AA Options History — November 2007

In November 2007, AA traded between $83.82 and $92.68. ATM implied volatility averaged 39.5%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 6.3% (HV 20d: 33.2%). 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 18 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2007-11-01: Highest Volume — 17,909 contracts
  • 2007-11-12: Largest IV spike — 12.6% change
  • 2007-11-12: Highest IV Rank — 61.6%
  • 2007-11-12: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.76$83.82$92.68$91.07$87.40
Max Pain$88.97$84.11$90.11$90.11$84.11
ATM IV39.5%33.4%49.8%37.4%33.8%
Expected Move11.1%9.6%12.9%10.7%9.7%
HV 20d33.2%29.2%34.9%34.9%29.2%
HV 60d34.7%32.1%38.7%38.7%32.9%
IV Rank40.1%27.4%61.6%35.9%28.3%
IV Percentile63.8%32.3%93.1%60.0%34.8%
Term Structure2.0%-0.6%5.1%-0.0%3.8%
VWIV38.9%34.2%44.8%37.7%34.6%
Skew 25d3.1%0.1%5.5%0.1%1.5%
Skew 10d5.5%-6.3%11.9%-6.3%2.0%
Call IV 25d38.1%33.3%44.6%38.3%34.4%
Put IV 25d41.2%35.9%46.2%38.3%35.9%
Bid-Ask Spread %14.908.9621.8316.218.96
Gamma HHI0.200.150.280.250.19
Net GEX13.9M9.0M23.1M21.2M14.2M
Net DEX-380.7M-739.6M-135.9M-655.4M-340.1M
Net VEX-5.7M-6.5M-5.1M-6.3M-5.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.302.380.630.73
Total Volume8,546.7623,45917,90917,9096,449
Total OI399,654.429374,086423,001406,300383,681

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$91.07$90.1137.4%10.7%34.9%35.9%37.7%0.1%-0.0%21.2M-655.4M-6.3M0.6316.21N/AN/A10,9666,943258,516147,784
2007-11-02$92.66$90.1138.7%11.1%33.8%38.6%37.6%1.9%-0.6%23.0M-739.6M-6.5M0.359.82N/AN/A3,6281,273261,524151,755
2007-11-05$91.07$90.1140.3%11.2%34.1%41.8%38.4%4.8%1.6%20.5M-615.1M-6.3M0.8120.78N/AN/A3,2782,639259,210150,526
2007-11-06$92.68$90.1137.8%11.0%32.0%36.7%37.5%5.5%0.9%23.1M-716.7M-6.3M0.5416.96N/AN/A2,5341,366257,906151,371
2007-11-07$89.87$90.1138.8%11.1%32.6%38.8%39.5%2.5%2.0%17.6M-521.2M-6.2M0.9419.02N/AN/A2,1862,065257,302151,406
2007-11-08$90.50$90.1142.4%11.4%32.2%46.2%40.4%2.0%0.5%19.0M-559.7M-6.2M0.8621.83N/AN/A6,9886,004257,377150,794
2007-11-09$89.13$90.1144.2%12.1%32.6%50.0%42.3%2.9%-0.1%16.4M-485.3M-6.1M1.0320.65N/AN/A3,9764,079259,717153,911
2007-11-12$86.20$90.1149.8%12.9%34.5%61.6%44.8%1.6%0.5%9.8M-250.7M-5.8M0.5517.57N/AN/A6,4003,523258,714155,441
2007-11-13$88.02$90.1144.1%12.2%34.5%49.8%42.9%3.4%1.1%11.5M-372.7M-5.9M0.3415.81N/AN/A8,4342,906260,062155,051
2007-11-14$88.57$90.1142.6%11.8%33.9%46.8%41.3%2.8%1.5%11.3M-396.8M-5.9M0.3411.81N/AN/A11,2123,800261,049155,779
2007-11-15$87.30$90.1141.2%11.8%33.9%43.7%41.4%3.0%1.1%9.2M-329.2M-5.9M0.3117.72N/AN/A6,9702,164265,423157,578
2007-11-16$87.25$90.1138.5%11.0%32.9%38.2%39.6%3.5%3.7%9.0M-278.6M-5.6M0.7418.91N/AN/A8,2976,159257,853154,602
2007-11-19$84.27$90.1140.0%11.5%34.7%41.2%40.2%2.5%2.5%9.4M-193.3M-5.4M2.3815.16N/AN/A3,8949,276232,427141,659
2007-11-20$85.02$90.1136.5%10.5%34.4%33.9%35.9%2.5%3.5%9.3M-183.9M-5.4M0.3111.88N/AN/A7,1852,242233,633145,268
2007-11-21$84.51$90.1137.5%10.7%34.4%35.9%37.6%3.4%3.6%10.3M-204.7M-5.4M0.3211.31N/AN/A6,4042,052237,130143,508
2007-11-23$84.47$84.1137.5%10.8%34.3%36.1%37.8%4.9%2.7%10.3M-174.2M-5.2M0.3513.38N/AN/A2,9361,017239,000144,678
2007-11-26$83.82$84.1139.5%11.3%32.5%40.3%39.4%4.0%2.7%9.4M-156.0M-5.1M0.9812.58N/AN/A3,5123,428240,044144,522
2007-11-27$84.20$84.1138.6%11.1%30.4%38.3%37.9%3.5%2.5%9.8M-135.9M-5.1M1.0910.96N/AN/A2,7072,954240,553146,612
2007-11-28$87.01$90.1136.2%10.4%32.6%33.3%34.2%4.9%2.9%12.5M-313.6M-5.2M0.6611.65N/AN/A2,5171,660239,522146,102
2007-11-29$87.83$90.1133.4%9.6%32.8%27.4%35.1%4.4%5.1%14.4M-372.0M-5.2M0.309.90N/AN/A2,670789239,360144,393
2007-11-30$87.40$84.1133.8%9.7%29.2%28.3%34.6%1.5%3.8%14.2M-340.1M-5.1M0.738.96N/AN/A3,7252,724240,400143,281