AIA Options History — March 2020 In March 2020, AIA traded between $49.71 and $63.51. ATM implied volatility averaged 48.3%, placing in the 68.2% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 3.0% (HV 20d: 51.3%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2020-03-02 : Highest Volume — 5 contracts2020-03-12 : Largest IV spike — 92.9% change2020-03-12 : Highest IV Rank — 100.0%2020-03-12 : Largest Expected Move — 20.3%Monthly Statistics Metric Avg Min Max Open Close Price $56.67 $49.71 $63.51 $62.43 $55.90 ATM IV 48.3% 30.7% 71.0% 33.5% 37.8% Expected Move 13.2% 7.1% 20.3% 9.6% 10.8% HV 20d 51.3% 21.8% 76.3% 24.1% 76.3% HV 60d 35.3% 21.5% 47.4% 21.6% 47.3% IV Rank 68.2% 45.2% 100.0% 51.3% 45.7% IV Percentile 95.0% 84.1% 100.0% 90.5% 89.7% Term Structure -9.0% -44.6% 2.6% -6.0% 2.6% Skew 25d 4.4% -44.9% 18.6% 4.1% 12.7% Skew 10d 0.5% -49.5% 14.9% -2.2% 9.2% Call IV 25d 44.5% 19.2% 100.9% 33.9% 29.2% Put IV 25d 49.0% 27.8% 71.9% 38.0% 41.9% Bid-Ask Spread % 153.17 112.71 175.61 160.42 113.28 Gamma HHI 0.68 0.53 0.83 0.82 0.72 Net GEX -1.1K -2.4K -384 -1.9K -700 Net DEX 43.5K 35.2K 50.6K 37.4K 49.3K Net VEX -88 -138 -40 -133 -46 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.364 0 5 5 0 Total OI 13 12 14 12 13
Daily Data (22 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 2020-03-02 $62.43 $0.00 33.5% 9.6% 24.1% 51.3% 0.0% 4.1% -6.0% -1.9K 37.4K -133 0.00 160.42 N/A N/A 0 5 2 10 2020-03-03 $62.47 $0.00 32.6% 9.4% 23.3% 49.4% 0.0% 3.0% -7.4% -1.7K 35.8K -133 0.00 162.89 N/A N/A 0 0 2 10 2020-03-04 $63.51 $0.00 30.7% 8.8% 21.8% 45.2% 0.0% 3.5% -7.9% -2.4K 35.2K -138 0.00 168.73 N/A N/A 0 0 2 10 2020-03-05 $62.77 $0.00 34.4% 7.1% 22.0% 53.3% 0.0% 8.6% -0.7% -2.1K 36.0K -133 0.00 169.69 N/A N/A 0 0 2 10 2020-03-06 $61.63 $0.00 36.2% 7.7% 22.5% 57.2% 0.0% 2.4% 0.3% -1.7K 39.5K -119 0.00 160.63 N/A N/A 0 1 2 10 2020-03-09 $59.35 $0.00 44.0% 9.3% 25.4% 74.2% 0.0% 4.0% -2.2% -1.7K 46.1K -105 0.00 153.91 N/A N/A 0 0 2 11 2020-03-10 $61.30 $0.00 52.6% 9.8% 28.3% 92.8% 0.0% 10.4% -5.0% -1.7K 38.1K -127 0.00 175.32 N/A N/A 0 0 2 11 2020-03-11 $58.95 $0.00 36.8% 10.5% 30.2% 58.4% 0.0% -4.1% -9.9% -1.4K 44.3K -106 0.00 175.61 N/A N/A 0 0 2 11 2020-03-12 $53.95 $0.00 71.0% 20.3% 41.1% 100.0% 0.0% -44.9% -44.6% -734 43.8K -89 0.00 163.71 N/A N/A 0 0 2 11 2020-03-13 $57.09 $0.00 45.1% 12.9% 47.6% 57.7% 0.0% 10.2% -4.8% -1.2K 45.9K -95 0.00 138.39 N/A N/A 1 0 2 11 2020-03-16 $51.41 $0.00 66.6% 19.1% 58.6% 92.9% 0.0% -5.7% -12.9% -535 45.1K -76 0.00 161.64 N/A N/A 0 1 3 11 2020-03-17 $53.87 $0.00 58.1% 16.6% 62.3% 78.9% 0.0% 10.3% -9.6% -689 42.2K -94 0.00 164.79 N/A N/A 0 0 3 11 2020-03-18 $49.71 $0.00 63.5% 18.2% 66.7% 87.8% 0.0% 0.6% -11.3% -425 45.6K -60 0.00 144.76 N/A N/A 0 0 3 11 2020-03-19 $50.33 $0.00 61.5% 17.6% 67.3% 84.5% 0.0% 12.1% -7.9% -384 49.2K -47 0.00 137.34 N/A N/A 0 0 3 11 2020-03-20 $51.36 $0.00 65.7% 18.8% 68.3% 91.4% 0.0% 0.2% -15.0% -409 48.7K -56 0.00 169.97 N/A N/A 0 0 3 11 2020-03-23 $51.06 $0.00 61.2% 17.6% 67.8% 84.1% 0.0% 2.2% -13.2% -417 41.9K -65 0.00 156.98 N/A N/A 0 0 3 10 2020-03-24 $54.68 $0.00 54.5% 15.6% 73.2% 73.0% 0.0% 18.6% -11.9% -634 43.7K -70 0.00 164.63 N/A N/A 0 0 3 10 2020-03-25 $56.68 $0.00 54.6% 15.6% 74.6% 73.1% 0.0% 6.5% -13.0% -843 42.4K -85 0.00 167.53 N/A N/A 0 0 3 10 2020-03-26 $57.47 $0.00 38.0% 10.9% 74.8% 46.0% 0.0% 14.9% -4.7% -942 46.7K -70 0.00 132.77 N/A N/A 0 0 3 10 2020-03-27 $54.96 $0.00 44.8% 12.8% 76.2% 57.1% 0.0% 16.1% -7.8% -569 49.9K -40 0.00 114.07 N/A N/A 0 0 3 10 2020-03-30 $55.91 $0.00 38.5% 11.0% 76.3% 46.8% 0.0% 11.8% -4.2% -634 50.6K -41 0.00 112.71 N/A N/A 0 0 3 10 2020-03-31 $55.90 $0.00 37.8% 10.8% 76.3% 45.7% 0.0% 12.7% 2.6% -700 49.3K -46 0.00 113.28 N/A N/A 0 0 3 10
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