AA Options History — May 2008 In May 2008, AA traded between $83.43 and $107.15. ATM implied volatility averaged 47.6%, placing in the 40.2% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 9.2% (HV 20d: 38.3%). Max pain ranged from $84.11 to $96.12. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.60.
Notable Days 2008-05-07 : Highest Volume — 62,905 contracts2008-05-07 : Largest IV spike — 35.9% change2008-05-07 : Highest IV Rank — 75.4%2008-05-07 : Largest Expected Move — 15.7%Monthly Statistics Metric Avg Min Max Open Close Price $96.99 $83.43 $107.15 $83.43 $97.54 Max Pain $91.54 $84.11 $96.12 $90.11 $96.12 ATM IV 47.6% 40.2% 62.7% 41.8% 42.8% Expected Move 13.4% 11.7% 15.7% 12.0% 12.3% HV 20d 38.3% 32.8% 43.1% 32.8% 43.0% HV 60d 44.3% 43.1% 45.2% 43.2% 43.8% IV Rank 40.2% 20.1% 75.4% 41.1% 26.5% IV Percentile 75.0% 46.0% 98.8% 57.1% 59.1% Term Structure -0.1% -6.6% 2.8% 0.6% 2.3% VWIV 47.5% 42.7% 55.4% 44.8% 43.4% Skew 25d -0.6% -4.6% 1.8% -3.4% 1.1% Skew 10d -0.9% -9.7% 3.4% -6.6% 1.9% Call IV 25d 47.9% 43.3% 56.8% 45.4% 43.4% Put IV 25d 47.3% 41.7% 53.4% 42.0% 44.5% Bid-Ask Spread % 5.07 3.24 7.76 7.76 5.06 Gamma HHI 0.18 0.16 0.24 0.16 0.17 Net GEX 16.9M 5.5M 26.2M 5.5M 14.8M Net DEX -751.0M -1.37B -27.4M -27.4M -637.5M Net VEX -5.5M -6.0M -3.0M -4.6M -5.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.60 0.12 1.25 0.12 0.51 Total Volume 22,513.762 5,584 62,905 24,865 38,616 Total OI 341,051.238 257,023 397,025 292,910 352,682
Daily Data (21 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 2008-05-01 $83.43 $90.11 41.8% 12.0% 32.8% 41.1% 44.8% -3.4% 0.6% 5.5M -27.4M -4.6M 0.12 7.76 N/A N/A 22,162 2,703 169,605 123,305 2008-05-02 $86.77 $90.11 40.8% 11.7% 36.0% 37.2% 43.8% -4.6% 2.4% 10.2M -205.2M -4.9M 0.19 5.23 N/A N/A 13,722 2,623 177,085 122,499 2008-05-05 $88.65 $84.11 41.7% 12.1% 34.2% 33.4% 42.7% -0.4% 0.8% 13.1M -304.9M -5.0M 0.47 3.83 N/A N/A 7,689 3,599 183,190 123,049 2008-05-06 $91.31 $84.11 46.1% 12.7% 35.8% 34.7% 44.9% -1.4% 0.2% 15.8M -455.5M -5.2M 0.34 4.02 N/A N/A 20,380 6,985 184,592 124,075 2008-05-07 $91.53 $84.11 62.7% 15.7% 35.5% 75.4% 55.4% -4.0% -6.6% 15.0M -508.5M -5.4M 0.19 6.20 N/A N/A 52,692 10,213 192,421 126,782 2008-05-08 $95.28 $90.11 55.5% 14.6% 37.1% 57.6% 50.6% -1.7% -4.0% 22.6M -762.2M -5.6M 0.72 5.53 N/A N/A 23,213 16,710 211,171 129,035 2008-05-09 $93.81 $90.11 53.8% 15.3% 36.0% 53.5% 53.6% -1.8% -3.5% 20.4M -653.7M -5.7M 0.40 5.00 N/A N/A 16,794 6,704 214,793 137,735 2008-05-12 $99.99 $90.11 60.9% 15.6% 38.3% 71.0% 54.1% -2.4% -4.8% 23.3M -867.8M -3.0M 0.89 5.06 N/A N/A 26,162 23,220 164,338 92,685 2008-05-13 $101.21 $90.11 54.0% 15.1% 37.8% 54.1% 52.5% -2.1% -4.0% 24.8M -1.17B -5.9M 0.71 4.21 N/A N/A 14,125 10,064 231,152 153,301 2008-05-14 $100.93 $90.11 40.2% 13.6% 37.1% 20.1% 48.0% 0.5% -1.0% 26.2M -1.16B -5.8M 0.75 6.83 N/A N/A 16,584 12,375 233,312 155,201 2008-05-15 $102.70 $90.11 47.1% 13.5% 36.5% 37.2% 47.4% 0.1% -0.5% 25.2M -1.27B -5.8M 0.36 6.66 N/A N/A 8,858 3,213 233,634 163,391 2008-05-16 $103.69 $90.11 42.9% 12.3% 36.3% 26.6% 43.4% -0.5% 2.3% 19.7M -1.37B -5.7M 0.71 6.54 N/A N/A 11,216 7,980 233,928 162,770 2008-05-19 $107.15 $90.11 48.0% 13.8% 37.1% 39.4% 48.1% 0.3% 1.2% 16.4M -1.19B -5.6M 0.94 5.69 N/A N/A 15,548 14,628 191,613 139,263 2008-05-20 $103.88 $96.12 46.3% 13.3% 38.9% 35.2% 46.8% 0.1% 2.7% 15.5M -1.02B -5.8M 0.69 3.97 N/A N/A 7,627 5,227 195,911 146,170 2008-05-21 $100.21 $96.12 45.1% 12.9% 41.7% 32.2% 45.9% 0.5% 2.8% 14.7M -817.4M -6.0M 0.52 5.95 N/A N/A 9,885 5,134 198,109 147,566 2008-05-22 $98.04 $96.12 45.7% 13.1% 42.3% 33.5% 46.2% 0.7% 2.0% 13.8M -695.1M -5.9M 0.67 3.36 N/A N/A 6,047 4,045 198,126 148,521 2008-05-23 $96.72 $96.12 45.7% 13.1% 42.5% 33.6% 46.0% 1.5% 1.3% 13.4M -612.5M -6.0M 1.02 4.80 N/A N/A 2,763 2,821 199,765 148,905 2008-05-27 $97.03 $96.12 47.3% 13.5% 42.5% 37.4% 47.7% 1.2% 0.8% 13.8M -641.5M -5.8M 1.25 3.24 N/A N/A 2,617 3,267 200,011 149,670 2008-05-28 $99.89 $96.12 45.7% 13.1% 40.8% 33.7% 46.7% 1.8% 1.2% 15.8M -797.9M -5.8M 0.58 3.79 N/A N/A 4,321 2,493 200,313 150,584 2008-05-29 $96.94 $96.12 44.5% 12.8% 43.1% 30.6% 44.9% 1.5% 1.8% 14.3M -607.0M -5.7M 0.51 3.73 N/A N/A 5,127 2,637 200,266 151,552 2008-05-30 $97.54 $96.12 42.8% 12.3% 43.0% 26.5% 43.4% 1.1% 2.3% 14.8M -637.5M -5.6M 0.51 5.06 N/A N/A 25,494 13,122 200,466 152,216
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