AA Options History — October 2007

In October 2007, AA traded between $89.61 and $97.15. ATM implied volatility averaged 38.9%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 6.7% (HV 20d: 32.2%). Max pain ranged from $90.11 to $90.11. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.67.

Notable Days

2007-10-10: Highest Volume — 52,643 contracts
2007-10-10: Largest IV drop — 25.6% change
2007-10-09: Highest IV Rank — 58.5%
2007-10-02: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$92.53	$89.61	$97.15	$94.08	$95.13
Max Pain	$90.11	$90.11	$90.11	$90.11	$90.11
ATM IV	38.9%	33.9%	48.3%	44.2%	35.4%
Expected Move	11.0%	9.7%	12.9%	12.7%	10.2%
HV 20d	32.2%	28.9%	35.5%	33.1%	30.8%
HV 60d	40.7%	37.7%	44.2%	44.0%	37.7%
IV Rank	38.8%	28.4%	58.5%	50.0%	31.7%
IV Percentile	60.9%	38.5%	90.2%	80.2%	45.5%
Term Structure	-0.1%	-4.8%	2.4%	-2.7%	1.0%
VWIV	38.6%	34.0%	45.3%	44.5%	36.1%
Skew 25d	0.7%	-2.2%	3.3%	-2.2%	0.7%
Skew 10d	1.8%	-5.2%	5.4%	-1.6%	3.0%
Call IV 25d	38.6%	34.1%	46.1%	46.1%	36.6%
Put IV 25d	39.4%	35.4%	46.2%	44.0%	37.3%
Bid-Ask Spread %	14.90	8.40	21.59	12.14	17.62
Gamma HHI	0.22	0.17	0.27	0.17	0.26
Net GEX	24.2M	16.1M	33.9M	30.8M	26.3M
Net DEX	-795.6M	-1.16B	-473.8M	-1.06B	-946.6M
Net VEX	-6.4M	-6.6M	-6.2M	-6.6M	-6.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.28	1.89	0.83	0.63
Total Volume	19,424.391	3,262	52,643	17,740	8,768
Total OI	487,019.304	385,365	560,621	507,795	404,020

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
2007-10-01	$94.08	$90.11	44.2%	12.7%	33.1%	50.0%	44.5%	-2.2%	-2.7%	30.8M	-1.06B	-6.6M	0.83	12.14	N/A	N/A	9,693	8,047	343,122	164,673
2007-10-02	$93.36	$90.11	45.0%	12.9%	33.3%	51.6%	45.3%	1.1%	-3.1%	29.5M	-998.3M	-6.5M	0.59	16.49	N/A	N/A	15,950	9,478	340,704	165,663
2007-10-03	$90.45	$90.11	42.3%	12.1%	35.5%	46.1%	42.5%	-1.4%	-1.5%	24.6M	-717.5M	-6.5M	0.29	8.40	N/A	N/A	14,824	4,292	346,682	169,076
2007-10-04	$90.50	$90.11	42.1%	12.1%	35.5%	45.6%	44.0%	-0.7%	-1.5%	25.5M	-705.8M	-6.3M	0.33	11.91	N/A	N/A	21,613	7,181	347,930	168,268
2007-10-05	$93.21	$90.11	44.2%	11.6%	32.1%	50.1%	40.5%	0.0%	-2.7%	30.9M	-981.4M	-6.6M	0.52	9.67	N/A	N/A	13,891	7,240	351,733	174,883
2007-10-08	$92.03	$90.11	45.6%	12.1%	31.0%	53.0%	41.8%	1.1%	-3.8%	26.4M	-810.9M	-6.4M	0.41	17.77	N/A	N/A	11,000	4,559	348,790	176,514
2007-10-09	$95.45	$90.11	48.3%	12.2%	32.8%	58.5%	42.2%	-0.4%	-4.8%	33.9M	-1.16B	-6.5M	0.47	11.33	N/A	N/A	28,999	13,596	351,151	177,412
2007-10-10	$93.07	$90.11	35.9%	10.4%	33.8%	32.7%	36.3%	0.1%	1.8%	29.9M	-873.1M	-6.3M	0.59	13.38	N/A	N/A	33,085	19,558	357,797	180,428
2007-10-11	$91.51	$90.11	38.1%	10.9%	34.3%	37.4%	38.4%	0.9%	1.4%	24.0M	-726.6M	-6.5M	1.19	16.18	N/A	N/A	17,327	20,633	358,356	188,642
2007-10-12	$91.63	$90.11	36.7%	10.5%	33.0%	34.4%	37.1%	1.4%	1.5%	21.6M	-671.7M	-6.5M	0.86	9.99	N/A	N/A	2,694	2,318	357,046	196,693
2007-10-15	$91.82	$90.11	38.0%	10.9%	32.8%	37.1%	37.7%	2.6%	0.7%	23.4M	-720.6M	-6.3M	0.43	21.59	N/A	N/A	8,886	3,836	357,617	192,291
2007-10-16	$89.61	$90.11	37.9%	10.9%	30.2%	36.9%	38.8%	0.8%	1.3%	16.1M	-473.8M	-6.2M	1.09	10.65	N/A	N/A	5,162	5,627	357,846	193,630
2007-10-17	$91.24	$90.11	36.7%	10.5%	30.7%	34.3%	36.9%	2.0%	2.1%	18.9M	-628.6M	-6.2M	0.66	16.78	N/A	N/A	12,552	8,308	357,090	193,680
2007-10-18	$92.23	$90.11	37.0%	10.6%	30.9%	34.9%	36.4%	3.3%	0.9%	20.6M	-743.6M	-6.5M	0.33	13.07	N/A	N/A	8,584	2,798	362,358	198,263
2007-10-19	$89.97	$90.11	37.4%	10.7%	32.2%	35.8%	38.6%	2.3%	2.4%	16.6M	-534.9M	-6.4M	1.66	20.35	N/A	N/A	11,230	18,644	363,000	195,925
2007-10-22	$90.67	$90.11	35.9%	10.3%	32.1%	32.7%	36.7%	2.3%	1.4%	16.3M	-576.3M	-6.4M	0.42	16.51	N/A	N/A	12,194	5,149	245,055	143,925
2007-10-23	$91.94	$90.11	35.0%	10.0%	32.4%	30.7%	34.9%	1.9%	1.4%	21.4M	-707.1M	-6.4M	0.38	18.21	N/A	N/A	6,988	2,624	249,216	136,149
2007-10-24	$91.79	$90.11	34.0%	9.7%	29.3%	28.7%	34.5%	1.5%	1.7%	21.2M	-693.5M	-6.4M	1.89	17.58	N/A	N/A	2,419	4,582	251,375	139,859
2007-10-25	$92.25	$90.11	33.9%	9.7%	28.9%	28.4%	34.0%	1.6%	1.6%	21.6M	-708.7M	-6.4M	0.81	16.35	N/A	N/A	1,799	1,463	252,502	142,350
2007-10-26	$94.56	$90.11	33.9%	9.7%	30.2%	28.6%	34.5%	0.3%	1.6%	24.9M	-878.9M	-6.5M	0.28	18.83	N/A	N/A	13,853	3,859	253,447	142,137
2007-10-29	$97.15	$90.11	36.8%	10.5%	31.7%	34.5%	36.8%	-2.1%	-0.5%	26.7M	-1.07B	-6.3M	0.30	15.98	N/A	N/A	17,032	5,167	253,728	142,147
2007-10-30	$94.61	$90.11	39.3%	11.3%	33.1%	39.8%	39.5%	-0.6%	-1.9%	26.1M	-915.1M	-6.6M	0.51	11.99	N/A	N/A	6,142	3,117	262,853	145,418
2007-10-31	$95.13	$90.11	35.4%	10.2%	30.8%	31.7%	36.1%	0.7%	1.0%	26.3M	-946.6M	-6.4M	0.63	17.62	N/A	N/A	5,380	3,388	257,856	146,164