AA Options History — March 2007

In March 2007, AA traded between $76.25 and $82.16. ATM implied volatility averaged 32.3%. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 2.9% (HV 20d: 29.4%). Max pain ranged from $72.09 to $84.11. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.69.

Notable Days

  • 2007-03-01: Highest Volume — 22,277 contracts
  • 2007-03-15: Largest IV spike — 19.0% change
  • 2007-03-15: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.18$76.25$82.16$79.90$81.46
Max Pain$76.19$72.09$84.11$84.11$78.10
ATM IV32.3%26.8%37.7%33.1%34.9%
Expected Move9.5%8.7%10.8%9.5%10.0%
HV 20d29.4%22.0%34.8%32.2%22.0%
HV 60d29.0%27.6%30.2%30.2%27.6%
Term Structure-2.8%-6.3%2.7%2.7%-4.5%
VWIV34.0%30.5%40.3%40.3%34.9%
Skew 25d-1.6%-9.4%1.0%-9.4%-2.4%
Skew 10d-0.1%-13.9%6.9%-13.3%3.0%
Call IV 25d35.0%29.8%43.9%43.9%35.9%
Put IV 25d33.5%30.0%37.3%34.5%33.5%
Bid-Ask Spread %10.416.4621.5221.526.49
Gamma HHI0.280.230.320.290.28
Net GEX7.1M2.9M10.4M7.3M8.9M
Net DEX-246.3M-337.3M-55.7M-261.6M-305.5M
Net VEX-3.6M-3.8M-3.5M-3.7M-3.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.103.590.540.10
Total Volume8,187.8642,76822,27722,2776,489
Total OI244,659.909218,278266,659242,300235,016

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$79.90$84.1133.1%9.5%32.2%0.0%40.3%-9.4%2.7%7.3M-261.6M-3.7M0.5421.52N/AN/A14,4737,804134,260108,040
2007-03-02$78.58$84.1134.3%9.8%32.4%0.0%37.2%-7.7%0.9%5.7M-181.9M-3.8M1.4610.25N/AN/A4,3306,306140,436113,220
2007-03-05$76.25$72.0937.3%10.3%33.9%0.0%36.5%-1.4%-5.2%2.9M-55.7M-3.7M0.619.97N/AN/A5,6043,433140,156115,920
2007-03-06$77.88$72.0932.2%9.7%34.8%0.0%35.1%-0.8%-4.4%3.2M-111.7M-3.6M0.459.53N/AN/A9,1224,062137,945116,964
2007-03-07$77.83$72.0929.0%9.4%34.6%0.0%34.2%-0.9%-3.8%3.7M-120.8M-3.7M0.149.78N/AN/A3,351464144,046117,478
2007-03-08$78.07$72.0928.8%9.2%33.7%0.0%32.9%-0.6%-3.3%3.5M-115.0M-3.7M0.2813.09N/AN/A4,0661,149141,861116,845
2007-03-09$79.78$72.0926.8%9.3%34.2%0.0%32.9%-0.8%-3.7%7.6M-237.7M-3.7M0.289.61N/AN/A3,6841,022144,072117,087
2007-03-12$80.31$72.0930.4%9.2%34.2%0.0%32.9%0.3%-2.8%8.1M-269.0M-3.6M0.1510.19N/AN/A6,452966144,015116,848
2007-03-13$78.70$72.0932.9%9.4%34.8%0.0%33.7%-1.1%-3.6%3.4M-165.5M-3.6M0.3411.36N/AN/A2,813945145,292116,999
2007-03-14$80.07$72.0931.7%10.2%27.0%0.0%36.4%0.7%-5.0%5.2M-236.6M-3.6M0.808.29N/AN/A4,3503,487141,889116,516
2007-03-15$81.41$72.0937.7%10.8%27.5%0.0%37.0%-3.9%-6.3%9.6M-330.4M-3.6M0.518.49N/AN/A14,7177,447143,315117,928
2007-03-16$80.45$78.1037.6%10.8%27.7%0.0%38.4%-2.2%-5.3%6.3M-279.5M-3.6M0.888.81N/AN/A10,9849,612145,382121,277
2007-03-19$81.61$78.1034.2%9.8%28.3%0.0%34.8%1.0%-1.7%7.8M-306.9M-3.6M0.4710.76N/AN/A5,3762,523117,759100,519
2007-03-20$81.87$78.1032.6%9.4%28.3%0.0%33.1%0.2%-2.2%8.9M-315.7M-3.6M0.769.09N/AN/A3,2402,477118,919101,854
2007-03-21$81.34$78.1031.7%9.1%28.1%0.0%31.6%-0.2%-2.2%8.5M-289.8M-3.6M0.6711.27N/AN/A2,8811,943120,411104,527
2007-03-22$80.96$78.1030.3%8.7%27.9%0.0%31.8%-2.0%-0.8%8.4M-288.9M-3.6M0.829.38N/AN/A1,7271,416122,251105,468
2007-03-23$82.16$78.1031.2%8.9%28.3%0.0%31.1%-1.8%-2.6%9.7M-337.3M-3.6M0.546.50N/AN/A1,803965123,238107,012
2007-03-26$82.11$78.1030.5%8.7%28.0%0.0%30.5%0.9%-2.4%10.4M-335.2M-3.5M0.526.46N/AN/A2,4341,273123,462106,494
2007-03-27$81.70$78.1031.6%9.1%22.9%0.0%30.9%-2.0%-2.7%9.8M-320.9M-3.5M0.758.27N/AN/A2,1371,610124,466106,727
2007-03-28$80.69$78.1030.3%8.7%23.0%0.0%30.6%-0.4%-1.0%8.9M-266.2M-3.5M0.5512.50N/AN/A2,9811,627125,124107,238
2007-03-29$80.93$78.1032.2%9.2%22.9%0.0%32.2%0.0%-2.5%9.2M-286.8M-3.5M3.5917.35N/AN/A1,4345,154126,072108,170
2007-03-30$81.46$78.1034.9%10.0%22.0%0.0%34.9%-2.4%-4.5%8.9M-305.5M-3.6M0.106.49N/AN/A5,875614125,208109,808