AA Options History — February 2007

In February 2007, AA traded between $77.26 and $84.97. ATM implied volatility averaged 28.4%. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 0.9% (HV 20d: 27.5%). Max pain ranged from $78.10 to $84.11. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.02.

Notable Days

  • 2007-02-13: Highest Volume — 65,721 contracts
  • 2007-02-13: Largest IV spike — 33.1% change
  • 2007-02-28: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$81.24$77.26$84.97$78.82$80.28
Max Pain$81.26$78.10$84.11$78.10$84.11
ATM IV28.4%21.9%36.0%23.2%36.0%
Expected Move8.2%6.7%10.3%6.7%10.3%
HV 20d27.5%21.4%32.1%28.0%32.1%
Term Structure0.5%-1.5%2.4%0.9%-0.3%
VWIV29.0%23.4%39.9%23.4%39.9%
Skew 25d-1.1%-10.3%2.2%0.6%-10.3%
Skew 10d-2.0%-21.0%9.6%2.6%-21.0%
Call IV 25d29.9%23.0%45.8%25.8%45.8%
Put IV 25d28.8%24.9%35.5%26.3%35.5%
Bid-Ask Spread %8.946.0015.487.1110.00
Gamma HHI0.310.220.410.300.27
Net GEX7.1M3.0M11.2M6.6M6.7M
Net DEX-337.9M-496.6M-179.7M-265.9M-273.2M
Net VEX-2.9M-3.7M-2.3M-2.3M-3.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.175.360.740.38
Total Volume14,304.4214,46665,7218,84219,174
Total OI192,029.053148,970236,712148,970236,100

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-02-01$78.82$78.1023.2%6.7%28.0%0.0%23.4%0.6%0.9%6.6M-265.9M-2.3M0.747.11N/AN/A5,0793,76378,83170,139
2007-02-02$77.95$78.1022.8%6.9%28.2%0.0%24.5%2.2%2.2%5.7M-231.2M-2.4M5.367.80N/AN/A9034,84179,55271,543
2007-02-05$78.24$78.1023.8%7.1%27.5%0.0%24.8%1.6%1.5%5.0M-225.1M-2.4M1.486.82N/AN/A2,4633,64379,57274,012
2007-02-06$78.94$78.1023.5%7.0%26.8%0.0%24.5%1.0%2.0%5.0M-249.9M-2.5M0.697.72N/AN/A3,5482,43380,18976,302
2007-02-07$77.26$78.1021.9%6.8%28.7%0.0%23.9%1.7%2.0%3.0M-179.7M-2.5M1.699.21N/AN/A3,1945,40979,78878,268
2007-02-08$78.43$78.1023.9%6.8%21.4%0.0%23.9%1.2%2.3%3.4M-224.3M-2.5M0.177.88N/AN/A8,7571,51481,72080,755
2007-02-09$78.15$78.1024.3%7.0%21.5%0.0%24.4%1.1%2.4%4.5M-229.1M-2.6M0.779.21N/AN/A3,1622,43687,07781,105
2007-02-12$79.06$78.1025.1%7.2%21.6%0.0%24.6%1.3%2.0%5.2M-270.1M-2.6M0.579.24N/AN/A2,8531,61388,48882,201
2007-02-13$84.11$78.1033.5%9.6%29.6%0.0%33.7%-1.1%0.7%5.4M-402.1M-2.6M0.496.76N/AN/A43,99321,72889,58283,240
2007-02-14$83.07$84.1132.2%9.2%30.2%0.0%32.2%-3.0%-0.6%8.7M-422.7M-3.1M0.6910.83N/AN/A20,07913,808113,16298,954
2007-02-15$83.41$84.1132.5%9.3%29.8%0.0%32.5%-2.3%-0.7%9.9M-443.0M-3.3M0.287.25N/AN/A19,6225,423119,226107,321
2007-02-16$83.58$84.1132.3%9.3%27.8%0.0%32.5%-0.5%-1.5%10.8M-496.6M-3.4M1.428.40N/AN/A2,0862,965128,652108,060
2007-02-20$83.79$84.1130.8%8.8%27.4%0.0%30.7%-4.2%-0.3%8.3M-408.3M-3.2M0.928.92N/AN/A4,4014,046113,18692,609
2007-02-21$84.47$84.1130.4%8.7%27.3%0.0%30.5%-1.1%-0.9%9.2M-450.0M-3.3M0.6510.00N/AN/A5,8783,841115,42694,149
2007-02-22$83.50$84.1129.6%8.5%28.0%0.0%29.9%-1.7%-0.6%9.4M-412.7M-3.3M0.936.00N/AN/A5,6045,212117,94595,258
2007-02-23$84.30$84.1129.7%8.5%27.4%0.0%30.3%-2.4%0.2%9.7M-449.4M-3.3M0.929.28N/AN/A4,2583,928119,84098,673
2007-02-26$84.97$84.1129.0%8.3%27.0%0.0%30.3%-2.5%0.7%11.2M-491.3M-3.3M0.3112.01N/AN/A4,1551,295122,378100,660
2007-02-27$81.20$84.1134.6%9.9%32.1%0.0%33.8%-2.8%-1.5%7.3M-296.1M-3.5M0.8215.48N/AN/A13,53211,145123,582101,007
2007-02-28$80.28$84.1136.0%10.3%32.1%0.0%39.9%-10.3%-0.3%6.7M-273.2M-3.7M0.3810.00N/AN/A13,8885,286129,400106,700