AA Options History — July 2008

In July 2008, AA traded between $75.17 and $83.96. ATM implied volatility averaged 51.7%, placing in the 48.3% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 2.7% (HV 20d: 54.4%). Max pain ranged from $84.11 to $90.11. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.50.

Notable Days

  • 2008-07-08: Highest Volume — 45,589 contracts
  • 2008-07-09: Largest IV drop — 30.1% change
  • 2008-07-07: Highest IV Rank — 87.0%
  • 2008-07-28: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.38$75.17$83.96$82.76$81.10
Max Pain$85.47$84.11$90.11$90.11$84.11
ATM IV51.7%45.3%67.4%50.1%45.3%
Expected Move14.5%13.0%16.4%14.4%13.0%
HV 20d54.4%50.8%59.4%55.0%51.1%
HV 60d49.2%44.5%51.2%44.5%51.1%
IV Rank48.3%32.5%87.0%44.5%32.5%
IV Percentile81.9%63.9%98.8%83.7%63.9%
Term Structure-1.0%-5.1%2.5%-2.8%2.5%
VWIV51.8%45.6%58.7%52.8%45.6%
Skew 25d0.6%-3.5%3.8%1.6%-0.1%
Skew 10d0.3%-6.4%6.4%1.0%-2.0%
Call IV 25d51.8%46.9%60.0%52.0%46.9%
Put IV 25d52.4%46.7%58.8%53.6%46.7%
Bid-Ask Spread %4.192.907.743.333.70
Gamma HHI0.120.110.130.130.13
Net GEX6.2M-1.3M10.5M5.0M9.1M
Net DEX58.5M-160.1M397.6M105.9M-70.8M
Net VEX-5.5M-6.2M-4.7M-6.0M-5.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.131.270.310.21
Total Volume15,638.7732,70245,58915,2924,036
Total OI408,192.773344,261462,870427,107356,736

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$82.76$90.1150.1%14.4%55.0%44.5%52.8%1.6%-2.8%5.0M105.9M-6.0M0.313.33N/AN/A11,6993,593271,801155,306
2008-07-02$77.16$90.1155.0%15.8%59.4%56.4%56.8%3.8%-3.6%205.4K317.3M-5.2M0.753.77N/AN/A10,4747,850275,300155,549
2008-07-03$78.77$90.1154.7%15.7%58.6%55.8%57.2%0.2%-3.6%2.0M250.6M-5.4M0.723.34N/AN/A8,8066,346278,518156,557
2008-07-07$80.24$90.1167.4%15.5%59.3%87.0%53.9%2.4%-4.3%3.6M172.5M-5.7M0.433.79N/AN/A16,1776,906281,155158,915
2008-07-08$77.69$90.1166.8%14.8%51.6%85.5%52.2%3.5%-4.1%1.5M290.1M-5.3M0.557.74N/AN/A29,37816,211285,839160,848
2008-07-09$75.79$84.1146.7%13.8%50.8%36.1%48.9%1.7%-0.7%-1.3M397.6M-4.9M0.344.13N/AN/A20,0416,804296,526164,864
2008-07-10$83.14$84.1149.8%14.3%57.5%43.7%50.4%0.6%0.4%9.0M-4.5M-6.0M1.275.75N/AN/A14,56218,539298,240164,630
2008-07-11$83.24$84.1151.4%14.7%56.0%47.7%52.6%1.4%0.4%8.4M-16.3M-6.2M1.236.20N/AN/A7,1278,790296,439165,448
2008-07-14$83.96$84.1151.2%14.7%53.3%47.1%51.9%1.7%0.0%9.5M-66.7M-5.9M0.484.54N/AN/A8,3514,014295,507158,870
2008-07-15$82.93$84.1151.5%14.8%53.1%47.8%53.8%1.6%0.3%7.9M8.4M-5.7M0.813.63N/AN/A3,2482,639299,419157,632
2008-07-16$83.58$84.1149.9%14.3%53.4%43.8%51.0%1.5%1.4%10.0M-32.7M-5.8M0.294.27N/AN/A9,3452,688298,132154,994
2008-07-17$81.08$84.1152.5%15.1%54.0%50.4%53.5%0.2%-0.6%7.2M71.8M-5.4M0.646.05N/AN/A7,4414,759300,909152,094
2008-07-18$81.25$84.1154.6%15.7%54.1%55.6%56.5%-2.3%0.3%6.5M44.0M-5.6M0.173.02N/AN/A37,0156,396302,683151,447
2008-07-21$81.61$84.1149.4%14.1%52.2%42.6%51.7%-0.7%0.1%8.8M-123.2M-5.8M0.293.46N/AN/A7,4122,176238,403106,765
2008-07-22$81.41$84.1145.6%13.1%51.9%33.5%47.4%-1.4%1.9%8.5M-100.7M-5.6M0.433.35N/AN/A4,6402,015236,418108,095
2008-07-23$78.65$84.1146.0%13.2%52.6%34.5%47.6%0.3%0.2%6.4M23.3M-5.1M0.523.03N/AN/A3,4911,826235,567108,694
2008-07-24$75.17$84.1149.4%14.2%54.3%42.8%51.1%0.9%-1.4%4.5M123.5M-4.7M0.524.10N/AN/A4,5472,380236,710109,357
2008-07-25$76.44$84.1147.0%13.5%53.2%36.7%48.9%0.9%-0.6%5.1M87.9M-4.8M0.412.90N/AN/A1,920782237,481110,366
2008-07-28$78.48$84.1157.1%16.4%54.3%61.6%58.7%-3.5%-5.1%6.4M14.6M-5.0M0.194.91N/AN/A14,2552,750237,386110,543
2008-07-29$80.16$84.1148.7%14.0%54.9%40.9%50.4%-2.2%-1.0%8.1M-45.2M-5.3M0.134.30N/AN/A5,206690244,336111,253
2008-07-30$83.72$84.1147.1%13.5%56.1%37.1%47.7%0.5%-1.3%10.5M-160.1M-5.6M0.222.90N/AN/A5,4971,231243,227111,282
2008-07-31$81.10$84.1145.3%13.0%51.1%32.5%45.6%-0.1%2.5%9.1M-70.8M-5.4M0.213.70N/AN/A3,326710245,536111,200