AA Options History — May 2009

In May 2009, AA traded between $20.74 and $25.23. ATM implied volatility averaged 64.4%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded below realized volatility by 6.4% (HV 20d: 70.8%). Max pain ranged from $21.63 to $21.63. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.44.

Notable Days

  • 2009-05-04: Highest Volume — 75,196 contracts
  • 2009-05-08: Largest IV drop — 10.2% change
  • 2009-05-13: Highest IV Rank — 26.6%
  • 2009-05-07: Largest Expected Move — 20.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.74$20.74$25.23$23.29$22.16
Max Pain$21.63$21.63$21.63$21.63$21.63
ATM IV64.4%55.1%72.5%68.6%58.3%
Expected Move18.4%15.8%20.1%19.7%16.7%
HV 20d70.8%68.1%77.0%68.5%68.3%
HV 60d103.7%96.2%106.7%106.0%96.2%
IV Rank20.7%14.0%26.6%23.8%16.3%
IV Percentile37.4%28.2%44.4%43.3%29.8%
Term Structure5.1%-4.3%9.5%-4.3%6.3%
VWIV64.2%56.2%71.8%69.9%58.9%
Skew 25d6.5%2.5%9.1%6.3%3.4%
Skew 10d12.7%6.3%16.6%10.7%9.9%
Call IV 25d62.0%53.6%69.9%69.9%58.1%
Put IV 25d68.5%61.4%76.2%76.2%61.4%
Bid-Ask Spread %3.792.585.223.684.10
Gamma HHI0.310.230.400.290.30
Net GEX3.1M2.1M6.1M2.2M3.1M
Net DEX-166.8M-261.2M-99.8M-163.8M-148.8M
Net VEX-1.3M-1.4M-1.1M-1.1M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.131.170.390.23
Total Volume19,823.355,18375,19622,7435,183
Total OI392,562.85342,615422,849342,615413,643

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$23.29$21.6368.6%19.7%68.5%23.8%69.9%6.3%-4.3%2.2M-163.8M-1.1M0.393.68N/AN/A16,3306,413224,488118,127
2009-05-04$24.90$21.6369.5%19.8%71.4%24.5%68.3%7.5%2.7%2.6M-214.4M-1.2M0.134.10N/AN/A66,7848,412228,213117,119
2009-05-05$24.34$21.6367.3%19.6%70.7%22.8%68.5%8.2%3.0%3.7M-261.2M-1.3M0.565.22N/AN/A5,5323,101273,643119,984
2009-05-06$25.23$21.6369.2%20.0%70.4%24.2%68.5%7.4%2.1%3.6M-257.5M-1.3M0.394.36N/AN/A11,0304,277255,961120,516
2009-05-07$23.67$21.6369.7%20.1%75.3%24.6%69.9%8.7%2.5%3.1M-197.8M-1.3M0.283.62N/AN/A16,4344,592255,105121,707
2009-05-08$24.05$21.6362.6%18.8%68.6%19.4%65.8%7.5%3.8%3.7M-215.7M-1.3M0.794.45N/AN/A12,3109,664262,307122,350
2009-05-11$23.04$21.6368.3%18.8%69.9%23.6%66.7%7.0%4.0%3.5M-180.8M-1.3M0.994.61N/AN/A6,2986,232267,723128,843
2009-05-12$22.73$21.6370.9%19.2%68.8%25.5%65.7%6.5%4.9%3.3M-165.8M-1.3M0.284.13N/AN/A9,0802,581267,225131,803
2009-05-13$20.74$21.6372.5%19.9%76.1%26.6%71.8%9.1%3.8%2.1M-99.8M-1.2M1.173.12N/AN/A14,08916,414270,797132,366
2009-05-14$21.00$21.6366.9%19.2%76.1%22.6%68.9%8.1%6.1%2.2M-106.9M-1.2M0.333.04N/AN/A18,6636,222273,208139,026
2009-05-15$21.70$21.6365.8%18.9%77.0%21.8%65.7%4.1%7.0%6.1M-146.6M-1.3M0.283.44N/AN/A25,6627,227281,876140,973
2009-05-18$22.80$21.6360.2%17.3%69.0%17.7%58.5%8.0%7.6%2.8M-163.9M-1.3M0.462.85N/AN/A12,8185,904259,378121,280
2009-05-19$23.26$21.6355.1%15.8%68.1%14.0%56.2%8.0%9.5%3.0M-183.3M-1.4M0.512.58N/AN/A13,0356,600264,765123,749
2009-05-20$22.80$21.6359.6%17.1%68.6%17.2%58.1%6.6%8.4%2.9M-165.4M-1.4M0.423.59N/AN/A10,5664,432267,891126,700
2009-05-21$21.87$21.6363.5%18.2%69.9%20.1%63.6%5.9%7.3%2.5M-135.2M-1.3M0.384.23N/AN/A10,8234,132270,291128,142
2009-05-22$21.29$21.6361.8%17.7%69.9%18.8%62.1%2.5%7.7%2.3M-119.8M-1.3M0.163.02N/AN/A12,6641,986272,051129,256
2009-05-26$22.28$21.6359.2%17.0%70.3%17.0%58.7%5.1%7.2%3.0M-148.2M-1.3M0.324.46N/AN/A7,1772,326275,122129,728
2009-05-27$21.75$21.6359.3%17.0%69.9%17.0%59.3%5.6%6.4%2.8M-128.0M-1.3M0.314.03N/AN/A5,9261,836276,755130,169
2009-05-28$21.84$21.6359.8%17.1%69.0%17.4%59.5%4.3%6.0%2.9M-132.3M-1.3M0.373.15N/AN/A10,0393,673278,573130,404
2009-05-29$22.16$21.6358.3%16.7%68.3%16.3%58.9%3.4%6.3%3.1M-148.8M-1.3M0.234.10N/AN/A4,225958282,101131,542