AA Options History — November 2024

In November 2024, AA traded between $40.60 and $47.28. ATM implied volatility averaged 45.7%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 1.5% (HV 20d: 44.2%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.61.

Notable Days

  • 2024-11-15: Highest Volume — 50,778 contracts
  • 2024-11-06: Largest IV drop — 7.4% change
  • 2024-11-05: Highest IV Rank — 46.1%
  • 2024-11-01: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.23$40.60$47.28$40.64$46.51
Max Pain$43.45$40.00$45.00$40.00$45.00
ATM IV45.7%41.4%51.5%50.1%41.9%
Expected Move13.3%12.2%16.4%16.4%12.5%
HV 20d44.2%34.0%51.5%34.5%51.5%
HV 60d52.6%50.8%54.6%50.8%51.5%
IV Rank17.8%0.0%46.1%39.2%2.7%
IV Percentile20.4%0.0%63.5%50.4%0.4%
Term Structure-0.4%-3.4%1.8%-1.4%-0.5%
VWIV47.0%43.3%57.3%57.3%44.2%
Skew 25d0.3%-6.9%4.7%1.0%1.0%
Skew 10d9.5%-21.9%25.5%-21.9%23.6%
Call IV 25d46.5%41.9%54.7%50.6%42.7%
Put IV 25d46.8%42.2%52.0%51.6%43.7%
Bid-Ask Spread %19.355.5443.3817.1413.81
Gamma HHI0.190.130.240.150.24
Net GEX6.5M1.6M10.5M4.5M7.1M
Net DEX-277.7M-393.9M-116.1M-150.0M-335.2M
Net VEX-1.5M-1.6M-1.4M-1.5M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.042.172.170.75
Total Volume18,648.855,41050,77820,9785,410
Total OI309,048289,392327,549302,931316,599

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-11-01$40.64$40.0050.1%16.4%34.5%39.2%57.3%1.0%-1.4%4.5M-150.0M-1.5M2.1717.14N/AN/A6,61714,361162,928140,003
2024-11-04$40.91$40.0050.7%14.6%34.4%42.4%50.7%1.1%-0.6%3.7M-158.8M-1.5M0.6143.38N/AN/A7,5384,615159,610135,577
2024-11-05$42.79$40.0051.5%14.4%34.0%46.1%50.6%-0.9%0.2%5.8M-236.4M-1.5M0.3335.54N/AN/A8,4552,810159,287135,827
2024-11-06$45.52$40.0047.7%13.5%39.3%27.0%47.4%0.6%-0.6%8.3M-352.1M-1.5M0.4837.86N/AN/A24,54711,715161,790136,661
2024-11-07$45.96$45.0045.7%13.2%38.8%17.1%45.6%1.2%0.8%8.0M-357.8M-1.5M0.4241.30N/AN/A14,4786,075161,960142,595
2024-11-08$44.55$45.0043.0%12.8%38.9%3.7%45.1%0.7%0.7%7.4M-298.5M-1.5M0.6425.94N/AN/A7,4824,768166,534145,174
2024-11-11$43.54$45.0044.9%12.8%39.4%13.0%45.2%1.0%-0.4%6.4M-241.8M-1.5M0.865.54N/AN/A8,2137,096159,229136,597
2024-11-12$40.88$45.0045.5%13.3%45.4%15.9%46.3%1.3%0.2%2.1M-127.5M-1.4M0.546.44N/AN/A10,6115,730160,459143,503
2024-11-13$40.60$45.0044.1%13.1%45.2%9.1%45.9%4.7%1.8%1.6M-116.1M-1.4M0.838.86N/AN/A5,4734,567164,233145,081
2024-11-14$41.22$40.0045.3%13.5%43.1%15.0%47.2%0.5%1.4%2.3M-149.0M-1.5M0.046.71N/AN/A30,8331,274166,677148,290
2024-11-15$44.00$40.0047.1%13.5%47.3%24.5%47.7%0.0%0.3%9.6M-299.0M-1.6M0.2528.89N/AN/A40,72210,056177,482148,358
2024-11-18$44.08$45.0046.7%13.5%47.2%22.3%49.4%-6.9%-3.4%5.5M-258.8M-1.5M0.219.97N/AN/A14,8723,193153,273136,119
2024-11-19$45.53$44.0047.5%13.6%48.1%26.2%48.4%0.5%-1.4%7.2M-325.8M-1.6M0.347.37N/AN/A16,0135,402164,462137,505
2024-11-20$45.73$45.0046.6%13.4%47.9%21.8%47.6%-2.3%-1.6%9.1M-341.5M-1.6M0.1514.57N/AN/A13,8842,091173,492140,191
2024-11-21$46.54$45.0044.9%12.9%48.1%13.2%45.9%1.3%-0.9%10.5M-382.8M-1.6M1.5314.36N/AN/A7,95212,188176,289141,384
2024-11-22$45.48$45.0043.6%12.6%48.7%6.8%43.3%-0.6%-1.0%7.9M-330.5M-1.6M0.4311.85N/AN/A5,4922,355175,858151,691
2024-11-25$47.28$45.0043.8%12.6%50.1%7.7%45.4%0.9%-1.3%8.2M-393.9M-1.6M0.3715.20N/AN/A10,2243,827170,299146,363
2024-11-26$47.20$45.0042.5%12.4%49.8%1.4%44.0%0.8%-0.6%8.5M-389.3M-1.6M1.0030.28N/AN/A6,0986,089171,255148,849
2024-11-27$45.61$45.0041.4%12.2%51.5%0.0%43.8%0.5%-0.1%6.7M-309.5M-1.6M0.1712.05N/AN/A17,0342,817170,131149,345
2024-11-29$46.51$45.0041.9%12.5%51.5%2.7%44.2%1.0%-0.5%7.1M-335.2M-1.6M0.7513.81N/AN/A3,1002,310165,563151,036