AA Options History — February 2009

In February 2009, AA traded between $13.96 and $20.43. ATM implied volatility averaged 85.3%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 24.4%. IV traded above realized volatility by 9.1% (HV 20d: 76.2%). Max pain ranged from $18.02 to $24.03. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.00.

Notable Days

  • 2009-02-24: Highest Volume — 30,428 contracts
  • 2009-02-23: Largest IV spike — 28.8% change
  • 2009-02-23: Highest IV Rank — 55.0%
  • 2009-02-23: Largest Expected Move — 31.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.22$13.96$20.43$18.48$14.97
Max Pain$19.29$18.02$24.03$24.03$18.02
ATM IV85.3%75.3%110.9%84.4%108.9%
Expected Move24.4%21.6%31.8%24.2%31.2%
HV 20d76.2%68.6%82.1%77.0%81.0%
HV 60d107.3%88.7%120.1%120.0%88.7%
IV Rank36.3%29.0%55.0%36.0%53.5%
IV Percentile70.9%64.3%92.9%69.8%92.1%
Term Structure3.6%-4.0%7.6%-0.3%1.6%
VWIV84.5%70.8%103.3%85.5%95.3%
Skew 25d13.8%8.9%16.9%12.8%16.4%
Skew 10d19.6%4.5%32.4%23.0%6.9%
Call IV 25d82.7%67.0%101.7%87.1%92.3%
Put IV 25d96.5%83.0%110.7%99.9%108.7%
Bid-Ask Spread %2.861.725.461.723.87
Gamma HHI0.300.190.390.380.21
Net GEX-155.6K-365.2K146.9K-358.1K146.9K
Net DEX51.1M24.3M80.8M59.0M30.6M
Net VEX-527.0K-618.2K-412.5K-525.2K-597.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.172.540.580.17
Total Volume16,786.5266,12430,4286,12417,580
Total OI264,488.368243,153293,560246,057285,010

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-02-02$18.48$24.0384.4%24.2%77.0%36.0%85.5%12.8%-0.3%-358.1K59.0M-525.2K0.581.72N/AN/A3,8642,260152,43293,625
2009-02-03$19.32$24.0377.2%22.1%80.6%30.4%77.5%11.6%2.1%-365.2K53.1M-527.5K0.431.95N/AN/A6,6142,830150,48392,670
2009-02-04$18.79$24.0375.3%21.6%79.1%29.0%75.6%11.0%2.2%-362.6K52.7M-511.6K0.581.83N/AN/A6,3853,673152,12293,166
2009-02-05$19.37$24.0375.7%21.7%74.4%29.3%75.6%9.6%1.6%-191.5K40.2M-551.6K2.261.74N/AN/A3,7738,517155,06590,397
2009-02-06$20.19$18.0280.9%22.6%74.3%33.1%70.8%16.0%6.2%-102.3K31.3M-572.2K0.442.22N/AN/A7,6983,406155,58794,529
2009-02-09$20.43$18.0284.9%23.5%73.7%36.0%73.3%14.6%3.8%83.1K24.3M-582.8K0.641.73N/AN/A10,5076,672158,72791,888
2009-02-10$18.38$18.0282.5%23.8%78.2%34.3%81.1%16.9%3.8%-302.0K44.4M-576.2K1.123.22N/AN/A10,72212,060163,79895,331
2009-02-11$18.50$18.0276.1%22.6%77.1%29.6%80.3%14.6%6.0%-322.8K45.0M-540.0K2.202.29N/AN/A6,48614,257166,20696,131
2009-02-12$18.05$18.0278.4%22.5%75.5%31.3%79.3%16.9%6.4%-349.2K51.4M-543.9K1.525.46N/AN/A6,3709,670167,54897,067
2009-02-13$17.97$18.0279.6%22.8%73.5%32.2%78.6%16.4%7.6%-337.7K51.1M-539.6K2.545.32N/AN/A5,68514,461168,94499,863
2009-02-17$16.22$18.0287.4%25.1%80.0%37.8%90.0%15.0%7.1%-106.1K79.8M-508.6K0.571.95N/AN/A9,8735,628171,633108,594
2009-02-18$15.60$18.0287.4%25.1%70.4%37.9%93.4%15.2%3.4%-183.3K80.8M-460.3K0.442.29N/AN/A17,0997,573171,441105,941
2009-02-19$15.26$18.0284.4%24.2%69.1%35.7%85.6%12.2%5.7%-99.6K75.9M-470.1K1.303.32N/AN/A3,6424,724182,057108,715
2009-02-20$15.11$18.0286.1%24.7%68.6%36.9%91.2%15.2%4.9%-137.2K79.6M-459.3K0.783.01N/AN/A6,1604,783182,724110,836
2009-02-23$13.96$18.02110.9%31.8%71.8%55.0%103.3%8.9%-4.0%-133.3K56.6M-412.5K1.672.58N/AN/A10,88518,230155,74393,597
2009-02-24$15.36$18.0287.0%25.0%82.1%37.6%91.7%13.2%2.6%-30.2K48.6M-469.5K0.403.06N/AN/A21,7848,644161,64391,543
2009-02-25$15.55$18.0288.1%25.3%81.0%38.3%91.3%14.2%2.1%80.6K35.0M-547.3K0.623.26N/AN/A14,3918,986175,60297,285
2009-02-26$15.64$18.0285.0%24.4%80.6%36.1%86.5%11.5%5.3%114.4K32.3M-618.2K0.743.48N/AN/A7,5165,536184,392102,944
2009-02-27$14.97$18.02108.9%31.2%81.0%53.5%95.3%16.4%1.6%146.9K30.6M-597.1K0.173.87N/AN/A15,0822,498184,958100,052