AA Options History — March 2008

In March 2008, AA traded between $83.34 and $93.02. ATM implied volatility averaged 46.5%, placing in the 50.1% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded below realized volatility by 2.3% (HV 20d: 48.9%). Max pain ranged from $84.11 to $84.11. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.17.

Notable Days

  • 2008-03-31: Highest Volume — 25,183 contracts
  • 2008-03-13: Largest IV spike — 18.6% change
  • 2008-03-20: Highest IV Rank — 65.9%
  • 2008-03-20: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.72$83.34$93.02$92.08$86.65
Max Pain$84.11$84.11$84.11$84.11$84.11
ATM IV46.5%38.9%54.8%39.8%53.9%
Expected Move13.7%11.4%15.7%11.4%15.5%
HV 20d48.9%40.5%57.2%44.0%50.5%
HV 60d47.1%45.1%49.5%45.3%49.4%
IV Rank50.1%35.6%65.9%37.3%64.3%
IV Percentile79.8%52.4%96.4%58.3%95.2%
Term Structure-3.0%-8.3%6.2%4.9%-7.3%
VWIV47.8%40.1%54.7%40.5%53.7%
Skew 25d4.2%0.4%6.8%0.4%5.6%
Skew 10d7.8%2.5%13.7%4.4%10.5%
Call IV 25d46.2%39.3%54.3%40.9%50.6%
Put IV 25d50.4%41.2%58.2%41.3%56.2%
Bid-Ask Spread %10.383.8616.108.374.20
Gamma HHI0.190.160.270.170.19
Net GEX12.0M4.7M18.1M13.8M6.9M
Net DEX-332.5M-582.9M-37.8M-510.8M-160.5M
Net VEX-4.6M-4.9M-4.2M-4.8M-4.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.263.101.390.44
Total Volume10,826.82,61025,1838,36725,183
Total OI277,184.95256,550291,940270,617268,540

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$92.08$84.1139.8%11.4%44.0%37.3%40.5%0.4%4.9%13.8M-510.8M-4.8M1.398.37N/AN/A3,4984,869159,853110,764
2008-03-04$91.31$84.1140.5%11.6%44.1%38.6%40.7%1.6%5.1%13.6M-488.9M-4.8M0.6711.62N/AN/A4,7053,151161,258111,151
2008-03-05$93.02$84.1140.3%11.6%40.5%38.3%40.1%1.8%6.2%14.2M-568.1M-4.8M0.588.54N/AN/A4,2922,497161,707111,100
2008-03-06$92.20$84.1141.8%12.0%40.5%41.2%42.5%1.2%6.0%14.3M-535.8M-4.8M3.107.22N/AN/A2,2987,122163,444110,984
2008-03-07$87.95$84.1141.9%13.6%45.0%41.3%47.5%3.5%-4.4%11.8M-315.9M-4.7M1.888.44N/AN/A6,04611,360162,861114,814
2008-03-10$85.64$84.1146.2%14.2%45.5%49.5%50.8%2.9%-4.2%11.7M-232.8M-4.6M2.939.65N/AN/A1,8535,419166,523111,261
2008-03-11$90.74$84.1139.1%13.0%49.5%36.1%46.6%4.3%-3.8%15.6M-457.0M-4.7M1.1311.14N/AN/A6,6357,504166,871112,286
2008-03-12$90.81$84.1138.9%13.1%48.8%35.6%44.9%4.0%-3.7%16.6M-481.7M-4.8M0.398.72N/AN/A7,4032,870170,012116,366
2008-03-13$92.44$84.1146.1%13.2%45.0%49.4%47.6%3.9%-3.7%17.9M-574.8M-4.9M1.3612.78N/AN/A2,5093,421173,238116,978
2008-03-14$92.25$84.1149.2%14.1%45.0%55.1%50.5%5.9%-5.0%15.9M-548.3M-4.9M1.4111.75N/AN/A3,1364,427172,112118,854
2008-03-17$89.15$84.1151.6%14.8%46.9%59.7%53.2%5.4%-6.7%15.8M-377.2M-4.7M1.0715.90N/AN/A3,9994,293172,151119,647
2008-03-18$92.76$84.1149.0%14.1%48.7%54.9%49.1%6.8%-6.1%18.1M-582.9M-4.7M0.3714.00N/AN/A6,6132,477171,512118,298
2008-03-19$85.59$84.1154.4%15.6%56.6%65.1%53.2%5.5%-7.2%13.8M-204.2M-4.5M2.2712.22N/AN/A4,83410,974172,558117,727
2008-03-20$83.34$84.1154.8%15.7%57.1%65.9%54.7%4.0%-8.3%13.1M-37.8M-4.3M0.529.16N/AN/A10,8845,615171,315120,625
2008-03-24$84.20$84.1149.6%14.2%57.2%56.1%50.7%5.9%-5.0%4.7M-61.0M-4.2M1.209.60N/AN/A6,6387,966146,347110,203
2008-03-25$85.88$84.1148.9%14.0%52.9%54.7%47.0%5.3%-4.0%5.3M-122.8M-4.3M1.2710.80N/AN/A7,95510,069145,365113,993
2008-03-26$86.58$84.1148.0%13.8%53.0%52.9%46.9%6.0%-3.8%5.9M-136.5M-4.5M0.4613.61N/AN/A1,794816148,986122,245
2008-03-27$85.02$84.1148.3%13.8%52.9%53.5%47.4%5.4%-4.7%5.4M-93.6M-4.3M0.7316.10N/AN/A2,6681,939149,805115,231
2008-03-28$86.77$84.1148.4%13.9%53.6%53.7%47.5%4.8%-4.7%6.7M-158.6M-4.3M0.263.86N/AN/A5,4111,393150,648116,066
2008-03-31$86.65$84.1153.9%15.5%50.5%64.3%53.7%5.6%-7.3%6.9M-160.5M-4.3M0.444.20N/AN/A17,4667,717152,758115,782