AIA Options History — January 2021 In January 2021, AIA traded between $88.45 and $100.22. ATM implied volatility averaged 57.1%, placing in the 36.9% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 37.2% (HV 20d: 19.8%). Max pain ranged from $70.00 to $80.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 3.17.
Notable Days 2021-01-22 : Highest Volume — 200 contracts2021-01-07 : Largest IV spike — 353.0% change2021-01-11 : Highest IV Rank — 100.0%2021-01-29 : Largest Expected Move — 16.1%Monthly Statistics Metric Avg Min Max Open Close Price $94.79 $88.45 $100.22 $88.45 $93.43 Max Pain $77.11 $70.00 $80.00 $70.00 $80.00 ATM IV 57.1% 20.6% 148.2% 24.9% 56.2% Expected Move 11.6% 5.5% 16.1% 6.0% 16.1% HV 20d 19.8% 15.7% 28.0% 15.7% 28.0% HV 60d 19.4% 17.7% 21.9% 17.7% 21.9% IV Rank 36.9% 9.2% 100.0% 14.2% 31.5% IV Percentile 82.0% 12.3% 100.0% 40.9% 94.0% Term Structure -11.7% -33.1% 8.1% 0.1% -19.0% VWIV 32.7% 16.4% 51.3% 16.4% 19.6% Skew 25d 8.3% -2.2% 20.9% 3.3% 3.2% Skew 10d 21.9% 2.8% 45.9% 4.3% 24.8% Call IV 25d 44.5% 13.4% 76.3% 17.9% 76.3% Put IV 25d 52.9% 15.5% 79.6% 21.2% 79.6% Bid-Ask Spread % 140.93 117.80 151.72 117.80 149.10 Gamma HHI 0.49 0.18 0.87 0.57 0.55 Net GEX -31.6K -119.0K 802 -7.6K -74.3K Net DEX 349.9K -210.7K 1.7M -114.1K 1.7M Net VEX -1.9K -5.9K -78 -194 -5.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.17 0.00 34.00 0.00 0.89 Total Volume 26.211 0 200 4 36 Total OI 211.105 55 468 133 468
Daily Data (19 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 2021-01-04 $88.45 $70.00 24.9% 6.0% 15.7% 14.2% 16.4% 3.3% 0.1% -7.6K -114.1K -194 0.00 117.80 N/A N/A 4 0 18 115 2021-01-05 $90.54 $70.00 28.3% 5.5% 16.7% 17.8% 0.0% 2.9% 1.6% 404 -147.7K -82 0.00 124.88 N/A N/A 0 0 18 115 2021-01-06 $89.81 $73.00 20.6% 5.6% 17.1% 9.2% 0.0% 2.2% -1.1% 262 -128.2K -78 1.00 118.28 N/A N/A 1 1 16 115 2021-01-07 $90.84 $73.00 93.3% 12.3% 17.1% 84.9% 51.3% 13.0% -12.4% -15.6K 71.4K -584 0.67 138.60 N/A N/A 6 4 17 116 2021-01-08 $93.74 $73.00 97.0% 11.4% 19.4% 88.8% 0.0% 20.9% -14.4% -11.9K -33.5K -674 0.00 141.92 N/A N/A 0 0 25 120 2021-01-11 $93.36 $73.00 128.6% 11.8% 19.5% 100.0% 0.0% 14.9% -18.3% -12.1K -33.5K -591 0.00 147.48 N/A N/A 8 0 25 120 2021-01-12 $93.64 $73.00 148.2% 11.9% 19.0% 100.0% 45.3% 5.5% -15.1% -8.2K -101.6K -596 0.00 147.03 N/A N/A 0 6 32 120 2021-01-13 $94.04 $80.00 42.0% 12.0% 17.8% 22.2% 32.1% 5.3% -16.8% -10.9K -77.1K -621 5.00 147.41 N/A N/A 1 5 32 126 2021-01-14 $95.09 $80.00 42.1% 12.1% 17.9% 22.2% 41.9% 8.1% -10.5% 477 -210.7K -543 0.33 144.77 N/A N/A 3 1 33 131 2021-01-15 $94.33 $80.00 44.8% 12.8% 18.5% 24.2% 0.0% 9.0% -14.2% 802 -190.0K -676 0.20 147.37 N/A N/A 5 1 36 133 2021-01-19 $96.66 $80.00 44.5% 12.8% 19.6% 24.0% 0.0% 14.6% -10.0% 700 -149.0K -657 0.00 144.30 N/A N/A 0 2 29 26 2021-01-20 $98.52 $80.00 44.3% 12.7% 19.6% 22.7% 43.4% 15.6% -12.7% 387 -171.6K -636 34.00 146.13 N/A N/A 3 102 29 28 2021-01-21 $99.79 $80.00 44.6% 12.8% 18.8% 22.9% 0.0% 16.5% -10.1% -89.5K 387.1K -2.1K 1.00 140.43 N/A N/A 1 1 31 130 2021-01-22 $98.58 $80.00 45.9% 13.2% 19.4% 23.9% 0.0% 11.3% -13.7% -35.4K 343.0K -2.2K 0.00 144.76 N/A N/A 0 200 32 131 2021-01-25 $100.22 $80.00 47.9% 13.7% 19.5% 25.4% 22.5% 6.0% -33.1% -86.6K 1.1M -5.0K 0.06 135.06 N/A N/A 34 2 32 331 2021-01-26 $98.47 $80.00 49.8% 14.3% 21.6% 26.8% 22.0% 1.2% -13.6% -119.0K 1.4M -5.2K 0.61 143.53 N/A N/A 18 11 65 333 2021-01-27 $95.28 $80.00 28.3% 8.1% 26.0% 10.8% 19.6% -2.2% 8.1% -64.8K 1.6M -5.2K 0.26 147.11 N/A N/A 23 6 83 344 2021-01-28 $96.18 $80.00 53.3% 15.3% 25.9% 29.3% 0.0% 7.1% -17.8% -68.4K 1.3M -5.9K 0.30 151.72 N/A N/A 10 3 106 350 2021-01-29 $93.43 $80.00 56.2% 16.1% 28.0% 31.5% 0.0% 3.2% -19.0% -74.3K 1.7M -5.3K 0.89 149.10 N/A N/A 19 17 115 353
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