AA Options History — November 2008

In November 2008, AA traded between $16.46 and $29.97. ATM implied volatility averaged 100.5%, placing in the 48.6% IV rank vs the trailing year. The 30-day expected move averaged 28.5%. IV traded below realized volatility by 43.9% (HV 20d: 144.4%). Max pain ranged from $24.03 to $30.04. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.92.

Notable Days

  • 2008-11-24: Highest Volume — 65,350 contracts
  • 2008-11-06: Largest IV spike — 29.3% change
  • 2008-11-20: Highest IV Rank — 76.1%
  • 2008-11-20: Largest Expected Move — 39.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.69$16.46$29.97$28.55$25.86
Max Pain$25.29$24.03$30.04$30.04$24.03
ATM IV100.5%78.5%139.1%88.9%92.2%
Expected Move28.5%22.5%39.9%25.5%26.4%
HV 20d144.4%124.9%165.6%158.3%156.2%
HV 60d114.5%100.8%132.6%100.8%132.6%
IV Rank48.6%33.0%76.1%40.4%42.7%
IV Percentile92.2%85.7%98.4%91.7%87.3%
Term Structure0.0%-8.7%10.6%-5.5%6.8%
VWIV98.8%80.4%141.0%91.6%94.8%
Skew 25d15.2%4.1%36.5%6.3%13.2%
Skew 10d29.8%7.7%60.3%19.6%24.6%
Call IV 25d94.1%80.2%136.0%90.3%87.9%
Put IV 25d109.4%86.7%157.6%96.6%101.1%
Bid-Ask Spread %4.012.736.363.872.73
Gamma HHI0.240.170.310.200.28
Net GEX583.6K127.1K1.3M492.7K1.3M
Net DEX102.2M15.4M222.6M220.7M15.4M
Net VEX-523.1K-620.8K-354.8K-578.3K-620.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.235.120.520.81
Total Volume13,775.6843,80565,3506,4523,805
Total OI300,691.263286,613327,331325,155302,254

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$28.55$30.0488.9%25.5%158.3%40.4%91.6%6.3%-5.5%492.7K220.7M-578.3K0.523.87N/AN/A4,2402,212203,988121,167
2008-11-04$29.97$30.0481.3%23.3%158.5%35.0%83.6%9.3%-2.1%647.0K222.6M-589.7K0.423.43N/AN/A3,8331,598205,203121,413
2008-11-05$28.36$30.0478.5%22.5%153.7%33.0%80.4%4.1%-0.2%570.1K218.7M-561.0K2.695.62N/AN/A5,90315,861205,860121,471
2008-11-06$24.65$30.04101.5%29.1%150.4%49.4%101.5%8.8%-7.7%346.5K142.9M-495.6K0.633.08N/AN/A4,7232,986207,11794,381
2008-11-07$26.89$24.0395.8%26.4%150.0%45.3%86.8%14.1%1.2%526.6K108.3M-537.3K0.273.16N/AN/A3,9501,080208,81381,978
2008-11-10$28.31$24.0386.5%23.9%130.6%38.7%85.3%12.5%3.1%726.9K89.3M-575.2K0.324.83N/AN/A4,3971,412208,61577,998
2008-11-11$26.29$24.03102.0%27.3%131.4%49.7%88.2%14.2%-1.1%529.9K94.4M-534.8K0.312.99N/AN/A4,1491,307209,76977,829
2008-11-12$24.44$24.03104.5%28.0%124.9%51.5%95.1%12.2%0.8%430.1K91.2M-503.2K0.793.19N/AN/A2,9002,301211,67276,065
2008-11-13$26.91$24.0396.5%27.7%127.0%45.8%95.7%13.6%-0.7%679.3K86.2M-544.4K1.084.02N/AN/A3,9414,273212,76576,717
2008-11-14$26.05$24.0399.7%28.6%126.9%48.1%95.6%13.4%-0.6%554.0K85.1M-545.0K0.573.05N/AN/A5,3913,090213,28377,472
2008-11-17$23.24$24.03106.4%30.5%130.9%52.9%107.1%18.2%-2.7%270.9K95.2M-460.5K0.304.23N/AN/A9,5942,906214,77978,257
2008-11-18$22.78$24.03104.0%29.8%130.9%51.2%104.5%12.2%-0.7%284.3K94.3M-469.5K0.543.54N/AN/A4,4372,411219,88478,576
2008-11-19$19.61$24.03117.7%33.7%131.7%60.9%110.4%15.7%-0.6%127.1K94.9M-393.1K0.234.60N/AN/A16,2753,688221,37577,934
2008-11-20$16.46$24.03139.1%39.9%143.3%76.1%141.0%21.6%-8.7%271.1K82.8M-354.8K0.796.36N/AN/A9,9687,853231,47777,218
2008-11-21$20.28$24.03136.7%39.2%163.4%74.4%124.6%36.5%-4.4%493.5K71.6M-530.8K0.663.81N/AN/A18,28612,001234,77778,674
2008-11-24$21.99$24.03101.9%29.2%165.6%49.6%106.0%20.8%2.9%666.6K58.8M-514.1K5.125.97N/AN/A10,67554,675217,08569,856
2008-11-25$23.31$24.0388.5%25.4%154.0%40.1%97.7%24.6%10.6%954.0K48.1M-546.7K0.874.12N/AN/A8,3207,211223,79471,889
2008-11-26$25.18$24.0387.5%25.1%156.2%39.4%87.3%18.4%10.3%1.2M21.9M-583.8K0.463.53N/AN/A6,8953,191228,46173,268
2008-11-28$25.86$24.0392.2%26.4%156.2%42.7%94.8%13.2%6.8%1.3M15.4M-620.8K0.812.73N/AN/A2,1011,704228,82873,426