AA Options History — April 2007

In April 2007, AA traded between $81.51 and $86.48. ATM implied volatility averaged 26.6%. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 10.7% (HV 20d: 15.9%). Max pain ranged from $78.10 to $84.11. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.55.

Notable Days

  • 2007-04-11: Highest Volume — 27,624 contracts
  • 2007-04-11: Largest IV drop — 37.4% change
  • 2007-04-02: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.72$81.51$86.48$81.51$85.28
Max Pain$79.90$78.10$84.11$78.10$84.11
ATM IV26.6%21.3%38.0%36.9%21.9%
Expected Move7.5%6.1%10.6%10.6%6.3%
HV 20d15.9%11.2%21.1%18.6%21.1%
HV 60d25.2%23.4%27.6%27.5%25.3%
Term Structure0.4%-6.4%4.3%-6.4%1.2%
VWIV26.4%21.4%36.4%36.4%23.5%
Skew 25d-1.4%-6.8%1.2%-2.6%-6.8%
Skew 10d-2.3%-13.6%7.6%-4.6%-8.4%
Call IV 25d27.4%22.4%38.2%38.2%24.3%
Put IV 25d26.0%17.5%35.6%35.6%17.5%
Bid-Ask Spread %8.285.6712.416.428.26
Gamma HHI0.400.290.640.300.31
Net GEX17.9M9.4M35.3M10.4M14.7M
Net DEX-426.4M-552.2M-250.6M-331.0M-420.8M
Net VEX-3.5M-3.7M-3.4M-3.5M-3.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.201.180.760.20
Total Volume10,404.252,81127,6245,0695,000
Total OI244,530.35193,038277,362238,713207,329

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$81.51$78.1036.9%10.6%18.6%0.0%36.4%-2.6%-6.4%10.4M-331.0M-3.5M0.766.42N/AN/A2,8832,186129,589109,124
2007-04-03$83.19$78.1034.1%9.8%18.5%0.0%34.5%-1.7%-3.8%13.2M-413.2M-3.5M0.415.71N/AN/A1,990821130,136110,703
2007-04-04$82.90$78.1033.7%9.7%18.6%0.0%33.3%-0.8%-3.9%13.0M-391.3M-3.5M0.218.50N/AN/A22,2464,727129,883110,865
2007-04-05$83.12$78.1034.9%10.0%18.6%0.0%35.0%-1.0%-3.8%14.1M-437.1M-3.7M0.376.97N/AN/A10,8814,047139,727113,866
2007-04-09$83.79$78.1038.0%8.9%17.4%0.0%32.5%-0.4%-1.7%15.3M-482.7M-3.6M0.4910.69N/AN/A8,4224,136141,948115,710
2007-04-10$83.86$78.1036.5%8.7%17.3%0.0%30.3%1.2%-2.2%16.3M-494.1M-3.6M0.5710.21N/AN/A16,7089,442143,633117,675
2007-04-11$84.30$78.1022.9%7.5%15.2%0.0%26.2%-0.9%1.4%21.9M-534.1M-3.6M0.508.16N/AN/A18,4189,206147,087121,060
2007-04-12$84.27$78.1025.9%7.4%14.3%0.0%25.9%1.2%1.9%24.5M-552.1M-3.6M0.329.00N/AN/A6,2572,007151,903121,196
2007-04-13$84.39$78.1022.5%6.4%13.3%0.0%22.7%0.1%4.1%25.9M-552.2M-3.6M0.347.71N/AN/A8,5322,920151,747119,637
2007-04-16$83.96$78.1022.7%6.5%12.6%0.0%22.8%-1.2%3.8%35.3M-528.8M-3.5M0.8311.26N/AN/A4,4983,738154,784120,376
2007-04-17$83.55$78.1022.1%6.3%11.9%0.0%22.1%0.6%4.3%33.8M-456.9M-3.6M0.787.99N/AN/A1,8231,427154,767122,338
2007-04-18$82.83$78.1022.2%6.4%12.4%0.0%22.2%-0.1%3.8%25.1M-392.7M-3.5M0.5112.41N/AN/A2,0771,062154,639122,723
2007-04-19$82.49$78.1023.3%6.7%12.3%0.0%23.5%-0.1%2.3%17.8M-335.4M-3.4M0.478.43N/AN/A3,6371,713153,785122,663
2007-04-20$82.59$78.1021.4%6.1%12.1%0.0%22.0%-0.4%4.3%17.5M-337.8M-3.4M1.188.65N/AN/A3,2353,824154,467122,790
2007-04-23$82.06$84.1121.3%6.1%11.2%0.0%21.4%-1.4%1.0%9.4M-260.4M-3.4M0.518.65N/AN/A3,2151,633109,02784,011
2007-04-24$81.73$84.1121.8%6.2%11.3%0.0%21.9%-1.1%0.2%10.1M-250.6M-3.4M1.147.33N/AN/A2,0102,291111,21084,911
2007-04-25$85.93$84.1124.1%6.9%21.0%0.0%24.5%-1.5%0.4%12.2M-430.1M-3.4M0.295.67N/AN/A12,4913,577111,81086,005
2007-04-26$86.05$84.1123.3%6.7%20.3%0.0%24.1%-6.4%0.3%14.0M-455.0M-3.4M0.645.88N/AN/A6,8554,368115,59985,513
2007-04-27$86.48$84.1122.6%6.5%20.3%0.0%23.4%-4.7%0.9%14.4M-472.5M-3.5M0.407.74N/AN/A2,6931,089118,33088,041
2007-04-30$85.28$84.1121.9%6.3%21.1%0.0%23.5%-6.8%1.2%14.7M-420.8M-3.4M0.208.26N/AN/A4,184816118,84888,481