AA Options History — September 2008

In September 2008, AA traded between $51.38 and $73.20. ATM implied volatility averaged 59.3%, placing in the 61.8% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded above realized volatility by 16.9% (HV 20d: 42.4%). Max pain ranged from $78.10 to $84.11. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2008-09-30: Highest Volume — 21,706 contracts
  • 2008-09-29: Largest IV spike — 44.3% change
  • 2008-09-17: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 27.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.70$51.38$73.20$73.20$54.26
Max Pain$83.25$78.10$84.11$78.10$84.11
ATM IV59.3%38.6%96.5%40.1%83.2%
Expected Move17.1%11.1%27.7%11.5%23.9%
HV 20d42.4%32.1%61.3%32.8%61.3%
HV 60d46.4%43.3%51.1%49.6%51.1%
IV Rank61.8%16.2%100.0%19.7%79.4%
IV Percentile86.5%26.6%100.0%34.1%99.6%
Term Structure-6.3%-23.1%7.2%6.5%-18.9%
VWIV59.8%39.4%100.2%41.2%79.6%
Skew 25d4.1%-2.1%16.9%-2.1%13.3%
Skew 10d5.3%-4.4%15.9%-4.4%13.0%
Call IV 25d58.7%39.5%92.1%42.0%78.8%
Put IV 25d62.8%39.9%109.0%39.9%92.1%
Bid-Ask Spread %4.742.549.184.404.50
Gamma HHI0.130.100.160.150.11
Net GEX-1.3M-2.5M174.1K174.1K-1.2M
Net DEX394.2M239.8M458.8M239.8M458.8M
Net VEX-2.5M-3.6M-1.5M-3.6M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.304.260.644.26
Total Volume9,634.6192,90921,7067,34221,706
Total OI356,394.667341,292374,980342,031357,364

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$73.20$78.1040.1%11.5%32.8%19.7%41.2%-2.1%6.5%174.1K239.8M-3.6M0.644.40N/AN/A4,4872,855228,362113,669
2008-09-03$71.61$78.1038.6%11.1%32.1%16.2%39.4%0.7%7.2%-915.0K290.9M-3.3M0.493.53N/AN/A7,6583,727228,099114,381
2008-09-04$68.63$78.1044.5%12.8%34.5%30.8%44.8%-0.5%4.7%-1.3M354.0M-2.9M1.044.66N/AN/A6,9887,302229,226116,306
2008-09-05$68.00$84.1148.4%14.6%34.4%40.3%51.5%0.7%-4.4%-1.2M357.9M-3.0M1.023.97N/AN/A8,7048,853231,899119,875
2008-09-08$66.18$84.1152.3%15.3%35.2%49.9%53.8%0.6%-5.1%-1.8M392.5M-2.7M1.653.74N/AN/A4,2517,020234,032121,253
2008-09-09$64.45$84.1159.0%16.5%35.7%66.3%58.4%0.9%-5.8%-1.4M399.5M-2.7M1.593.90N/AN/A5,5678,826235,307123,122
2008-09-10$65.34$84.1153.6%15.8%36.5%53.0%56.3%2.4%-4.8%-1.9M404.7M-2.7M0.753.64N/AN/A4,4833,373236,519127,112
2008-09-11$66.37$84.1156.1%16.1%33.1%59.2%57.2%3.1%-5.5%-2.0M388.5M-2.9M0.503.41N/AN/A4,5882,306237,577127,503
2008-09-12$68.89$84.1153.7%15.4%36.7%53.3%53.2%3.6%-4.4%-2.5M346.2M-3.1M0.525.05N/AN/A5,3052,735238,750129,112
2008-09-15$64.71$84.1158.9%16.9%41.9%66.0%60.0%2.1%-6.7%-1.7M398.0M-2.8M0.764.27N/AN/A1,9561,488240,765129,428
2008-09-16$63.68$84.1163.7%18.3%41.7%77.8%63.8%4.6%-10.1%-1.6M425.4M-2.7M0.794.29N/AN/A6,5225,160240,984129,101
2008-09-17$60.48$84.1173.1%21.0%44.3%100.0%73.3%4.7%-14.9%-935.4K445.0M-2.5M1.049.17N/AN/A3,7843,933243,261130,152
2008-09-18$62.17$84.1167.4%19.3%45.1%86.1%67.9%4.0%-11.9%-928.2K446.7M-2.5M0.489.18N/AN/A5,3762,581244,363130,617
2008-09-19$64.38$84.1157.1%16.4%47.2%61.1%57.6%5.1%-8.0%-1.4M420.1M-2.6M0.924.67N/AN/A3,1892,926245,032129,785
2008-09-22$64.40$84.1155.5%15.9%47.1%57.0%56.9%3.8%-3.8%-935.1K381.1M-2.4M0.305.15N/AN/A4,6551,401226,376114,916
2008-09-23$61.49$84.1160.0%17.2%48.5%68.0%59.7%5.0%-5.0%-1.1M407.6M-2.2M0.474.53N/AN/A3,2731,542227,724116,233
2008-09-24$61.56$84.1158.7%16.8%48.3%64.9%58.3%4.2%-4.4%-1.0M402.8M-2.2M0.484.58N/AN/A1,961948228,483115,207
2008-09-25$59.88$84.1158.0%16.6%47.7%63.2%57.8%5.2%-4.8%-1.4M442.4M-1.9M0.553.92N/AN/A3,9102,146229,211115,640
2008-09-26$56.57$84.1166.9%19.2%49.4%84.9%65.4%7.3%-10.0%-1.2M449.8M-1.7M0.342.54N/AN/A6,1672,072230,920116,627
2008-09-29$51.38$84.1196.5%27.7%56.9%100.0%100.2%16.9%-23.1%-548.7K425.8M-1.5M1.136.40N/AN/A7,7958,808232,923117,072
2008-09-30$54.26$84.1183.2%23.9%61.3%79.4%79.6%13.3%-18.9%-1.2M458.8M-1.6M4.264.50N/AN/A4,12917,577234,434122,930