AA Options History — January 2008

In January 2008, AA traded between $69.18 and $86.96. ATM implied volatility averaged 44.9%, placing in the 51.3% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 0.6% (HV 20d: 45.5%). Max pain ranged from $72.09 to $90.11. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2008-01-07: Highest Volume — 37,699 contracts
  • 2008-01-10: Largest IV drop — 38.4% change
  • 2008-01-09: Highest IV Rank — 99.2%
  • 2008-01-09: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.41$69.18$86.96$86.82$79.52
Max Pain$77.53$72.09$90.11$84.11$72.09
ATM IV44.9%38.2%67.8%42.8%38.2%
Expected Move12.4%10.9%15.3%12.3%10.9%
HV 20d45.5%34.9%54.1%35.0%54.1%
HV 60d37.5%32.2%41.3%32.4%40.4%
IV Rank51.3%37.4%99.2%47.1%37.4%
IV Percentile78.0%54.8%99.6%78.5%54.8%
Term Structure-1.8%-8.8%1.3%-3.2%0.1%
VWIV43.6%38.4%52.5%45.1%39.7%
Skew 25d3.6%-0.7%7.5%0.2%3.9%
Skew 10d6.1%-0.7%10.0%-0.7%6.7%
Call IV 25d42.4%37.0%49.3%45.0%37.2%
Put IV 25d46.0%40.4%55.3%45.2%41.1%
Bid-Ask Spread %11.566.6718.739.848.20
Gamma HHI0.210.120.400.180.13
Net GEX-246.7K-7.2M12.4M12.4M3.7M
Net DEX211.1M-235.7M573.0M-235.7M-14.6M
Net VEX-3.1M-4.1M-2.4M-4.1M-3.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.111.730.570.78
Total Volume15,260.6194,60537,6994,6059,120
Total OI322,464.095177,371410,412385,202213,076

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$86.82$84.1142.8%12.3%35.0%47.1%45.1%0.2%-3.2%12.4M-235.7M-4.1M0.579.84N/AN/A2,9311,674240,358144,844
2008-01-03$86.96$84.1142.3%12.1%34.9%46.0%43.3%-0.7%-3.4%11.7M-226.3M-4.0M0.116.85N/AN/A8,481971239,031145,429
2008-01-04$83.79$90.1144.6%11.5%37.3%50.8%40.6%1.8%-1.1%6.8M-35.3M-3.9M0.8618.73N/AN/A4,1543,563243,733145,167
2008-01-07$79.56$84.1150.0%12.2%41.2%62.0%42.4%3.4%-2.2%-1.8M247.9M-3.3M1.3218.38N/AN/A16,28021,419238,667145,151
2008-01-08$74.49$84.1155.3%12.7%44.8%73.1%44.4%1.5%-2.5%-5.5M464.7M-2.9M1.1914.63N/AN/A10,72212,809246,567153,950
2008-01-09$75.09$78.1067.8%15.3%43.5%99.2%52.5%6.0%-8.8%-4.3M420.7M-3.0M1.0510.27N/AN/A17,53718,341243,387151,764
2008-01-10$75.55$78.1041.8%12.0%41.5%45.0%42.1%2.4%-2.0%-5.8M438.5M-2.9M1.0011.12N/AN/A9,9409,894251,441156,137
2008-01-11$76.25$78.1040.6%11.6%40.7%42.5%41.1%2.6%-1.0%-5.7M399.9M-3.0M0.5810.79N/AN/A6,5843,839254,069156,343
2008-01-14$79.06$78.1038.2%11.0%43.4%37.5%38.4%3.4%1.3%-5.1M281.6M-3.0M0.997.89N/AN/A8,0698,012254,016155,041
2008-01-15$74.95$78.1040.6%11.7%45.8%42.6%39.6%3.1%-0.0%-6.9M440.9M-2.8M1.5812.31N/AN/A6,94410,976252,076153,755
2008-01-16$73.60$78.1042.8%12.3%44.5%47.1%42.8%2.4%-1.2%-7.2M456.6M-2.8M1.4314.12N/AN/A4,7206,750255,517152,268
2008-01-17$69.18$78.1044.0%12.6%48.2%49.6%44.7%2.6%-0.6%-5.8M573.0M-2.4M1.738.97N/AN/A3,7226,446255,876150,496
2008-01-18$69.93$78.1043.0%12.3%48.5%47.4%43.3%4.8%-0.5%-2.9M546.0M-2.4M1.2511.91N/AN/A5,8037,232255,127146,497
2008-01-22$69.18$72.0947.7%13.7%46.8%57.2%48.6%4.5%-4.7%-426.3K207.0M-2.4M0.506.67N/AN/A13,5176,709100,87076,501
2008-01-23$70.14$72.0949.2%14.1%45.6%60.3%50.7%7.5%-5.0%343.8K181.1M-2.7M0.7610.38N/AN/A10,3227,880109,45879,406
2008-01-24$74.04$72.0944.7%12.8%50.2%51.0%45.5%4.3%-1.7%1.2M114.1M-3.0M0.369.91N/AN/A9,3713,411110,59882,328
2008-01-25$73.75$72.0944.3%12.7%49.7%50.3%43.9%3.9%-1.0%1.6M101.3M-3.0M0.7215.80N/AN/A9,6076,920111,48782,064
2008-01-28$75.62$72.0942.6%12.2%51.3%46.6%44.8%5.7%-1.1%2.2M69.0M-3.3M0.468.53N/AN/A3,3831,547116,66588,069
2008-01-29$78.48$72.0941.6%11.9%53.7%44.5%41.2%6.8%0.9%3.2M-665.4K-3.5M0.5613.55N/AN/A8,0844,488116,39788,404
2008-01-30$78.58$72.0940.0%11.5%53.8%41.2%41.0%5.6%-0.9%3.3M3.7M-3.5M0.9013.96N/AN/A4,3713,930119,06990,647
2008-01-31$79.52$72.0938.2%10.9%54.1%37.4%39.7%3.9%0.1%3.7M-14.6M-3.5M0.788.20N/AN/A5,1253,995120,23792,839