AA Options History — March 2009 In March 2009, AA traded between $12.54 and $19.51. ATM implied volatility averaged 123.0%, placing in the 63.8% IV rank vs the trailing year. The 30-day expected move averaged 35.8%. IV traded above realized volatility by 0.2% (HV 20d: 122.8%). Max pain ranged from $18.02 to $18.02. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.08.
Notable Days 2009-03-17 : Highest Volume — 78,288 contracts2009-03-30 : Largest IV spike — 19.1% change2009-03-12 : Highest IV Rank — 87.7%2009-03-12 : Largest Expected Move — 44.7%Monthly Statistics Metric Avg Min Max Open Close Price $15.21 $12.54 $19.51 $13.19 $17.64 Max Pain $18.02 $18.02 $18.02 $18.02 $18.02 ATM IV 123.0% 97.9% 155.9% 113.5% 109.2% Expected Move 35.8% 28.1% 44.7% 32.6% 31.3% HV 20d 122.8% 87.3% 143.6% 87.3% 143.6% HV 60d 98.0% 90.0% 108.1% 91.3% 108.1% IV Rank 63.8% 45.5% 87.7% 56.9% 53.7% IV Percentile 90.9% 74.6% 99.6% 93.3% 85.7% Term Structure -10.9% -25.2% 3.8% 3.8% -5.0% VWIV 121.8% 99.0% 148.3% 113.0% 109.2% Skew 25d 16.7% -5.5% 31.4% 1.1% 12.1% Skew 10d 32.4% -8.2% 61.3% -1.2% 22.9% Call IV 25d 115.5% 92.2% 142.6% 112.4% 104.5% Put IV 25d 132.2% 105.6% 167.1% 113.5% 116.7% Bid-Ask Spread % 2.44 1.63 3.37 1.70 2.73 Gamma HHI 0.23 0.19 0.30 0.22 0.20 Net GEX 314.0K -18.9K 1.0M 104.6K 821.5K Net DEX -3.5M -97.1M 36.1M 35.1M -53.1M Net VEX -749.3K -1.0M -548.4K -548.4K -1.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.08 0.23 2.68 0.68 1.15 Total Volume 28,380.227 7,758 78,288 15,309 38,519 Total OI 352,072.682 296,027 411,569 296,027 410,481
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 2009-03-02 $13.19 $18.02 113.5% 32.6% 87.3% 56.9% 113.0% 1.1% 3.8% 104.6K 35.1M -548.4K 0.68 1.70 N/A N/A 9,114 6,195 195,377 100,650 2009-03-03 $13.29 $18.02 113.2% 32.5% 87.7% 56.6% 112.7% 0.6% 2.8% 90.4K 36.1M -557.0K 0.23 2.68 N/A N/A 6,305 1,453 196,471 102,549 2009-03-04 $14.99 $18.02 122.9% 35.2% 98.3% 63.7% 108.1% 15.5% -0.2% 248.7K 17.5M -663.9K 0.85 2.86 N/A N/A 8,306 7,072 198,306 102,042 2009-03-05 $12.64 $18.02 137.4% 39.4% 113.2% 74.3% 138.4% -5.5% 2.6% 101.9K 30.7M -567.7K 1.28 2.60 N/A N/A 12,979 16,673 198,372 105,260 2009-03-06 $12.54 $18.02 140.5% 43.3% 111.8% 76.5% 148.3% 31.1% -11.2% 107.0K 26.7M -605.0K 2.01 2.71 N/A N/A 9,491 19,079 204,639 112,644 2009-03-09 $12.95 $18.02 139.6% 43.3% 111.1% 75.8% 147.6% 31.4% -18.8% 98.6K 24.2M -633.0K 1.04 2.40 N/A N/A 5,715 5,921 207,834 121,010 2009-03-10 $14.71 $18.02 141.7% 42.6% 122.7% 77.4% 139.5% 25.6% -21.7% 241.0K 12.6M -708.3K 1.22 1.94 N/A N/A 10,863 13,231 208,846 121,782 2009-03-11 $13.84 $18.02 134.8% 42.1% 119.4% 72.4% 135.1% 26.9% -21.8% 174.0K 21.7M -664.6K 0.92 1.80 N/A N/A 6,747 6,190 211,069 124,748 2009-03-12 $14.37 $18.02 155.9% 44.7% 120.6% 87.7% 145.9% 30.8% -23.7% 183.6K 15.3M -681.0K 1.87 2.12 N/A N/A 6,496 12,162 213,622 123,613 2009-03-13 $13.77 $18.02 140.8% 40.4% 121.0% 76.7% 137.2% 25.5% -16.8% 71.1K 27.1M -653.2K 1.32 2.42 N/A N/A 7,386 9,719 214,828 129,629 2009-03-16 $14.71 $18.02 136.3% 39.1% 124.3% 73.5% 124.6% 20.0% -20.2% 119.9K 18.6M -686.9K 0.41 2.51 N/A N/A 11,699 4,799 215,346 131,074 2009-03-17 $13.43 $18.02 122.9% 35.2% 123.1% 63.7% 120.2% 21.1% -13.7% 13.9K 33.0M -610.7K 2.68 1.63 N/A N/A 21,252 57,036 219,064 130,874 2009-03-18 $13.17 $18.02 126.4% 36.2% 122.7% 66.2% 126.4% 16.6% -15.0% -14.8K 34.0M -620.8K 2.25 2.53 N/A N/A 20,104 45,134 221,733 153,084 2009-03-19 $15.38 $18.02 125.5% 36.0% 135.5% 65.5% 127.7% 12.6% -25.2% -18.9K 25.3M -737.3K 0.26 2.54 N/A N/A 43,945 11,360 226,617 181,185 2009-03-20 $15.72 $18.02 122.0% 35.0% 135.7% 63.0% 124.6% 11.2% -24.7% 251.3K -12.0M -818.5K 0.67 2.19 N/A N/A 12,436 8,368 246,931 164,638 2009-03-23 $17.78 $18.02 107.0% 30.7% 138.7% 52.1% 108.7% 18.7% -10.6% 512.7K -51.4M -881.2K 0.26 2.05 N/A N/A 28,395 7,464 221,447 129,609 2009-03-24 $17.66 $18.02 101.1% 29.0% 135.2% 47.8% 103.8% 15.8% -7.7% 694.1K -52.9M -888.1K 1.26 3.17 N/A N/A 11,818 14,906 230,647 130,295 2009-03-25 $18.55 $18.02 99.2% 28.5% 136.1% 46.5% 100.0% 15.2% -4.8% 915.6K -80.2M -1.0M 0.87 2.36 N/A N/A 17,253 14,968 234,323 136,787 2009-03-26 $19.51 $18.02 102.3% 29.3% 136.8% 48.7% 99.0% 15.5% -2.6% 1.0M -97.1M -1.0M 0.64 2.53 N/A N/A 16,647 10,659 238,233 140,820 2009-03-27 $18.74 $18.02 97.9% 28.1% 136.7% 45.5% 100.8% 13.4% 1.1% 839.8K -74.5M -1.0M 1.42 3.37 N/A N/A 6,790 9,639 242,025 148,081 2009-03-30 $16.08 $18.02 116.6% 33.4% 140.6% 59.1% 108.3% 13.1% -6.6% 334.3K -13.0M -904.9K 0.44 2.92 N/A N/A 20,913 9,164 244,829 154,185 2009-03-31 $17.64 $18.02 109.2% 31.3% 143.6% 53.7% 109.2% 12.1% -5.0% 821.5K -53.1M -1.0M 1.15 2.73 N/A N/A 17,895 20,624 257,859 152,622
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