6%77.9%54.4%55.6%-0.3%0.2%6.1M-366.4M-2.1M0.667.04N/AN/A11,7627,728272,180245,040