AA Options History — August 2007 In August 2007, AA traded between $76.70 and $91.19. ATM implied volatility averaged 45.2%, placing in the 58.2% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 1.8% (HV 20d: 46.9%). Max pain ranged from $84.11 to $96.12. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.49.
Notable Days 2007-08-01 : Highest Volume — 52,982 contracts2007-08-16 : Largest IV spike — 45.2% change2007-08-01 : Highest IV Rank — 100.0%2007-08-16 : Largest Expected Move — 19.6%Monthly Statistics Metric Avg Min Max Open Close Price $85.65 $76.70 $91.19 $91.19 $87.78 Max Pain $88.55 $84.11 $96.12 $96.12 $84.11 ATM IV 45.2% 36.5% 68.2% 59.3% 36.5% Expected Move 13.3% 10.5% 19.6% 17.0% 10.5% HV 20d 46.9% 38.6% 52.9% 47.7% 47.9% HV 60d 38.7% 34.7% 42.5% 35.1% 42.2% IV Rank 58.2% 34.0% 100.0% 100.0% 34.0% IV Percentile 80.5% 58.7% 100.0% 100.0% 58.7% Term Structure 2.2% -8.7% 5.2% 2.0% 3.9% VWIV 47.7% 37.4% 69.2% 62.4% 37.4% Skew 25d -2.1% -6.3% 0.2% -6.3% -2.0% Skew 10d -5.3% -30.5% 2.2% -5.1% -5.9% Call IV 25d 48.8% 39.4% 68.7% 62.9% 39.4% Put IV 25d 46.7% 35.8% 67.9% 56.6% 37.3% Bid-Ask Spread % 15.59 9.14 20.53 17.54 13.36 Gamma HHI 0.14 0.12 0.15 0.14 0.14 Net GEX 16.6M 7.4M 27.6M 23.0M 21.6M Net DEX -300.5M -742.8M 326.8M -653.8M -544.3M Net VEX -7.8M -9.1M -7.0M -9.1M -7.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.49 0.13 0.90 0.28 0.32 Total Volume 22,390.174 4,284 52,982 52,982 6,552 Total OI 612,390.261 529,188 725,540 614,434 537,275
Daily Data (23 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 2007-08-01 $91.19 $96.12 59.3% 17.0% 47.7% 100.0% 62.4% -6.3% 2.0% 23.0M -653.8M -9.1M 0.28 17.54 N/A N/A 41,233 11,749 426,669 187,765 2007-08-02 $91.03 $96.12 52.3% 15.0% 47.7% 82.1% 54.4% -3.3% 3.2% 22.2M -591.2M -8.8M 0.56 17.16 N/A N/A 12,260 6,826 435,830 190,062 2007-08-03 $86.94 $96.12 50.6% 14.5% 49.7% 77.8% 54.9% -5.8% 0.4% 16.0M -285.8M -8.2M 0.86 13.35 N/A N/A 6,571 5,647 443,774 191,252 2007-08-06 $85.72 $96.12 51.9% 15.2% 48.9% 81.1% 54.0% -0.8% 0.3% 10.4M -104.1M -7.8M 0.27 19.51 N/A N/A 20,628 5,503 446,131 195,747 2007-08-07 $87.97 $96.12 40.2% 13.4% 50.3% 51.2% 47.6% -3.6% 1.1% 13.0M -268.2M -7.9M 0.47 18.39 N/A N/A 33,095 15,659 455,608 195,419 2007-08-08 $89.13 $90.11 40.1% 12.8% 50.0% 50.8% 45.7% -1.2% 1.7% 17.7M -396.5M -8.2M 0.35 19.60 N/A N/A 17,789 6,167 470,159 203,257 2007-08-09 $85.16 $90.11 45.0% 13.8% 43.9% 63.4% 49.2% -4.1% 3.8% 10.4M -114.9M -7.8M 0.49 20.53 N/A N/A 9,022 4,436 464,918 201,794 2007-08-10 $83.36 $90.11 46.9% 14.5% 38.6% 68.4% 51.1% -1.7% 0.6% 7.4M -7.8M -7.6M 0.29 16.64 N/A N/A 25,794 7,360 469,509 201,790 2007-08-13 $85.40 $90.11 46.0% 13.6% 41.1% 66.0% 48.7% -1.9% 2.3% 10.5M -138.1M -7.8M 0.64 17.11 N/A N/A 17,115 10,876 484,040 204,050 2007-08-14 $83.77 $90.11 43.3% 13.2% 40.9% 59.2% 47.5% -3.6% 2.7% 7.9M -20.5M -7.7M 0.24 16.34 N/A N/A 21,496 5,217 492,541 212,403 2007-08-15 $80.98 $90.11 47.0% 14.6% 41.2% 68.5% 50.4% -0.8% -1.1% 8.3M 140.7M -7.4M 0.49 16.63 N/A N/A 13,315 6,549 499,856 211,502 2007-08-16 $76.70 $90.11 68.2% 19.6% 42.6% 100.0% 69.2% -0.9% -8.7% 8.8M 326.8M -7.0M 0.57 14.32 N/A N/A 28,156 15,998 502,899 210,603 2007-08-17 $80.00 $84.11 50.7% 14.5% 46.8% 63.6% 52.6% -1.3% 1.7% 13.4M 194.2M -7.4M 0.54 15.93 N/A N/A 23,970 13,007 511,102 214,438 2007-08-20 $82.47 $84.11 49.0% 14.0% 49.3% 59.9% 50.1% -0.2% 2.0% 16.4M -285.3M -7.6M 0.25 9.14 N/A N/A 21,728 5,484 366,287 166,134 2007-08-21 $83.14 $84.11 45.5% 13.0% 49.2% 52.7% 45.8% -1.3% 2.2% 17.7M -341.9M -7.5M 0.76 16.05 N/A N/A 8,764 6,620 363,278 165,910 2007-08-22 $87.04 $84.11 41.6% 11.9% 52.9% 44.6% 42.3% -0.0% 5.0% 21.4M -541.5M -7.9M 0.61 15.23 N/A N/A 9,976 6,089 360,341 169,311 2007-08-23 $85.96 $84.11 39.2% 11.2% 46.6% 39.5% 40.9% 0.2% 5.0% 20.2M -464.3M -7.6M 0.31 12.54 N/A N/A 6,639 2,057 363,273 169,302 2007-08-24 $88.17 $84.11 36.8% 10.5% 47.4% 34.6% 39.9% -2.4% 4.7% 25.3M -670.1M -7.9M 0.13 12.63 N/A N/A 17,243 2,200 367,906 168,794 2007-08-27 $88.86 $84.11 36.6% 10.5% 46.7% 34.1% 37.5% -4.2% 5.1% 27.6M -742.8M -7.9M 0.75 9.81 N/A N/A 10,434 7,866 372,577 169,605 2007-08-28 $84.97 $84.11 38.6% 11.1% 49.1% 38.4% 39.3% -1.7% 4.4% 19.0M -388.0M -7.4M 0.63 18.27 N/A N/A 5,576 3,516 367,991 175,392 2007-08-29 $87.45 $84.11 36.7% 10.5% 50.5% 34.3% 37.9% -0.1% 5.2% 22.1M -532.4M -7.6M 0.56 17.95 N/A N/A 2,738 1,546 364,418 176,019 2007-08-30 $86.87 $84.11 37.3% 10.7% 50.5% 35.6% 38.2% -0.7% 3.4% 20.7M -482.5M -7.4M 0.90 10.63 N/A N/A 2,372 2,136 361,573 176,472 2007-08-31 $87.78 $84.11 36.5% 10.5% 47.9% 34.0% 37.4% -2.0% 3.9% 21.6M -544.3M -7.3M 0.32 13.36 N/A N/A 4,983 1,569 361,067 176,208
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