AA Options History — January 2009

In January 2009, AA traded between $18.72 and $29.12. ATM implied volatility averaged 94.6%, placing in the 43.4% IV rank vs the trailing year. The 30-day expected move averaged 24.5%. IV traded above realized volatility by 7.7% (HV 20d: 86.9%). Max pain ranged from $24.03 to $30.04. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.11.

Notable Days

  • 2009-01-12: Highest Volume — 55,366 contracts
  • 2009-01-09: Largest IV spike — 32.2% change
  • 2009-01-12: Highest IV Rank — 77.6%
  • 2009-01-12: Largest Expected Move — 27.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.07$18.72$29.12$29.10$18.72
Max Pain$26.43$24.03$30.04$30.04$24.03
ATM IV94.6%74.2%141.8%92.8%85.4%
Expected Move24.5%21.3%27.9%26.6%24.5%
HV 20d86.9%77.3%100.7%100.7%84.1%
HV 60d127.9%119.7%142.9%142.9%120.6%
IV Rank43.4%28.6%77.6%42.0%36.7%
IV Percentile79.9%69.0%98.8%81.7%71.4%
Term Structure-0.6%-16.2%7.2%-16.2%-0.7%
VWIV84.9%70.5%101.8%100.2%84.8%
Skew 25d17.8%11.0%23.1%11.6%14.0%
Skew 10d36.4%22.4%50.5%39.1%22.4%
Call IV 25d77.7%67.7%93.7%93.7%82.6%
Put IV 25d95.4%78.7%111.8%105.3%96.6%
Bid-Ask Spread %3.251.575.161.571.93
Gamma HHI0.300.260.430.320.35
Net GEX88.9K-1.3M1.3M1.3M-233.0K
Net DEX32.9M-38.2M111.4M-38.2M54.6M
Net VEX-611.4K-807.5K-458.8K-761.4K-499.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.262.831.181.39
Total Volume22,076.457,13355,36641,75720,080
Total OI304,039.8184,939409,049331,474235,906

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$29.10$30.0492.8%26.6%100.7%42.0%100.2%11.6%-16.2%1.3M-38.2M-761.4K1.181.57N/AN/A19,11922,638240,35591,119
2009-01-05$28.50$30.04102.5%23.1%83.6%49.1%83.2%16.3%2.3%1.0M-30.2M-787.5K0.993.80N/AN/A12,13112,010246,605106,584
2009-01-06$29.12$30.04105.4%23.3%83.6%51.2%81.9%18.9%1.6%1.1M-37.4M-807.5K1.373.79N/AN/A11,60815,878250,413113,099
2009-01-07$26.17$30.04106.4%25.1%77.3%51.9%83.2%19.8%-1.4%88.1K26.3M-746.2K1.532.50N/AN/A16,73925,536253,853123,355
2009-01-08$27.30$30.0484.6%22.1%78.2%36.1%91.3%22.8%3.3%633.8K-4.5M-798.6K0.942.96N/AN/A7,3766,970258,121126,854
2009-01-09$25.98$30.04111.8%25.5%77.8%55.8%83.6%20.9%0.1%175.3K21.1M-764.2K1.962.92N/AN/A4,6229,057259,074126,871
2009-01-12$24.17$30.04141.8%27.9%81.8%77.6%101.8%23.1%-5.8%-549.1K57.9M-682.2K1.515.16N/AN/A22,06033,306260,388135,402
2009-01-13$22.95$30.0497.0%23.6%83.8%45.1%88.5%17.6%4.1%-1.3M90.3M-622.8K1.284.33N/AN/A18,67823,953262,594141,753
2009-01-14$21.70$24.03116.9%25.1%85.8%59.5%95.5%16.4%2.7%-1.2M111.2M-578.3K0.873.35N/AN/A11,91610,347267,556141,493
2009-01-15$22.52$24.0380.4%23.1%85.0%33.1%82.0%15.8%6.3%-759.8K87.6M-603.3K1.042.71N/AN/A7,5737,841267,185135,102
2009-01-16$22.66$24.0374.2%21.3%85.1%28.6%77.5%13.4%7.2%288.7K111.4M-568.4K0.724.29N/AN/A5,8954,265266,789132,549
2009-01-20$20.07$24.0393.1%26.7%93.1%42.3%87.6%20.7%0.9%110.9K25.4M-458.8K0.393.85N/AN/A10,0843,971128,01956,920
2009-01-21$20.57$24.0391.2%26.2%93.8%40.9%84.4%23.0%1.6%188.7K22.4M-490.1K0.322.85N/AN/A18,3185,855132,44658,597
2009-01-22$19.82$24.0388.3%25.3%93.1%38.8%81.7%21.1%0.4%213.0K21.1M-530.5K1.072.40N/AN/A4,0894,386143,63061,162
2009-01-23$20.02$24.0388.2%25.3%92.0%38.7%81.6%20.6%-2.6%103.1K27.8M-503.9K1.213.69N/AN/A6,4517,831137,66264,075
2009-01-26$20.07$24.0385.3%24.5%91.9%36.6%80.7%20.0%-1.6%109.1K29.5M-490.6K0.612.79N/AN/A5,2313,180140,64469,366
2009-01-27$20.69$24.0382.8%23.7%91.3%34.8%74.9%13.4%-5.1%159.8K26.6M-504.4K0.262.63N/AN/A5,6671,466141,78470,926
2009-01-28$21.03$24.0380.7%23.1%91.7%33.3%70.5%11.0%-4.7%222.8K23.5M-519.7K0.703.17N/AN/A7,5285,272142,70371,104
2009-01-29$20.28$24.0383.9%24.1%84.3%35.6%82.7%15.2%-5.2%131.8K32.0M-509.5K2.834.22N/AN/A5,90416,698144,31774,421
2009-01-30$18.72$24.0385.4%24.5%84.1%36.7%84.8%14.0%-0.7%-233.0K54.6M-499.1K1.391.93N/AN/A8,41211,668147,02588,881