AA Options History — April 2008

In April 2008, AA traded between $81.53 and $93.72. ATM implied volatility averaged 42.7%, placing in the 42.9% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 2.0% (HV 20d: 44.7%). Max pain ranged from $84.11 to $96.12. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.75.

Notable Days

2008-04-07: Highest Volume — 53,837 contracts
2008-04-08: Largest IV drop — 31.3% change
2008-04-07: Highest IV Rank — 68.7%
2008-04-03: Largest Expected Move — 15.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$86.60	$81.53	$93.72	$87.81	$83.58
Max Pain	$90.66	$84.11	$96.12	$84.11	$90.11
ATM IV	42.7%	35.4%	56.3%	49.3%	35.4%
Expected Move	12.3%	10.2%	15.8%	14.1%	10.2%
HV 20d	44.7%	37.9%	53.2%	49.4%	39.4%
HV 60d	46.1%	44.0%	49.5%	49.5%	44.1%
IV Rank	42.9%	28.9%	68.7%	55.3%	28.9%
IV Percentile	57.0%	12.7%	97.2%	89.7%	12.7%
Term Structure	0.5%	-4.8%	4.6%	-4.8%	4.6%
VWIV	44.3%	38.5%	57.6%	50.9%	38.5%
Skew 25d	0.0%	-4.8%	4.9%	4.9%	-0.8%
Skew 10d	0.0%	-10.0%	9.1%	9.1%	-2.7%
Call IV 25d	44.2%	37.7%	60.9%	48.8%	37.7%
Put IV 25d	44.3%	36.9%	56.1%	53.6%	36.9%
Bid-Ask Spread %	6.30	4.14	9.47	5.56	4.37
Gamma HHI	0.18	0.15	0.22	0.19	0.16
Net GEX	6.8M	-273.7K	14.4M	8.2M	5.5M
Net DEX	-139.5M	-563.2M	179.9M	-229.4M	-20.8M
Net VEX	-4.7M	-4.9M	-4.3M	-4.6M	-4.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.18	2.44	0.58	0.84
Total Volume	17,861.409	2,297	53,837	7,355	8,409
Total OI	305,009.364	244,905	351,421	282,096	287,561

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2008-04-01	$87.81	$84.11	49.3%	14.1%	49.4%	55.3%	50.9%	4.9%	-4.8%	8.2M	-229.4M	-4.6M	0.58	5.56	N/A	N/A	4,663	2,692	163,105	118,991
2008-04-02	$87.54	$84.11	49.0%	14.0%	49.3%	54.8%	50.2%	4.3%	-4.3%	8.1M	-225.8M	-4.6M	0.67	4.52	N/A	N/A	5,172	3,487	162,714	119,976
2008-04-03	$92.61	$84.11	55.0%	15.8%	53.1%	66.2%	57.6%	-4.8%	-4.7%	11.5M	-482.6M	-4.8M	0.32	9.47	N/A	N/A	34,925	11,322	164,225	121,988
2008-04-04	$93.72	$90.11	53.3%	14.0%	53.2%	62.9%	49.1%	2.7%	-4.1%	14.4M	-563.2M	-4.9M	0.52	4.14	N/A	N/A	12,579	6,549	176,814	125,343
2008-04-07	$89.97	$90.11	56.3%	14.3%	52.4%	68.7%	49.6%	3.0%	-3.9%	11.8M	-371.7M	-4.8M	0.96	8.22	N/A	N/A	27,467	26,370	178,843	127,944
2008-04-08	$89.34	$96.12	38.7%	12.6%	51.5%	35.1%	44.2%	0.9%	-0.3%	10.4M	-260.1M	-4.8M	0.71	6.79	N/A	N/A	17,946	12,821	186,387	143,010
2008-04-09	$88.53	$96.12	37.6%	12.7%	47.2%	33.1%	44.6%	1.0%	-0.1%	10.2M	-233.2M	-4.8M	0.84	7.52	N/A	N/A	9,135	7,640	188,924	141,250
2008-04-10	$86.77	$96.12	44.4%	12.7%	47.7%	46.0%	44.6%	0.5%	-0.4%	6.7M	-110.5M	-4.8M	1.15	7.31	N/A	N/A	4,820	5,549	189,845	144,352
2008-04-11	$84.47	$96.12	41.8%	12.0%	47.8%	41.1%	42.6%	-0.1%	2.0%	4.0M	14.5M	-4.6M	0.83	7.76	N/A	N/A	11,252	9,337	190,283	144,404
2008-04-14	$81.53	$96.12	42.9%	12.3%	49.0%	43.2%	44.2%	0.3%	0.4%	-273.7K	179.9M	-4.3M	0.81	7.81	N/A	N/A	15,665	12,697	195,851	148,547
2008-04-15	$83.72	$90.11	42.9%	12.3%	49.2%	43.2%	44.1%	-0.8%	0.1%	2.9M	59.3M	-4.5M	1.23	5.16	N/A	N/A	5,386	6,599	200,121	151,300
2008-04-16	$86.44	$90.11	42.8%	12.3%	48.3%	43.0%	43.8%	0.4%	2.1%	6.6M	-87.2M	-4.7M	2.44	4.77	N/A	N/A	5,644	13,789	197,370	153,114
2008-04-17	$85.47	$90.11	43.6%	12.5%	39.1%	44.6%	44.5%	-0.1%	1.2%	4.7M	-49.2M	-4.6M	0.49	6.51	N/A	N/A	7,412	3,653	197,247	151,881
2008-04-18	$87.13	$90.11	41.5%	11.9%	38.4%	40.6%	42.1%	-0.7%	0.9%	5.4M	-152.6M	-4.7M	0.57	5.60	N/A	N/A	6,727	3,839	200,260	150,251
2008-04-21	$87.11	$90.11	38.9%	11.1%	38.3%	35.5%	40.4%	-1.9%	1.6%	5.0M	-120.5M	-4.6M	0.23	5.52	N/A	N/A	16,640	3,910	139,317	105,618
2008-04-22	$85.79	$90.11	39.6%	11.3%	38.1%	36.8%	41.7%	-1.1%	2.5%	4.4M	-84.6M	-4.5M	0.76	5.45	N/A	N/A	13,663	10,421	139,300	105,605
2008-04-23	$84.90	$90.11	37.7%	10.8%	38.1%	33.3%	39.9%	-1.2%	2.7%	5.4M	-66.5M	-4.6M	0.61	6.30	N/A	N/A	1,426	871	155,974	116,039
2008-04-24	$83.74	$90.11	37.6%	10.8%	37.9%	33.1%	42.5%	-1.1%	3.9%	4.3M	-15.7M	-4.5M	0.18	6.43	N/A	N/A	14,308	2,637	156,095	116,217
2008-04-25	$85.84	$90.11	36.8%	10.6%	38.2%	31.6%	38.8%	-1.7%	3.8%	7.8M	-112.7M	-4.8M	0.41	5.65	N/A	N/A	4,014	1,654	166,444	117,401
2008-04-28	$85.88	$90.11	38.1%	10.9%	38.2%	34.1%	40.9%	-1.8%	3.2%	7.6M	-126.2M	-4.7M	0.30	5.28	N/A	N/A	9,801	2,943	165,169	118,393
2008-04-29	$83.26	$90.11	37.0%	10.6%	39.3%	31.9%	38.7%	-0.7%	4.0%	5.1M	-9.8M	-4.5M	0.92	8.42	N/A	N/A	3,703	3,414	167,170	119,563
2008-04-30	$83.58	$90.11	35.4%	10.2%	39.4%	28.9%	38.5%	-0.8%	4.6%	5.5M	-20.8M	-4.5M	0.84	4.37	N/A	N/A	4,563	3,846	167,064	120,497