AA Options History — June 2008

In June 2008, AA traded between $84.83 and $102.66. ATM implied volatility averaged 51.3%, placing in the 47.4% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 0.7% (HV 20d: 50.5%). Max pain ranged from $90.11 to $96.12. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2008-06-10: Highest Volume — 44,848 contracts
  • 2008-06-09: Largest IV spike — 31.3% change
  • 2008-06-09: Highest IV Rank — 80.6%
  • 2008-06-16: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.96$84.83$102.66$97.63$85.59
Max Pain$91.26$90.11$96.12$96.12$90.11
ATM IV51.3%43.4%64.8%43.9%50.5%
Expected Move14.6%12.4%16.6%12.6%14.5%
HV 20d50.5%41.4%56.3%41.4%54.6%
HV 60d44.6%41.6%47.1%43.8%44.7%
IV Rank47.4%28.0%80.6%29.2%45.4%
IV Percentile84.1%62.7%98.8%64.7%84.5%
Term Structure-3.6%-9.1%2.9%1.6%-2.9%
VWIV52.0%44.4%59.2%44.4%50.9%
Skew 25d-2.3%-5.7%1.3%1.3%0.5%
Skew 10d-3.3%-9.1%2.3%2.3%-0.2%
Call IV 25d53.4%44.2%62.7%44.2%51.9%
Put IV 25d51.2%45.0%57.4%45.6%52.5%
Bid-Ask Spread %4.452.937.214.173.26
Gamma HHI0.140.130.160.160.13
Net GEX14.8M7.2M23.4M15.9M8.9M
Net DEX-458.0M-1.10B-13.9M-686.7M-61.2M
Net VEX-6.4M-6.9M-5.9M-6.1M-6.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.151.680.591.22
Total Volume18,334.3812,83544,8482,83515,528
Total OI413,019.095369,261464,406370,633422,259

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$97.63$96.1243.9%12.6%41.4%29.2%44.4%1.3%1.6%15.9M-686.7M-6.1M0.594.17N/AN/A1,7851,050215,915154,718
2008-06-03$95.16$96.1244.9%12.9%42.4%31.7%45.6%-0.5%1.9%14.2M-537.0M-6.0M1.684.88N/AN/A4,5777,707215,783153,478
2008-06-04$93.48$96.1244.3%12.7%41.9%30.1%44.8%0.1%2.9%12.3M-421.1M-5.9M0.654.43N/AN/A7,4914,858216,679155,104
2008-06-05$96.31$96.1243.4%12.4%43.1%28.0%44.6%0.7%2.6%15.5M-615.8M-6.1M1.553.99N/AN/A3,2625,051222,191157,029
2008-06-06$94.25$90.1149.4%14.2%41.5%42.6%49.7%-0.8%-2.8%12.9M-478.5M-6.0M0.735.11N/AN/A13,67510,009218,052156,561
2008-06-09$101.33$90.1164.8%16.2%48.5%80.6%56.9%-1.1%-7.1%17.3M-957.0M-6.4M0.366.49N/AN/A23,7148,434226,577163,074
2008-06-10$102.66$90.1151.7%15.5%43.2%48.5%53.9%-1.0%-8.2%21.1M-1.10B-6.6M0.377.21N/AN/A32,72812,120240,110167,888
2008-06-11$94.49$90.1156.4%15.1%52.3%59.8%52.7%-2.8%-5.3%14.4M-516.0M-6.6M0.635.35N/AN/A9,3175,886249,503174,569
2008-06-12$90.69$90.1152.2%15.0%53.9%49.5%53.9%-0.0%-4.3%11.0M-269.1M-6.4M0.595.47N/AN/A7,8334,602252,436175,501
2008-06-13$94.82$90.1154.8%15.7%56.3%55.9%57.2%-3.9%-6.6%16.5M-583.5M-6.6M0.383.70N/AN/A10,1203,874254,939173,308
2008-06-16$95.40$90.1157.9%16.6%56.2%63.7%59.2%-5.3%-7.4%16.9M-619.9M-6.6M0.153.75N/AN/A35,9365,220259,092173,859
2008-06-17$94.80$90.1156.9%16.3%54.5%61.2%58.7%-5.5%-7.3%19.2M-641.8M-6.8M0.994.00N/AN/A6,4436,367277,436174,152
2008-06-18$93.96$90.1156.1%16.1%53.7%59.2%56.3%-5.1%-7.5%18.1M-567.7M-6.6M0.644.21N/AN/A5,2713,388278,880174,688
2008-06-19$94.01$90.1156.3%16.2%52.4%59.8%56.2%-5.7%-9.1%17.7M-546.9M-6.6M0.655.02N/AN/A11,4927,468278,728176,221
2008-06-20$89.73$90.1152.0%14.9%54.3%49.2%54.7%-5.4%-5.3%23.4M-142.9M-6.3M1.055.58N/AN/A15,39616,114285,477178,929
2008-06-23$90.62$90.1148.6%13.9%54.4%40.9%51.3%-4.0%-3.5%15.6M-364.9M-6.7M0.603.54N/AN/A10,5886,328260,199138,974
2008-06-24$88.65$90.1148.2%13.8%54.7%39.7%50.0%-2.7%-2.2%13.1M-246.6M-6.6M0.893.41N/AN/A15,60513,836260,871141,110
2008-06-25$88.77$90.1146.1%13.2%53.4%34.7%47.5%-2.5%-0.4%12.5M-224.0M-6.9M0.403.99N/AN/A5,4712,161266,469150,564
2008-06-26$84.83$90.1149.2%14.1%54.5%42.2%52.0%-1.8%-2.0%7.6M-26.4M-6.3M0.422.95N/AN/A9,8164,144265,699150,340
2008-06-27$85.02$90.1149.4%14.2%54.4%42.8%50.5%-2.3%-2.1%7.2M-13.9M-6.3M0.472.93N/AN/A7,0313,326265,699150,340
2008-06-30$85.59$90.1150.5%14.5%54.6%45.4%50.9%0.5%-2.9%8.9M-61.2M-6.3M1.223.26N/AN/A6,9908,538270,740151,519