AA Options History — June 2007

In June 2007, AA traded between $93.00 and $100.64. ATM implied volatility averaged 37.2%. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 10.0% (HV 20d: 27.2%). Max pain ranged from $84.11 to $90.11. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2007-06-18: Highest Volume — 69,542 contracts
  • 2007-06-12: Largest IV spike — 27.5% change
  • 2007-06-15: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$96.61$93.00$100.64$99.63$97.39
Max Pain$87.54$84.11$90.11$90.11$90.11
ATM IV37.2%32.1%47.1%34.8%43.0%
Expected Move10.7%9.4%12.7%10.0%12.3%
HV 20d27.2%24.3%38.0%37.5%27.2%
HV 60d28.3%27.2%29.7%27.2%29.7%
Term Structure-1.6%-7.2%4.0%4.0%-2.9%
VWIV38.3%34.6%44.7%34.6%44.7%
Skew 25d-4.3%-9.6%-1.0%-4.4%-9.6%
Skew 10d-7.1%-14.0%-2.1%-7.5%-14.0%
Call IV 25d40.2%36.1%49.5%36.6%49.5%
Put IV 25d35.9%32.3%40.4%32.3%39.9%
Bid-Ask Spread %11.146.5116.2315.5811.98
Gamma HHI0.240.200.290.230.24
Net GEX29.4M25.3M34.8M26.4M30.9M
Net DEX-1.25B-1.72B-804.4M-1.47B-1.26B
Net VEX-6.1M-6.9M-5.4M-5.4M-6.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.091.040.090.63
Total Volume19,231.815,16069,54212,72825,532
Total OI428,652.714380,733478,106380,733478,106

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$99.63$90.1134.8%10.0%37.5%0.0%34.6%-4.4%4.0%26.4M-1.47B-5.4M0.0915.58N/AN/A11,6771,051239,820140,913
2007-06-04$98.50$84.1133.7%10.9%38.0%0.0%38.3%-3.5%-3.3%28.0M-1.47B-5.5M0.3512.86N/AN/A5,3881,905248,195141,385
2007-06-05$97.54$84.1132.6%10.7%26.9%0.0%37.9%-1.7%-2.4%28.8M-1.39B-5.6M0.258.62N/AN/A9,0052,238250,908141,824
2007-06-06$95.76$84.1132.1%10.6%26.8%0.0%36.8%-3.2%-1.4%29.1M-1.27B-5.8M0.6214.18N/AN/A4,2082,614258,587143,005
2007-06-07$93.55$84.1139.6%10.6%27.2%0.0%37.0%-4.3%-2.1%28.1M-1.10B-5.8M0.8116.17N/AN/A8,0956,568259,583144,231
2007-06-08$95.30$84.1136.8%10.2%25.6%0.0%35.5%-2.4%-0.2%30.5M-1.27B-5.8M0.1714.33N/AN/A11,8292,039262,878146,125
2007-06-11$94.44$84.1137.0%10.2%25.7%0.0%35.5%-3.1%-0.4%32.3M-1.16B-5.7M0.1216.23N/AN/A14,6721,763265,152146,487
2007-06-12$94.53$84.1147.1%11.6%25.6%0.0%41.6%-4.1%-5.0%31.2M-1.16B-5.8M0.1410.69N/AN/A12,8081,854265,767145,896
2007-06-13$97.27$84.1141.9%11.8%26.2%0.0%42.2%-6.9%-4.4%33.1M-1.42B-5.7M0.287.46N/AN/A21,3166,074268,712146,252
2007-06-14$98.91$84.1141.3%11.8%26.5%0.0%42.5%-5.0%-2.9%34.8M-1.62B-5.9M0.517.16N/AN/A15,8068,131279,678150,704
2007-06-15$99.96$90.1144.2%12.7%26.7%0.0%43.3%-5.3%-7.2%29.2M-1.72B-6.0M0.456.51N/AN/A25,44411,401286,873154,871
2007-06-18$100.64$90.1137.5%10.8%26.4%0.0%38.1%-1.0%2.3%29.8M-1.47B-6.0M1.047.44N/AN/A34,15435,388256,452141,371
2007-06-19$99.92$90.1135.9%10.3%25.4%0.0%35.7%-1.1%-1.8%31.4M-1.40B-6.3M0.596.73N/AN/A21,27712,615276,447156,860
2007-06-20$96.72$90.1135.3%10.1%28.4%0.0%37.7%-3.5%-0.5%26.3M-1.13B-6.9M0.6410.11N/AN/A5,9003,803288,208172,628
2007-06-21$96.94$90.1134.3%9.8%25.4%0.0%35.8%-2.1%-1.1%29.8M-1.14B-6.6M0.6611.78N/AN/A3,1062,054286,683161,522
2007-06-22$96.12$90.1132.6%9.4%25.5%0.0%35.3%-4.6%-0.2%29.4M-1.10B-6.6M0.909.60N/AN/A3,1752,860288,077162,748
2007-06-25$94.70$90.1133.0%9.5%25.2%0.0%35.2%-5.2%-1.3%28.1M-942.1M-6.5M0.5311.33N/AN/A6,5893,506288,757163,230
2007-06-26$93.00$90.1133.5%9.6%25.5%0.0%38.3%-4.7%0.6%25.3M-804.4M-6.5M0.3211.31N/AN/A12,3983,995290,553164,843
2007-06-27$93.64$90.1136.3%10.4%24.3%0.0%37.1%-6.0%-1.3%27.1M-888.2M-6.6M0.4711.05N/AN/A19,6729,265295,699165,954
2007-06-28$94.44$90.1138.2%11.0%24.6%0.0%40.9%-7.7%-1.5%28.7M-982.2M-6.7M0.4812.84N/AN/A8,5644,129306,155169,568
2007-06-29$97.39$90.1143.0%12.3%27.2%0.0%44.7%-9.6%-2.9%30.9M-1.26B-6.8M0.6311.98N/AN/A15,6689,864306,243171,863