AA Options History — December 2008 In December 2008, AA traded between $19.37 and $27.06. ATM implied volatility averaged 98.0%, placing in the 46.2% IV rank vs the trailing year. The 30-day expected move averaged 28.5%. IV traded below realized volatility by 47.3% (HV 20d: 145.3%). Max pain ranged from $24.03 to $54.07. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.20.
Notable Days 2008-12-17 : Highest Volume — 33,235 contracts2008-12-04 : Largest IV spike — 21.6% change2008-12-05 : Highest IV Rank — 61.2%2008-12-05 : Largest Expected Move — 34.5%Monthly Statistics Metric Avg Min Max Open Close Price $23.35 $19.37 $27.06 $22.37 $27.06 Max Pain $36.05 $24.03 $54.07 $24.03 $30.04 ATM IV 98.0% 84.4% 118.2% 104.6% 84.4% Expected Move 28.5% 24.2% 34.5% 30.0% 24.2% HV 20d 145.3% 100.2% 171.4% 164.0% 100.4% HV 60d 141.3% 135.1% 143.3% 135.1% 142.8% IV Rank 46.2% 36.0% 61.2% 51.5% 36.0% IV Percentile 86.3% 76.2% 96.4% 92.9% 76.2% Term Structure -7.3% -16.8% 6.5% 2.7% -9.3% VWIV 105.7% 89.9% 116.7% 113.4% 93.1% Skew 25d 20.7% 11.7% 30.2% 19.5% 11.7% Skew 10d 43.9% 24.8% 68.2% 54.2% 39.2% Call IV 25d 95.5% 81.6% 107.1% 106.0% 85.2% Put IV 25d 116.2% 97.0% 132.5% 125.4% 97.0% Bid-Ask Spread % 2.31 1.34 4.14 4.14 1.34 Gamma HHI 0.41 0.24 0.74 0.31 0.28 Net GEX 1.6M 258.5K 4.8M 887.5K 1.1M Net DEX 26.2M -15.1M 57.3M 44.0M -9.3M Net VEX -565.1K -688.2K -431.7K -518.0K -688.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.20 0.32 10.33 0.67 0.90 Total Volume 15,421.727 3,032 33,235 5,461 27,358 Total OI 320,488.318 302,198 361,445 302,528 319,498
Daily Data (22 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 2008-12-01 $22.37 $24.03 104.6% 30.0% 164.0% 51.5% 113.4% 19.5% 2.7% 887.5K 44.0M -518.0K 0.67 4.14 N/A N/A 3,265 2,196 228,790 73,738 2008-12-02 $23.45 $24.03 99.5% 28.5% 164.6% 47.9% 106.8% 21.0% 4.2% 1.0M 36.0M -540.7K 10.33 3.73 N/A N/A 2,524 26,085 229,461 74,081 2008-12-03 $22.32 $24.03 96.9% 27.8% 163.7% 46.1% 105.4% 20.5% 6.5% 933.0K 40.4M -508.8K 0.58 2.61 N/A N/A 5,553 3,240 230,348 71,850 2008-12-04 $19.37 $24.03 117.9% 33.8% 169.3% 61.0% 113.9% 25.4% 0.1% 462.7K 56.0M -431.7K 0.66 2.57 N/A N/A 5,742 3,782 232,342 72,070 2008-12-05 $19.58 $54.07 118.2% 34.5% 163.4% 61.2% 116.7% 20.6% -16.8% 529.7K 52.9M -439.4K 0.32 2.22 N/A N/A 10,643 3,457 233,458 71,222 2008-12-08 $23.02 $48.06 98.8% 31.1% 171.4% 47.4% 109.2% 18.6% -12.6% 1.3M 19.3M -560.6K 0.51 2.93 N/A N/A 15,662 8,017 236,668 71,434 2008-12-09 $22.95 $48.06 97.6% 30.6% 169.9% 46.6% 110.5% 18.6% -12.8% 1.4M 21.4M -546.2K 0.78 2.12 N/A N/A 9,174 7,144 242,390 75,612 2008-12-10 $24.51 $48.06 92.1% 29.5% 170.3% 41.9% 103.5% 15.4% -9.7% 1.8M 1.9M -589.2K 0.34 2.22 N/A N/A 16,025 5,438 243,059 77,438 2008-12-11 $23.98 $42.05 102.7% 29.4% 168.5% 49.5% 103.3% 14.2% -9.1% 2.3M 539.0K -609.1K 0.35 1.86 N/A N/A 8,825 3,131 251,552 78,729 2008-12-12 $24.22 $42.05 101.5% 29.1% 164.6% 48.4% 105.9% 15.8% -5.9% 2.6M -1.3M -605.6K 1.93 1.84 N/A N/A 5,162 9,941 252,120 79,449 2008-12-15 $23.81 $42.05 103.9% 29.8% 164.3% 50.1% 106.1% 12.5% -8.6% 2.9M 8.3M -601.0K 0.42 1.86 N/A N/A 5,332 2,252 253,880 83,873 2008-12-16 $24.97 $42.05 95.0% 27.2% 160.0% 43.6% 95.1% 13.1% -4.2% 3.8M -15.1M -601.7K 0.39 2.75 N/A N/A 7,100 2,744 254,830 84,218 2008-12-17 $24.87 $42.05 100.0% 28.7% 159.7% 47.3% 104.1% 18.0% -7.3% 3.8M -13.7M -578.4K 0.50 1.95 N/A N/A 22,086 11,149 254,481 84,836 2008-12-18 $23.48 $36.05 104.3% 29.9% 151.0% 50.3% 116.7% 28.1% -11.0% 4.8M 20.4M -610.4K 1.33 1.85 N/A N/A 9,664 12,848 265,243 91,017 2008-12-19 $23.31 $36.05 100.1% 28.7% 134.8% 47.3% 112.2% 22.1% -11.9% 2.2M 57.3M -571.9K 0.71 2.55 N/A N/A 14,841 10,481 264,497 96,948 2008-12-22 $22.18 $36.05 96.5% 27.7% 116.1% 44.8% 104.5% 22.9% -11.2% 258.5K 55.3M -538.5K 0.90 2.58 N/A N/A 8,536 7,713 222,727 81,291 2008-12-23 $23.00 $30.04 89.3% 25.6% 113.2% 39.5% 99.2% 28.4% -7.8% 312.9K 49.1M -559.3K 1.00 2.09 N/A N/A 6,049 6,026 226,144 83,980 2008-12-24 $22.56 $30.04 86.2% 24.7% 111.4% 37.3% 106.7% 24.9% -7.1% 277.4K 49.1M -544.6K 1.53 1.92 N/A N/A 1,199 1,833 228,747 83,091 2008-12-26 $23.50 $30.04 88.4% 25.3% 108.7% 38.9% 108.3% 29.3% -9.9% 312.3K 43.9M -559.0K 1.05 1.78 N/A N/A 3,332 3,513 228,728 84,171 2008-12-29 $23.38 $30.04 88.6% 25.4% 108.2% 39.0% 101.3% 30.2% -8.7% 360.7K 42.5M -593.3K 0.61 2.11 N/A N/A 3,459 2,105 229,964 85,885 2008-12-30 $25.69 $30.04 90.1% 25.8% 100.2% 40.1% 89.9% 24.9% -9.4% 733.7K 17.5M -636.7K 0.49 1.77 N/A N/A 9,801 4,851 231,114 85,769 2008-12-31 $27.06 $30.04 84.4% 24.2% 100.4% 36.0% 93.1% 11.7% -9.3% 1.1M -9.3M -688.2K 0.90 1.34 N/A N/A 14,390 12,968 234,131 85,367
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