AA Options History — February 2008

In February 2008, AA traded between $77.88 and $94.01. ATM implied volatility averaged 40.7%, placing in the 40.4% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 3.7% (HV 20d: 44.4%). Max pain ranged from $72.09 to $84.11. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.82.

Notable Days

  • 2008-02-13: Highest Volume — 45,902 contracts
  • 2008-02-13: Largest IV spike — 66.0% change
  • 2008-02-13: Highest IV Rank — 100.0%
  • 2008-02-13: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.62$77.88$94.01$82.37$89.25
Max Pain$79.90$72.09$84.11$72.09$84.11
ATM IV40.7%34.7%72.7%34.7%37.5%
Expected Move11.1%10.0%12.7%10.0%10.7%
HV 20d44.4%35.5%55.8%55.8%44.3%
HV 60d42.3%40.8%44.9%41.0%44.9%
IV Rank40.4%29.9%100.0%30.3%32.8%
IV Percentile54.7%31.3%100.0%31.3%44.4%
Term Structure3.1%-0.7%6.1%1.6%6.1%
VWIV39.3%37.0%44.4%38.2%38.7%
Skew 25d3.7%-1.2%6.4%4.0%2.3%
Skew 10d8.2%2.3%12.4%11.7%6.0%
Call IV 25d37.9%35.1%44.8%35.5%37.4%
Put IV 25d41.6%38.2%44.7%39.4%39.7%
Bid-Ask Spread %10.566.4814.3913.9510.27
Gamma HHI0.160.120.220.120.18
Net GEX10.2M4.7M14.9M4.7M13.2M
Net DEX-285.8M-593.3M7.9M-96.9M-383.8M
Net VEX-4.2M-4.7M-3.6M-3.7M-4.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.085.490.215.49
Total Volume13,108.83,65945,9027,76613,136
Total OI245,988.2215,626272,184215,626269,592

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$82.37$72.0934.7%10.0%55.8%30.3%38.2%4.0%1.6%4.7M-96.9M-3.7M0.2113.95N/AN/A6,3951,371121,01794,609
2008-02-04$81.89$72.0939.6%11.2%54.4%40.3%39.0%6.1%1.1%5.3M-108.4M-3.7M0.1211.58N/AN/A11,6971,412123,77294,347
2008-02-05$78.51$78.1042.6%11.6%53.3%46.7%40.1%4.6%1.8%5.4M-16.9M-3.6M0.7910.83N/AN/A3,4742,729132,30094,951
2008-02-06$77.88$78.1042.5%11.6%47.5%46.4%39.8%4.7%2.2%4.8M7.9M-3.6M0.6011.88N/AN/A2,7291,635130,36195,348
2008-02-07$78.77$78.1041.1%11.7%47.6%43.5%40.0%6.4%1.5%5.5M-18.5M-3.6M0.3314.39N/AN/A5,8061,909131,70496,051
2008-02-08$81.13$78.1036.6%10.9%48.6%34.2%37.0%5.9%2.7%6.8M-102.2M-3.8M0.0814.00N/AN/A10,559853132,21096,828
2008-02-11$81.85$78.1039.6%10.9%48.6%40.5%40.2%5.7%2.6%9.0M-160.8M-3.9M1.0012.07N/AN/A1,8291,830142,40197,237
2008-02-12$80.48$78.1043.8%11.4%47.5%49.1%38.4%4.8%3.5%8.2M-102.2M-3.8M0.1112.59N/AN/A9,5371,077140,60897,693
2008-02-13$85.33$78.1072.7%12.7%47.1%100.0%44.4%-1.2%-0.7%9.8M-327.4M-4.2M0.2713.65N/AN/A36,2589,644148,21698,016
2008-02-14$84.97$78.1042.9%12.3%46.4%43.2%43.1%1.3%2.6%13.5M-344.2M-4.3M0.408.94N/AN/A19,1377,694157,848102,189
2008-02-15$85.84$78.1041.6%11.9%38.6%40.7%41.5%2.7%2.9%11.4M-389.5M-4.5M0.536.48N/AN/A4,2082,243164,263107,921
2008-02-19$86.99$78.1041.5%11.9%38.6%40.6%40.5%3.3%1.7%10.9M-296.9M-4.4M0.437.08N/AN/A16,5117,056145,73997,140
2008-02-20$88.50$84.1138.0%10.9%37.8%33.9%39.3%3.3%3.6%13.0M-382.5M-4.6M1.009.89N/AN/A5,7685,770155,453100,870
2008-02-21$87.23$84.1137.0%10.6%38.9%32.0%37.5%3.6%4.3%12.1M-322.8M-4.5M0.638.68N/AN/A3,2952,082153,577101,924
2008-02-22$87.83$84.1135.9%10.3%35.5%29.9%38.0%3.3%4.2%12.8M-350.6M-4.6M0.718.87N/AN/A2,9652,106154,463101,041
2008-02-25$93.36$84.1136.6%10.5%39.7%31.2%37.6%3.5%4.3%14.4M-587.4M-4.6M0.968.10N/AN/A10,70210,300153,375101,366
2008-02-26$92.52$84.1136.9%10.6%40.0%31.8%37.1%3.1%4.6%14.9M-548.0M-4.6M1.0110.00N/AN/A5,8185,879156,164104,543
2008-02-27$93.77$84.1135.9%10.3%38.7%30.0%38.2%3.1%5.8%13.9M-593.3M-4.7M0.809.72N/AN/A6,1444,930154,787106,355
2008-02-28$94.01$84.1136.2%10.4%38.7%30.5%37.2%3.1%5.8%13.9M-591.3M-4.7M0.958.15N/AN/A8,0507,638155,730107,755
2008-02-29$89.25$84.1137.5%10.7%44.3%32.8%38.7%2.3%6.1%13.2M-383.8M-4.7M5.4910.27N/AN/A2,02411,112160,111109,481