AA Options History — September 2007

In September 2007, AA traded between $80.86 and $94.01. ATM implied volatility averaged 41.5%, placing in the 44.3% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 0.6% (HV 20d: 40.9%). Max pain ranged from $84.11 to $90.11. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.58.

Notable Days

  • 2007-09-07: Highest Volume — 38,921 contracts
  • 2007-09-07: Largest IV spike — 18.1% change
  • 2007-09-17: Highest IV Rank — 52.5%
  • 2007-09-07: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.36$80.86$94.01$87.49$94.01
Max Pain$89.16$84.11$90.11$84.11$90.11
ATM IV41.5%35.7%45.4%35.7%43.0%
Expected Move12.1%10.2%13.5%10.2%12.3%
HV 20d40.9%33.2%47.6%47.6%33.2%
HV 60d43.1%42.0%44.0%42.0%44.0%
IV Rank44.3%32.2%52.5%32.2%47.6%
IV Percentile73.7%55.4%82.5%55.4%78.0%
Term Structure-1.7%-5.7%4.8%3.8%-1.2%
VWIV43.3%35.6%48.4%35.6%42.6%
Skew 25d-0.7%-3.3%2.8%-2.9%-2.4%
Skew 10d-0.2%-5.7%5.0%-4.8%-2.2%
Call IV 25d44.0%38.4%48.6%38.4%44.6%
Put IV 25d43.3%35.5%50.1%35.5%42.2%
Bid-Ask Spread %15.5010.2221.5612.0113.03
Gamma HHI0.150.130.260.140.16
Net GEX21.3M8.2M40.3M21.5M30.9M
Net DEX-503.6M-1.06B37.1M-520.0M-1.06B
Net VEX-6.5M-7.0M-5.9M-7.0M-6.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.121.810.370.98
Total Volume15,612.5794,32338,9218,68521,275
Total OI535,458.368487,191561,646535,382497,993

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$87.49$84.1135.7%10.2%47.6%32.2%35.6%-2.9%3.8%21.5M-520.0M-7.0M0.3712.01N/AN/A6,3422,343360,082175,300
2007-09-05$87.66$84.1136.8%10.6%46.7%34.6%37.5%-2.9%3.8%21.5M-517.4M-7.0M0.1214.48N/AN/A10,7151,331359,772176,538
2007-09-06$87.71$84.1135.9%10.3%46.5%32.6%36.4%-3.3%4.8%21.5M-530.4M-7.0M0.3215.84N/AN/A10,5973,353363,080176,704
2007-09-07$83.79$90.1142.4%13.5%46.5%46.2%48.4%1.5%-4.2%14.6M-259.7M-6.9M0.9517.04N/AN/A19,95818,963366,778179,267
2007-09-10$81.82$90.1145.3%13.5%46.6%52.2%47.9%2.0%-5.7%11.1M-64.8M-6.5M0.5515.47N/AN/A12,8387,030374,499187,147
2007-09-11$82.18$90.1143.0%13.1%45.7%47.4%46.6%1.8%-4.6%11.9M-98.7M-6.3M0.7115.70N/AN/A6,1754,368367,548180,649
2007-09-12$80.86$90.1140.4%12.8%45.6%42.0%44.6%2.8%-3.2%8.2M37.1M-5.9M0.4619.31N/AN/A6,4742,973371,076182,524
2007-09-13$82.71$90.1142.3%12.1%44.7%46.0%43.3%0.4%-2.6%11.9M-140.5M-6.2M0.2420.46N/AN/A6,6181,561369,881182,665
2007-09-14$85.26$90.1144.0%12.6%40.8%49.6%47.5%-1.7%-4.0%17.0M-362.9M-6.6M0.4810.78N/AN/A8,6344,105369,547182,563
2007-09-17$84.66$90.1145.4%13.0%38.6%52.5%45.9%-0.7%-3.7%15.3M-307.9M-6.4M0.7918.10N/AN/A2,4121,911369,593182,457
2007-09-18$88.65$90.1142.4%12.2%40.4%46.2%44.5%-0.7%-3.2%24.2M-607.6M-6.4M0.6521.56N/AN/A10,1356,541368,612183,027
2007-09-19$89.58$90.1144.3%12.7%40.4%50.1%45.4%-1.9%-3.3%26.1M-715.4M-6.6M0.4815.96N/AN/A12,3235,966369,235186,213
2007-09-20$89.58$90.1144.4%12.7%37.3%50.3%45.6%-0.6%-5.1%26.1M-675.2M-6.5M0.7114.49N/AN/A6,2614,451366,889183,813
2007-09-21$89.87$90.1142.7%12.3%36.9%46.9%43.8%-0.7%-3.4%40.3M-690.1M-6.5M0.5010.22N/AN/A6,9183,443366,221186,528
2007-09-24$88.94$90.1138.2%10.9%36.1%37.4%39.9%-1.2%-0.1%21.2M-558.8M-6.1M0.2414.65N/AN/A14,1523,338323,447163,744
2007-09-25$88.91$90.1137.6%10.8%36.0%36.3%40.8%0.3%0.0%22.1M-575.9M-6.3M1.8117.33N/AN/A6,32211,422332,953164,282
2007-09-26$92.44$90.1141.2%11.8%34.4%43.7%42.3%-1.3%0.0%27.2M-874.8M-6.5M0.5516.31N/AN/A16,0348,809335,155168,263
2007-09-27$93.72$90.1143.2%12.4%33.4%47.9%44.0%-2.4%-1.4%31.2M-1.04B-6.6M0.2011.69N/AN/A17,1023,446341,146158,518
2007-09-28$94.01$90.1143.0%12.3%33.2%47.6%42.6%-2.4%-1.2%30.9M-1.06B-6.5M0.9813.03N/AN/A10,72410,551339,199158,794