AA Options History — July 2007

In July 2007, AA traded between $89.90 and $113.78. ATM implied volatility averaged 48.7%, placing in the 75.3% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 12.9% (HV 20d: 35.8%). Max pain ranged from $90.11 to $102.13. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.44.

Notable Days

2007-07-12: Highest Volume — 133,738 contracts
2007-07-12: Largest IV spike — 28.6% change
2007-07-26: Highest IV Rank — 98.8%
2007-07-03: Largest Expected Move — 16.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$101.69	$89.90	$113.78	$98.74	$91.79
Max Pain	$96.98	$90.11	$102.13	$90.11	$96.12
ATM IV	48.7%	32.5%	57.3%	51.9%	50.5%
Expected Move	14.1%	11.8%	16.4%	14.9%	14.5%
HV 20d	35.8%	24.6%	49.0%	27.4%	48.0%
HV 60d	33.7%	29.8%	38.8%	29.8%	38.7%
IV Rank	75.3%	33.0%	98.8%	88.0%	81.7%
IV Percentile	91.7%	49.2%	99.3%	99.2%	94.4%
Term Structure	-5.3%	-13.9%	4.3%	-7.4%	4.3%
VWIV	50.2%	41.3%	64.0%	53.9%	55.4%
Skew 25d	-3.1%	-9.6%	2.9%	-9.6%	-7.0%
Skew 10d	-5.9%	-16.3%	3.1%	-16.3%	-15.2%
Call IV 25d	51.2%	40.7%	64.5%	57.9%	57.9%
Put IV 25d	48.0%	40.9%	55.4%	48.3%	50.9%
Bid-Ask Spread %	12.07	6.25	24.80	6.25	10.26
Gamma HHI	0.21	0.13	0.27	0.23	0.14
Net GEX	40.1M	19.4M	61.7M	31.7M	22.4M
Net DEX	-1.74B	-3.37B	-436.7M	-1.40B	-619.7M
Net VEX	-7.5M	-8.6M	-6.2M	-6.9M	-8.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.14	1.15	0.61	0.31
Total Volume	49,065.524	15,541	133,738	34,131	49,068
Total OI	563,683.667	486,181	684,350	486,181	590,694

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2007-07-02	$98.74	$90.11	51.9%	14.9%	27.4%	0.0%	53.9%	-9.6%	-7.4%	31.7M	-1.40B	-6.9M	0.61	6.25	N/A	N/A	21,256	12,875	312,026	174,155
2007-07-03	$99.72	$90.11	57.3%	16.4%	27.3%	0.0%	56.9%	-4.1%	-8.6%	33.8M	-1.51B	-7.0M	0.94	8.70	N/A	N/A	8,027	7,514	321,380	179,195
2007-07-05	$99.36	$90.11	52.8%	15.1%	26.4%	88.0%	52.2%	-2.7%	-4.3%	35.8M	-1.49B	-6.8M	0.59	12.27	N/A	N/A	30,674	18,010	320,859	176,521
2007-07-06	$100.11	$96.12	46.8%	12.6%	24.7%	71.9%	43.1%	-3.5%	-6.4%	39.6M	-1.60B	-6.9M	0.62	8.75	N/A	N/A	9,989	6,180	330,980	184,893
2007-07-09	$101.79	$96.12	48.7%	13.0%	24.6%	76.8%	44.9%	0.0%	-8.6%	40.3M	-1.78B	-6.5M	0.30	11.09	N/A	N/A	29,991	8,879	326,174	187,182
2007-07-10	$100.11	$96.12	35.9%	12.5%	25.2%	42.2%	43.5%	-1.1%	-7.3%	44.2M	-1.63B	-6.5M	0.18	13.58	N/A	N/A	46,990	8,250	333,895	189,896
2007-07-11	$101.96	$96.12	32.5%	11.8%	25.8%	33.0%	41.3%	0.2%	-4.1%	47.6M	-1.84B	-6.7M	1.15	15.18	N/A	N/A	18,491	21,306	345,757	191,614
2007-07-12	$108.83	$96.12	41.7%	12.0%	32.8%	58.1%	41.9%	2.9%	-4.2%	44.2M	-2.57B	-6.2M	0.22	24.80	N/A	N/A	109,903	23,835	340,735	194,789
2007-07-13	$113.78	$96.12	47.3%	13.6%	35.4%	73.1%	46.8%	-0.6%	-7.6%	50.9M	-3.37B	-6.9M	0.20	13.00	N/A	N/A	65,263	13,238	398,956	200,552
2007-07-16	$112.39	$96.12	49.8%	14.3%	36.0%	79.8%	50.0%	-2.5%	-9.3%	57.4M	-3.12B	-7.1M	0.21	8.74	N/A	N/A	68,232	14,156	404,307	208,439
2007-07-17	$112.00	$96.12	51.0%	14.6%	36.2%	83.0%	50.6%	-3.5%	-10.8%	61.7M	-3.13B	-7.6M	0.39	7.79	N/A	N/A	34,836	13,509	427,240	216,056
2007-07-18	$111.62	$96.12	55.9%	16.0%	36.0%	96.4%	54.6%	1.0%	-13.9%	54.4M	-2.98B	-7.9M	0.32	13.97	N/A	N/A	23,597	7,623	426,780	224,102
2007-07-19	$107.22	$102.13	48.1%	13.8%	37.2%	75.2%	48.8%	-1.3%	-7.0%	59.2M	-2.51B	-8.0M	0.48	8.77	N/A	N/A	56,300	27,066	444,734	223,665
2007-07-20	$103.52	$102.13	46.7%	13.4%	39.9%	71.5%	47.6%	-0.7%	-6.0%	45.8M	-2.04B	-8.0M	0.30	9.07	N/A	N/A	49,849	14,840	453,608	230,742
2007-07-23	$102.01	$102.13	45.7%	13.1%	40.2%	68.8%	47.4%	-1.2%	-1.0%	38.0M	-1.24B	-8.3M	0.29	10.46	N/A	N/A	47,670	13,692	356,880	151,321
2007-07-24	$99.12	$102.13	46.5%	13.3%	41.3%	71.0%	48.4%	-4.7%	-1.2%	34.7M	-1.08B	-8.6M	0.39	7.97	N/A	N/A	14,549	5,675	377,873	160,330
2007-07-25	$98.31	$102.13	46.6%	13.3%	40.8%	71.1%	49.0%	-3.9%	-0.3%	34.0M	-1.00B	-8.3M	0.14	16.79	N/A	N/A	33,663	4,556	371,514	155,040
2007-07-26	$91.31	$102.13	56.8%	16.3%	48.9%	98.8%	64.0%	-9.0%	-5.1%	25.1M	-579.8M	-8.0M	0.58	19.04	N/A	N/A	23,659	13,618	388,315	156,117
2007-07-27	$89.90	$96.12	56.3%	16.1%	49.0%	97.4%	57.9%	-8.7%	-0.6%	19.4M	-436.7M	-8.2M	0.63	15.71	N/A	N/A	19,074	12,091	396,865	178,429
2007-07-30	$91.91	$96.12	54.3%	15.6%	48.4%	92.1%	56.7%	-5.6%	-1.4%	22.2M	-570.7M	-8.5M	0.36	11.28	N/A	N/A	16,496	5,886	403,030	181,717
2007-07-31	$91.79	$96.12	50.5%	14.5%	48.0%	81.7%	55.4%	-7.0%	4.3%	22.4M	-619.7M	-8.6M	0.31	10.26	N/A	N/A	37,516	11,552	409,373	181,321