AA Options History — April 2009

In April 2009, AA traded between $18.26 and $22.25. ATM implied volatility averaged 82.1%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 23.1%. IV traded below realized volatility by 22.3% (HV 20d: 104.4%). Max pain ranged from $18.02 to $21.63. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2009-04-07: Highest Volume — 74,115 contracts
  • 2009-04-08: Largest IV drop — 33.8% change
  • 2009-04-07: Highest IV Rank — 63.4%
  • 2009-04-02: Largest Expected Move — 30.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.70$18.26$22.25$18.26$21.80
Max Pain$19.91$18.02$21.63$18.02$21.63
ATM IV82.1%62.5%122.5%105.1%64.5%
Expected Move23.1%17.9%30.6%30.1%18.5%
HV 20d104.4%69.4%138.3%138.3%69.4%
HV 60d106.6%104.2%109.6%108.5%105.3%
IV Rank34.0%19.7%63.4%50.7%21.2%
IV Percentile56.0%38.9%91.7%82.5%40.1%
Term Structure-0.9%-12.3%8.0%-2.8%1.1%
VWIV81.5%63.9%105.3%105.3%65.1%
Skew 25d10.5%6.0%18.1%13.4%8.8%
Skew 10d19.7%12.5%28.6%24.1%12.5%
Call IV 25d77.0%62.1%100.4%99.6%63.8%
Put IV 25d87.4%71.5%113.0%113.0%72.6%
Bid-Ask Spread %3.752.155.142.154.27
Gamma HHI0.240.180.360.200.28
Net GEX1.8M867.4K3.4M867.4K1.9M
Net DEX-124.5M-202.1M-61.7M-61.7M-122.0M
Net VEX-1.1M-1.1M-1.0M-1.0M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.282.330.560.85
Total Volume21,304.6195,56274,11513,09411,795
Total OI401,545.857315,379476,328421,940340,278

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$18.26$18.02105.1%30.1%138.3%50.7%105.3%13.4%-2.8%867.4K-61.7M-1.0M0.562.15N/AN/A8,3754,719259,607162,333
2009-04-02$19.66$18.02106.9%30.6%122.2%52.0%101.9%18.1%-4.1%1.1M-95.3M-1.0M0.453.54N/AN/A17,0667,764254,295160,632
2009-04-03$19.63$18.02104.1%29.3%122.0%50.0%104.1%16.3%-9.8%1.3M-99.9M-1.1M1.103.85N/AN/A9,82910,834262,883164,823
2009-04-06$19.01$18.02119.9%29.5%123.4%61.5%101.2%13.8%-10.7%1.1M-83.0M-1.1M0.503.62N/AN/A19,1259,501266,216169,377
2009-04-07$18.72$18.02122.5%30.2%117.1%63.4%105.2%10.8%-12.3%1.1M-81.8M-1.1M0.514.50N/AN/A49,15724,958271,321169,658
2009-04-08$19.37$18.0281.1%25.1%114.1%33.2%87.4%12.7%-0.4%2.0M-107.0M-1.1M0.564.14N/AN/A30,96517,191294,288180,971
2009-04-09$21.27$18.0281.3%23.3%117.2%33.4%83.0%12.3%-0.8%2.7M-183.0M-1.1M0.283.23N/AN/A39,25511,150294,715181,613
2009-04-13$21.99$18.0286.1%24.7%114.9%36.9%85.7%10.5%-4.5%2.8M-202.1M-1.1M0.304.24N/AN/A21,2926,413291,960180,459
2009-04-14$21.22$18.0287.0%24.9%115.6%37.5%86.5%12.1%-5.3%2.4M-175.4M-1.1M0.754.73N/AN/A11,8068,901292,356180,955
2009-04-15$21.75$18.0282.8%23.7%108.1%34.5%82.1%10.2%-2.6%2.7M-188.0M-1.1M0.522.97N/AN/A9,6335,045291,376182,142
2009-04-16$21.99$21.6372.9%20.9%107.0%27.3%74.1%9.2%2.8%3.4M-189.3M-1.1M0.493.69N/AN/A9,3474,604291,594182,434
2009-04-17$22.25$21.6367.8%19.4%95.5%23.6%67.9%9.7%3.0%2.2M-200.5M-1.1M0.503.20N/AN/A13,4716,748289,140183,112
2009-04-20$20.09$21.6375.5%21.7%104.6%29.2%78.0%6.7%8.0%1.1M-85.6M-1.0M0.792.30N/AN/A9,7957,729208,489106,890
2009-04-21$20.88$21.6370.2%20.1%96.7%25.3%72.4%8.7%2.0%1.4M-98.4M-1.1M0.433.46N/AN/A8,8853,789213,402109,604
2009-04-22$20.76$21.6370.3%20.2%96.7%25.4%70.4%8.3%2.2%1.4M-99.7M-1.1M0.413.53N/AN/A6,0772,483216,645110,436
2009-04-23$21.39$21.6369.5%19.9%95.8%24.8%70.2%8.5%2.3%1.6M-113.1M-1.1M1.233.12N/AN/A3,0373,732217,296111,130
2009-04-24$21.96$21.6363.7%18.3%94.8%20.6%65.0%9.5%4.6%1.8M-126.1M-1.1M0.463.76N/AN/A4,9042,258218,281113,141
2009-04-27$21.12$21.6364.6%18.5%94.7%21.2%71.5%6.0%2.9%1.6M-106.1M-1.0M2.334.80N/AN/A4,1009,537219,137113,456
2009-04-28$20.47$21.6366.0%18.9%75.3%22.3%70.6%6.2%3.3%1.4M-90.2M-1.0M1.514.50N/AN/A2,6143,951221,055115,714
2009-04-29$21.15$21.6362.5%17.9%69.6%19.7%63.9%8.5%2.6%1.6M-105.6M-1.1M0.365.14N/AN/A4,0791,483221,946117,303
2009-04-30$21.80$21.6364.5%18.5%69.4%21.2%65.1%8.8%1.1%1.9M-122.0M-1.1M0.854.27N/AN/A6,3715,424222,764117,514