AA Options History — January 2007

In January 2007, AA traded between $68.44 and $77.64. ATM implied volatility averaged 26.2%. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 3.5% (HV 20d: 29.8%). Max pain ranged from $66.08 to $78.10. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.82.

Notable Days

  • 2007-01-10: Highest Volume — 35,739 contracts
  • 2007-01-10: Largest IV drop — 42.5% change
  • 2007-01-04: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.65$68.44$77.64$70.48$77.62
Max Pain$72.09$66.08$78.10$72.09$78.10
ATM IV26.2%21.2%40.6%30.6%24.5%
Expected Move7.3%6.1%9.3%8.8%7.0%
HV 20d29.8%28.5%30.9%30.9%28.5%
Term Structure0.1%-5.1%3.6%-3.8%-0.5%
VWIV25.3%21.2%32.4%29.7%25.2%
Skew 25d-0.2%-3.1%3.8%-2.9%0.2%
Skew 10d1.5%-9.9%18.3%-6.9%0.2%
Call IV 25d25.6%20.9%34.5%31.5%25.4%
Put IV 25d25.3%21.6%32.0%28.6%25.6%
Bid-Ask Spread %8.954.7815.687.874.78
Gamma HHI0.310.240.460.280.28
Net GEX5.6M380.4K12.0M4.9M5.7M
Net DEX-155.3M-323.1M39.6M-56.6M-226.6M
Net VEX-2.2M-2.4M-2.0M-2.0M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.273.641.290.37
Total Volume10,868.252,18535,73911,8414,380
Total OI203,599.05131,971264,511218,911150,278

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$70.48$72.0930.6%8.8%0.0%0.0%29.7%-2.9%-3.8%4.9M-56.6M-2.0M1.297.87N/AN/A5,1726,669131,28287,629
2007-01-04$69.95$72.0932.6%9.3%0.0%0.0%32.4%-2.5%-5.1%4.1M-46.5M-2.1M3.6415.68N/AN/A2,2928,340134,22890,473
2007-01-05$69.11$66.0832.4%7.9%0.0%0.0%28.0%1.4%0.3%1.9M7.0M-2.1M0.9312.14N/AN/A3,0852,871133,48495,139
2007-01-08$68.44$72.0933.7%8.7%0.0%0.0%29.4%0.6%-1.7%898.3K34.9M-2.0M0.9311.91N/AN/A7,9617,442134,33596,360
2007-01-09$68.53$72.0940.6%8.7%0.0%0.0%30.1%1.2%-0.7%380.4K39.6M-2.0M0.9513.53N/AN/A9,0808,614137,393100,395
2007-01-10$72.64$72.0923.3%7.0%0.0%0.0%24.7%0.9%0.9%10.4M-164.1M-2.1M0.659.36N/AN/A21,70914,030138,454102,788
2007-01-11$73.22$72.0923.7%6.8%0.0%0.0%24.2%-1.4%0.9%12.0M-216.7M-2.1M0.886.09N/AN/A9,5848,433142,072104,727
2007-01-12$73.99$72.0924.4%7.0%0.0%0.0%24.7%-0.6%2.0%9.4M-254.9M-2.2M0.275.43N/AN/A15,8054,273143,780109,400
2007-01-16$73.48$72.0923.3%6.7%0.0%0.0%23.2%0.6%2.9%9.8M-237.2M-2.2M0.845.93N/AN/A3,5522,988149,175111,793
2007-01-17$73.36$72.0923.5%6.8%0.0%0.0%23.7%0.8%2.8%8.6M-212.9M-2.2M0.319.24N/AN/A2,853885147,042113,780
2007-01-18$72.81$72.0921.2%6.1%0.0%0.0%21.2%1.1%3.6%11.6M-228.3M-2.2M0.717.74N/AN/A5,3713,804147,639113,815
2007-01-19$75.45$72.0924.4%7.0%0.0%0.0%24.2%-1.0%1.2%4.6M-323.1M-2.3M0.286.74N/AN/A11,1473,066148,466116,045
2007-01-22$74.90$72.0922.4%6.4%0.0%0.0%23.4%-3.1%1.7%2.5M-127.1M-2.3M1.047.01N/AN/A4,8415,01269,49462,477
2007-01-23$75.86$72.0923.0%6.6%0.0%0.0%22.4%0.7%-0.9%3.6M-156.6M-2.3M0.366.44N/AN/A3,3421,19072,35265,266
2007-01-24$76.42$72.0922.9%6.6%0.0%0.0%22.8%-1.8%-0.4%4.3M-180.7M-2.3M0.8110.32N/AN/A3,3122,67473,98165,859
2007-01-25$75.62$72.0923.3%6.7%30.9%0.0%23.0%0.7%-0.8%3.7M-158.2M-2.3M1.078.85N/AN/A1,2171,30675,92467,072
2007-01-26$77.06$72.0924.0%6.9%30.3%0.0%25.0%-1.1%0.0%4.4M-196.8M-2.3M0.527.99N/AN/A6,9883,63375,41367,521
2007-01-29$76.42$72.0925.5%7.3%29.9%0.0%25.5%3.8%-0.9%4.2M-179.1M-2.4M0.288.30N/AN/A1,70747878,20069,793
2007-01-30$77.64$72.0925.4%7.3%29.3%0.0%23.7%-2.3%-0.5%5.0M-221.4M-2.4M0.3013.65N/AN/A6,3731,88678,70869,949
2007-01-31$77.62$78.1024.5%7.0%28.5%0.0%25.2%0.2%-0.5%5.7M-226.6M-2.4M0.374.78N/AN/A3,2001,18079,39270,886