AA Options History — August 2008 In August 2008, AA traded between $74.40 and $77.86. ATM implied volatility averaged 44.1%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 1.4% (HV 20d: 42.8%). Max pain ranged from $78.10 to $84.11. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.61.
Notable Days 2008-08-14 : Highest Volume — 35,339 contracts2008-08-04 : Largest IV spike — 23.5% change2008-08-04 : Highest IV Rank — 56.8%2008-08-04 : Largest Expected Move — 15.5%Monthly Statistics Metric Avg Min Max Open Close Price $76.31 $74.40 $77.86 $77.23 $77.21 Max Pain $78.38 $78.10 $84.11 $84.11 $78.10 ATM IV 44.1% 36.0% 55.1% 44.6% 36.0% Expected Move 12.6% 10.3% 15.5% 12.8% 10.3% HV 20d 42.8% 29.3% 54.5% 53.7% 29.3% HV 60d 49.8% 48.6% 52.0% 52.0% 48.6% IV Rank 29.8% 9.9% 56.8% 31.0% 9.9% IV Percentile 52.5% 8.7% 93.3% 61.9% 8.7% Term Structure 4.2% 0.9% 6.9% 2.1% 6.3% VWIV 44.2% 36.2% 54.0% 46.8% 36.2% Skew 25d 1.6% -0.2% 2.6% -0.2% 1.5% Skew 10d 2.6% -0.9% 4.8% -0.9% 2.3% Call IV 25d 43.8% 35.5% 54.0% 46.7% 35.5% Put IV 25d 45.3% 37.1% 54.6% 46.4% 37.1% Bid-Ask Spread % 3.81 2.51 5.59 3.05 2.92 Gamma HHI 0.12 0.10 0.13 0.12 0.13 Net GEX 4.6M 2.5M 6.7M 6.2M 3.2M Net DEX 107.0M 40.5M 155.4M 75.6M 120.8M Net VEX -4.5M -5.1M -4.0M -4.8M -4.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.61 0.10 1.57 0.90 0.82 Total Volume 10,912.286 2,465 35,339 12,601 2,465 Total OI 354,605.381 329,756 381,919 357,164 339,594
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 2008-08-01 $77.23 $84.11 44.6% 12.8% 53.7% 31.0% 46.8% -0.2% 2.1% 6.2M 75.6M -4.8M 0.90 3.05 N/A N/A 6,642 5,959 245,762 111,402 2008-08-04 $74.59 $78.10 55.1% 15.5% 54.5% 56.8% 54.0% 0.6% 0.9% 4.8M 126.3M -4.6M 0.30 3.32 N/A N/A 17,479 5,302 247,004 114,243 2008-08-05 $76.49 $78.10 50.7% 14.3% 54.3% 45.8% 50.2% 1.4% 1.4% 6.3M 75.3M -4.8M 0.89 5.59 N/A N/A 4,112 3,640 255,381 114,236 2008-08-06 $77.30 $78.10 47.7% 14.0% 53.7% 38.6% 48.8% 1.9% 1.7% 6.7M 42.7M -5.0M 0.40 3.63 N/A N/A 7,793 3,129 255,819 116,381 2008-08-07 $76.42 $78.10 46.7% 13.9% 41.4% 36.0% 48.9% 1.6% 1.4% 6.5M 71.8M -4.9M 0.54 5.08 N/A N/A 2,316 1,247 259,963 116,782 2008-08-08 $76.32 $78.10 45.1% 13.5% 41.4% 32.2% 47.9% 1.5% 1.7% 5.7M 92.5M -4.7M 1.57 3.35 N/A N/A 2,391 3,759 255,828 116,160 2008-08-11 $75.05 $78.10 53.9% 14.1% 41.3% 53.8% 49.6% 1.3% 1.5% 4.5M 149.1M -4.5M 0.42 3.53 N/A N/A 5,663 2,353 255,819 117,898 2008-08-12 $74.40 $78.10 52.9% 14.1% 41.3% 51.4% 49.7% -0.1% 2.3% 4.5M 139.2M -4.6M 0.36 4.14 N/A N/A 20,949 7,586 258,428 118,144 2008-08-13 $77.50 $78.10 50.6% 14.2% 44.2% 45.7% 50.1% 0.7% 4.8% 6.7M 40.5M -5.1M 0.99 4.80 N/A N/A 10,978 10,865 259,090 122,829 2008-08-14 $76.56 $78.10 46.4% 13.3% 43.2% 35.4% 46.9% 1.6% 4.0% 5.7M 95.3M -4.7M 0.26 4.69 N/A N/A 27,943 7,396 258,197 118,745 2008-08-15 $76.44 $78.10 45.2% 13.0% 43.2% 32.4% 45.3% 2.1% 3.6% 5.0M 123.4M -4.5M 0.26 4.84 N/A N/A 10,543 2,784 246,749 117,454 2008-08-18 $74.76 $78.10 42.8% 12.3% 43.6% 26.5% 42.5% 2.0% 5.9% 3.7M 132.7M -4.1M 1.37 3.92 N/A N/A 4,597 6,311 224,263 105,493 2008-08-19 $74.76 $78.10 41.5% 11.9% 43.6% 23.3% 41.3% 2.2% 6.3% 2.9M 150.0M -4.1M 0.32 4.43 N/A N/A 3,497 1,117 224,443 110,005 2008-08-20 $76.20 $78.10 39.7% 11.4% 42.8% 18.9% 40.4% 2.6% 6.0% 3.6M 114.8M -4.2M 0.41 4.06 N/A N/A 3,232 1,316 225,724 109,719 2008-08-21 $77.23 $78.10 39.1% 11.2% 39.9% 17.5% 39.4% 2.2% 5.9% 4.3M 84.4M -4.3M 0.63 2.74 N/A N/A 2,828 1,790 225,169 109,702 2008-08-22 $77.57 $78.10 37.5% 10.7% 39.5% 13.4% 37.8% 2.5% 6.2% 4.0M 100.4M -4.2M 0.96 4.38 N/A N/A 2,199 2,109 225,452 110,109 2008-08-25 $75.50 $78.10 39.6% 11.3% 39.4% 18.6% 40.1% 1.8% 6.2% 2.7M 155.4M -4.0M 0.82 2.51 N/A N/A 3,243 2,668 225,081 110,999 2008-08-26 $75.96 $78.10 38.4% 11.0% 38.6% 15.7% 39.3% 1.5% 6.6% 2.5M 149.6M -4.0M 0.10 2.87 N/A N/A 8,800 910 224,876 113,325 2008-08-27 $77.09 $78.10 37.0% 10.6% 35.3% 12.2% 37.0% 2.1% 6.9% 3.7M 105.1M -4.2M 0.30 3.56 N/A N/A 3,801 1,136 229,563 112,946 2008-08-28 $77.86 $78.10 36.2% 10.4% 34.0% 10.3% 36.6% 1.9% 6.8% 3.8M 101.7M -4.1M 0.20 2.56 N/A N/A 5,271 1,039 224,845 113,091 2008-08-29 $77.21 $78.10 36.0% 10.3% 29.3% 9.9% 36.2% 1.5% 6.3% 3.2M 120.8M -4.0M 0.82 2.92 N/A N/A 1,355 1,110 226,514 113,080
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