AA Options History — December 2007

In December 2007, AA traded between $81.46 and $90.95. ATM implied volatility averaged 37.1%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 4.0% (HV 20d: 33.1%). Max pain ranged from $84.11 to $90.11. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.53.

Notable Days

  • 2007-12-11: Highest Volume — 25,849 contracts
  • 2007-12-13: Largest IV spike — 18.6% change
  • 2007-12-17: Highest IV Rank — 47.6%
  • 2007-12-17: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.61$81.46$90.95$85.28$87.83
Max Pain$84.41$84.11$90.11$84.11$84.11
ATM IV37.1%32.0%43.1%35.0%40.1%
Expected Move11.0%9.3%12.4%10.0%11.5%
HV 20d33.1%26.7%37.3%29.3%35.9%
HV 60d32.5%31.4%33.5%31.9%33.0%
IV Rank35.2%24.6%47.6%30.7%41.4%
IV Percentile52.9%24.6%79.7%41.1%69.6%
Term Structure0.3%-3.2%6.2%4.4%-3.2%
VWIV39.3%32.7%45.1%34.8%41.3%
Skew 25d1.6%-1.8%4.1%2.4%0.2%
Skew 10d3.0%-4.0%8.0%4.5%2.4%
Call IV 25d39.0%32.8%44.3%35.1%42.4%
Put IV 25d40.6%36.2%45.2%37.5%42.6%
Bid-Ask Spread %10.937.3716.0711.527.37
Gamma HHI0.200.170.230.190.19
Net GEX13.3M4.1M19.7M11.7M15.0M
Net DEX-269.0M-589.4M107.9M-208.7M-307.5M
Net VEX-4.6M-5.0M-4.2M-4.9M-4.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.061.180.461.06
Total Volume10,280.152,00125,8499,6852,001
Total OI398,829.7386,114419,030386,114389,823

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$85.28$84.1135.0%10.0%29.3%30.7%34.8%2.4%4.4%11.7M-208.7M-4.9M0.4611.52N/AN/A6,6503,035241,600144,514
2007-12-04$84.71$90.1134.2%9.8%28.9%29.1%35.6%1.7%5.3%10.7M-162.4M-4.8M0.4111.11N/AN/A11,2274,564242,383145,961
2007-12-05$85.57$84.1133.5%9.6%28.3%27.6%33.8%3.2%4.9%11.3M-203.5M-4.8M0.218.54N/AN/A6,2921,337242,353145,573
2007-12-06$86.17$84.1132.6%9.3%26.7%25.7%32.7%3.4%6.2%12.3M-250.2M-4.9M0.3010.39N/AN/A4,3381,312244,421146,109
2007-12-07$88.69$84.1132.4%10.8%28.8%25.3%38.0%2.1%0.6%16.3M-433.5M-5.0M0.217.46N/AN/A6,6051,357241,546146,665
2007-12-10$90.95$84.1132.0%10.8%29.7%24.6%37.5%3.0%0.3%18.9M-589.4M-4.9M1.1016.07N/AN/A5,8396,436242,343146,725
2007-12-11$86.82$84.1136.6%11.7%32.0%34.2%45.1%-1.8%-0.7%13.2M-331.7M-4.8M0.2713.60N/AN/A20,4235,426243,200149,160
2007-12-12$88.62$84.1134.0%11.7%31.9%28.7%41.6%0.9%-1.4%16.2M-430.9M-5.0M1.1811.85N/AN/A4,9805,884255,174150,704
2007-12-13$87.30$84.1140.3%11.6%32.3%41.9%41.5%0.2%-0.6%13.6M-322.1M-5.0M0.3515.09N/AN/A3,8441,345254,243155,702
2007-12-14$84.56$84.1141.0%11.8%33.8%43.4%41.6%0.1%-0.9%9.2M-110.7M-4.6M0.2412.48N/AN/A10,7022,548253,438153,105
2007-12-17$81.46$84.1143.1%12.4%36.1%47.6%43.7%0.4%-2.9%4.1M107.9M-4.2M1.1313.43N/AN/A5,0265,658255,089154,326
2007-12-18$82.66$84.1142.4%12.1%34.7%46.1%42.8%2.1%-1.8%5.1M50.4M-4.3M0.5012.31N/AN/A8,8654,444253,090156,119
2007-12-19$82.88$84.1140.9%11.7%34.5%43.1%41.8%0.0%-1.2%6.8M14.2M-4.3M0.559.64N/AN/A5,5743,045259,780154,504
2007-12-20$85.04$84.1138.9%11.1%35.8%38.9%40.6%0.4%0.5%11.5M-149.7M-4.6M0.688.95N/AN/A6,0094,092263,220155,549
2007-12-21$87.35$84.1136.3%10.4%37.0%33.6%37.2%1.3%0.8%16.8M-343.4M-4.6M0.249.97N/AN/A6,4471,518263,836155,194
2007-12-24$88.94$84.1136.3%10.4%37.2%33.4%37.1%2.6%-0.1%17.0M-406.0M-4.5M0.639.92N/AN/A3,6082,261246,985144,697
2007-12-26$89.90$84.1136.8%10.5%37.3%34.5%39.8%4.1%-1.0%19.7M-487.7M-4.5M0.499.91N/AN/A5,2462,589247,654145,116
2007-12-27$88.89$84.1138.2%11.0%35.9%37.5%39.3%2.6%-1.5%18.6M-433.2M-4.5M0.6110.43N/AN/A1,542948250,044144,285
2007-12-28$88.57$84.1138.2%11.0%35.8%37.5%40.3%2.9%-2.0%17.0M-381.6M-4.3M0.068.64N/AN/A21,3551,231248,109144,255
2007-12-31$87.83$84.1140.1%11.5%35.9%41.4%41.3%0.2%-3.2%15.0M-307.5M-4.3M1.067.37N/AN/A9701,031245,355144,468