AA Options History — June 2009 In June 2009, AA traded between $23.62 and $29.36. ATM implied volatility averaged 64.7%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 18.9%. IV traded below realized volatility by 2.9% (HV 20d: 67.5%). Max pain ranged from $18.02 to $24.03. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.52.
Notable Days 2009-06-04 : Highest Volume — 49,750 contracts2009-06-25 : Largest IV drop — 11.9% change2009-06-24 : Highest IV Rank — 26.3%2009-06-24 : Largest Expected Move — 20.6%Monthly Statistics Metric Avg Min Max Open Close Price $25.84 $23.62 $29.36 $23.62 $24.82 Max Pain $21.35 $18.02 $24.03 $21.63 $24.03 ATM IV 64.7% 58.8% 72.0% 58.8% 61.3% Expected Move 18.9% 16.9% 20.6% 16.9% 17.6% HV 20d 67.5% 57.1% 72.8% 68.1% 66.2% HV 60d 80.2% 68.0% 90.8% 89.5% 68.1% IV Rank 20.9% 16.6% 26.3% 16.6% 18.5% IV Percentile 35.6% 27.4% 44.0% 30.2% 28.2% Term Structure -0.6% -4.4% 7.1% 5.9% -0.4% VWIV 66.9% 60.3% 71.9% 60.3% 61.6% Skew 25d 5.2% 3.6% 7.6% 5.1% 4.7% Skew 10d 12.5% 5.1% 18.9% 7.9% 14.4% Call IV 25d 65.2% 59.1% 71.2% 59.1% 60.2% Put IV 25d 70.4% 64.2% 75.4% 64.2% 64.9% Bid-Ask Spread % 3.33 2.44 4.20 3.03 3.39 Gamma HHI 0.23 0.16 0.30 0.30 0.23 Net GEX 4.9M 3.8M 6.3M 3.8M 4.4M Net DEX -305.2M -499.0M -202.5M -209.4M -216.3M Net VEX -1.5M -1.6M -1.3M -1.3M -1.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.52 0.17 1.46 0.20 0.77 Total Volume 22,782.409 8,340 49,750 25,771 18,787 Total OI 462,492.955 413,834 499,677 413,834 472,508
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 2009-06-01 $23.62 $21.63 58.8% 16.9% 68.1% 16.6% 60.3% 5.1% 5.9% 3.8M -209.4M -1.3M 0.20 3.03 N/A N/A 21,400 4,371 282,231 131,603 2009-06-02 $25.28 $21.63 59.5% 17.1% 68.2% 17.2% 62.0% 6.8% 5.3% 4.3M -284.5M -1.4M 0.25 4.01 N/A N/A 17,147 4,312 289,270 133,375 2009-06-03 $24.20 $21.63 62.0% 17.8% 69.6% 19.0% 62.8% 4.2% 6.3% 4.2M -241.0M -1.4M 0.62 2.76 N/A N/A 9,675 5,965 290,011 133,699 2009-06-04 $25.69 $21.63 61.2% 17.5% 71.7% 18.4% 63.0% 4.5% 7.1% 4.6M -305.8M -1.4M 0.29 2.62 N/A N/A 38,527 11,223 291,215 135,223 2009-06-05 $26.29 $18.02 59.9% 19.4% 67.8% 17.4% 68.5% 5.9% -0.4% 4.9M -340.7M -1.6M 0.21 3.95 N/A N/A 34,159 7,135 309,659 141,596 2009-06-08 $25.88 $18.02 64.2% 20.0% 68.1% 20.6% 70.9% 6.2% -2.7% 5.0M -326.4M -1.6M 0.17 3.97 N/A N/A 12,725 2,127 318,801 144,368 2009-06-09 $26.79 $18.02 60.8% 19.2% 66.6% 18.1% 68.2% 6.1% -1.4% 5.7M -372.6M -1.6M 0.35 4.20 N/A N/A 14,277 4,968 322,472 144,492 2009-06-10 $27.61 $21.63 59.9% 19.3% 66.6% 17.4% 67.7% 5.7% -2.3% 5.7M -411.2M -1.6M 0.28 3.50 N/A N/A 17,263 4,850 325,944 146,602 2009-06-11 $29.36 $21.63 65.8% 18.9% 57.1% 21.8% 68.3% 5.3% -2.3% 6.1M -499.0M -1.6M 0.49 3.33 N/A N/A 28,745 14,116 328,194 148,125 2009-06-12 $28.81 $21.63 65.1% 18.7% 58.6% 21.3% 69.0% 5.3% -1.3% 6.3M -469.3M -1.6M 0.41 3.24 N/A N/A 9,762 4,051 331,692 154,557 2009-06-15 $26.94 $21.63 70.0% 20.1% 65.1% 24.8% 70.5% 4.6% -4.4% 6.3M -376.6M -1.5M 0.83 3.51 N/A N/A 8,613 7,155 332,815 154,900 2009-06-16 $26.19 $21.63 68.8% 19.7% 64.8% 23.9% 69.7% 4.8% -3.4% 6.0M -336.4M -1.5M 0.40 3.92 N/A N/A 15,105 6,091 333,321 155,129 2009-06-17 $25.21 $21.63 71.3% 20.4% 66.6% 25.8% 71.9% 4.3% -3.4% 5.7M -284.0M -1.5M 0.73 3.23 N/A N/A 11,762 8,573 337,159 156,920 2009-06-18 $25.90 $21.63 68.4% 19.6% 66.4% 23.6% 69.0% 5.2% -2.4% 6.1M -317.8M -1.5M 0.25 3.51 N/A N/A 16,869 4,243 336,064 158,509 2009-06-19 $26.43 $21.63 65.2% 18.7% 64.0% 21.3% 66.3% 7.6% -0.3% 4.3M -341.6M -1.6M 0.45 3.89 N/A N/A 17,077 7,665 340,679 158,998 2009-06-22 $24.08 $21.63 70.7% 20.3% 72.8% 25.3% 71.0% 4.1% -3.7% 3.8M -203.0M -1.4M 0.71 2.44 N/A N/A 16,203 11,427 298,270 133,277 2009-06-23 $24.03 $21.63 70.5% 20.2% 71.3% 25.2% 71.0% 3.6% -2.5% 4.0M -202.5M -1.5M 1.46 2.73 N/A N/A 12,514 18,217 306,081 139,212 2009-06-24 $24.53 $21.63 72.0% 20.6% 70.8% 26.3% 71.3% 4.3% -2.6% 3.9M -218.0M -1.5M 0.62 2.50 N/A N/A 12,129 7,507 305,649 150,645 2009-06-25 $25.76 $21.63 63.4% 18.2% 72.4% 20.0% 64.1% 6.5% -0.5% 4.4M -262.8M -1.6M 0.61 2.70 N/A N/A 10,245 6,222 307,278 155,604 2009-06-26 $25.86 $21.63 60.2% 17.3% 72.4% 17.7% 62.4% 5.6% 0.4% 4.5M -267.0M -1.5M 0.84 3.71 N/A N/A 4,539 3,801 309,725 158,055 2009-06-29 $25.09 $24.03 63.7% 18.3% 70.4% 20.3% 63.1% 4.9% -3.1% 4.3M -229.3M -1.5M 0.54 3.10 N/A N/A 6,286 3,385 310,784 160,134 2009-06-30 $24.82 $24.03 61.3% 17.6% 66.2% 18.5% 61.6% 4.7% -0.4% 4.4M -216.3M -1.5M 0.77 3.39 N/A N/A 10,597 8,190 311,412 161,096
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