AA Options History — May 2007

In May 2007, AA traded between $83.53 and $99.20. ATM implied volatility averaged 35.0%. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 0.5% (HV 20d: 35.5%). Max pain ranged from $84.11 to $90.11. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.54.

Notable Days

  • 2007-05-07: Highest Volume — 99,600 contracts
  • 2007-05-07: Largest IV spike — 64.5% change
  • 2007-05-08: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.93$83.53$99.20$83.53$99.20
Max Pain$86.02$84.11$90.11$84.11$90.11
ATM IV35.0%20.2%48.5%20.2%35.5%
Expected Move9.9%5.8%11.7%5.8%10.2%
HV 20d35.5%21.5%40.1%22.7%37.5%
HV 60d28.1%25.3%30.4%25.6%27.2%
Term Structure0.7%-3.7%5.0%2.6%3.0%
VWIV35.0%20.3%43.0%20.3%33.1%
Skew 25d-3.5%-8.3%0.5%-1.0%-4.0%
Skew 10d-6.0%-13.8%0.7%-2.3%-7.4%
Call IV 25d37.7%22.3%44.9%22.5%38.1%
Put IV 25d34.2%17.3%39.8%21.5%34.1%
Bid-Ask Spread %12.525.2218.815.2218.81
Gamma HHI0.260.200.490.310.23
Net GEX23.4M13.6M49.5M14.0M25.7M
Net DEX-1.00B-1.44B-322.9M-322.9M-1.44B
Net VEX-4.8M-5.5M-3.2M-3.4M-5.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.041.190.730.36
Total Volume21,371.8182,82999,60014,0208,139
Total OI313,851.864209,561377,013209,561376,372

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$83.53$84.1120.2%5.8%22.7%0.0%20.3%-1.0%2.6%14.0M-322.9M-3.4M0.735.22N/AN/A8,1255,895120,72888,833
2007-05-02$83.82$84.1120.3%5.8%21.5%0.0%20.5%0.5%1.2%13.6M-351.7M-3.5M0.665.58N/AN/A1,7081,121122,88092,521
2007-05-03$84.25$84.1121.9%6.3%21.5%0.0%22.0%-8.3%3.6%13.6M-390.6M-3.5M0.1311.66N/AN/A8,5321,106123,41493,298
2007-05-04$85.69$84.1126.1%8.6%22.3%0.0%30.4%-1.7%-1.0%14.7M-477.9M-3.7M0.0413.30N/AN/A28,3751,135129,80393,828
2007-05-07$92.83$84.1142.9%11.0%35.7%0.0%39.3%-2.5%-2.4%16.7M-900.5M-3.8M0.3413.42N/AN/A74,37325,227152,98094,492
2007-05-08$94.92$84.1148.5%11.7%36.2%0.0%40.3%-1.5%-3.7%21.8M-1.16B-4.6M0.159.78N/AN/A52,9368,159194,106111,243
2007-05-09$93.07$84.1144.0%11.4%37.3%0.0%43.0%-4.7%-2.3%25.6M-1.11B-5.2M0.5110.51N/AN/A19,69710,102214,627114,823
2007-05-10$90.42$84.1139.4%11.3%39.2%0.0%41.3%-7.0%-2.8%25.7M-947.5M-5.5M0.9112.14N/AN/A6,2955,722222,748122,541
2007-05-11$91.39$84.1136.7%10.5%39.2%0.0%39.0%-3.7%-0.6%25.6M-988.8M-5.5M0.3615.30N/AN/A14,0805,114221,824127,725
2007-05-14$92.16$84.1137.8%10.8%39.1%0.0%39.0%-2.5%1.8%20.6M-721.2M-3.2M0.3214.14N/AN/A9,8343,110161,01990,357
2007-05-15$94.41$84.1139.1%11.2%39.5%0.0%39.1%-3.1%-0.9%27.8M-1.22B-5.4M1.198.57N/AN/A4,7585,675229,179130,788
2007-05-16$93.81$84.1137.9%10.9%39.4%0.0%38.2%-3.5%-0.1%28.1M-1.18B-5.5M0.4314.41N/AN/A3,2221,395230,584134,075
2007-05-17$94.08$84.1137.3%10.7%39.3%0.0%37.8%-3.4%0.2%28.6M-1.17B-5.3M0.4015.64N/AN/A5,8732,376226,988134,757
2007-05-18$95.47$84.1137.0%10.6%39.3%0.0%37.2%-2.0%0.5%49.5M-1.24B-5.3M0.3215.28N/AN/A12,6684,085227,597134,620
2007-05-21$93.69$84.1134.5%9.9%40.1%0.0%34.6%-2.0%1.2%22.0M-991.4M-5.3M0.8413.19N/AN/A5,1144,308199,270117,306
2007-05-22$93.60$90.1132.7%9.4%40.0%0.0%33.3%-2.1%1.8%22.9M-987.1M-5.2M0.6517.14N/AN/A3,2162,086199,494119,081
2007-05-23$97.01$90.1135.9%10.3%38.2%0.0%36.6%-3.3%0.9%21.5M-1.20B-5.0M0.2313.01N/AN/A28,3816,432201,452120,237
2007-05-24$96.62$90.1138.7%11.1%38.4%0.0%38.6%-6.3%0.6%22.0M-1.20B-5.4M0.7613.35N/AN/A18,78514,242210,571121,728
2007-05-25$98.28$90.1135.7%10.2%38.6%0.0%37.2%-5.5%2.9%23.5M-1.34B-5.4M0.8612.68N/AN/A12,49410,770221,866130,417
2007-05-29$97.01$90.1134.4%9.9%38.5%0.0%36.0%-4.7%5.0%25.6M-1.28B-5.5M1.0812.13N/AN/A7,8338,486231,572135,984
2007-05-30$99.10$90.1133.9%9.7%37.5%0.0%34.2%-4.6%4.0%25.7M-1.44B-5.5M0.6010.11N/AN/A5,7633,433236,361140,652
2007-05-31$99.20$90.1135.5%10.2%37.5%0.0%33.1%-4.0%3.0%25.7M-1.44B-5.5M0.3618.81N/AN/A5,9802,159236,216140,156