AA Options History — July 2009 In July 2009, AA traded between $22.18 and $28.26. ATM implied volatility averaged 57.1%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded below realized volatility by 0.5% (HV 20d: 57.5%). Max pain ranged from $24.03 to $24.03. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.57.
Notable Days 2009-07-08 : Highest Volume — 71,600 contracts2009-07-09 : Largest IV drop — 35.0% change2009-07-08 : Highest IV Rank — 43.3%2009-07-08 : Largest Expected Move — 21.5%Monthly Statistics Metric Avg Min Max Open Close Price $24.74 $22.18 $28.26 $24.87 $28.26 Max Pain $24.03 $24.03 $24.03 $24.03 $24.03 ATM IV 57.1% 43.8% 95.2% 62.3% 46.5% Expected Move 15.6% 12.5% 21.5% 17.9% 13.3% HV 20d 57.5% 50.8% 65.5% 64.2% 50.8% HV 60d 65.0% 61.7% 69.5% 67.7% 61.8% IV Rank 15.4% 5.6% 43.3% 19.2% 7.6% IV Percentile 21.1% 4.8% 67.9% 29.0% 9.5% Term Structure 2.8% -6.4% 9.5% -2.9% 3.5% VWIV 54.8% 44.9% 73.5% 61.9% 47.3% Skew 25d 5.1% 1.1% 9.6% 4.6% 2.0% Skew 10d 11.0% 3.5% 18.7% 13.9% 6.2% Call IV 25d 52.8% 43.6% 70.1% 61.0% 47.0% Put IV 25d 57.9% 48.2% 77.6% 65.6% 49.0% Bid-Ask Spread % 3.69 2.67 4.69 3.18 3.46 Gamma HHI 0.25 0.16 0.42 0.23 0.17 Net GEX 4.3M 2.5M 8.0M 4.5M 4.6M Net DEX -189.9M -307.6M -96.1M -217.4M -307.6M Net VEX -1.5M -1.7M -1.4M -1.5M -1.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.57 0.25 1.14 0.71 0.25 Total Volume 26,921.773 6,880 71,600 15,340 22,678 Total OI 476,483.091 395,669 554,018 482,575 431,299
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 2009-07-01 $24.87 $24.03 62.3% 17.9% 64.2% 19.2% 61.9% 4.6% -2.9% 4.5M -217.4M -1.5M 0.71 3.18 N/A N/A 8,975 6,365 316,772 165,803 2009-07-02 $23.69 $24.03 66.4% 19.0% 62.6% 22.2% 66.6% 1.1% -5.0% 3.8M -165.1M -1.5M 0.89 2.94 N/A N/A 15,407 13,744 321,531 170,416 2009-07-06 $22.25 $24.03 81.5% 19.5% 65.0% 33.2% 67.8% 7.8% -1.0% 2.7M -96.1M -1.4M 0.59 4.10 N/A N/A 20,196 11,994 322,400 173,017 2009-07-07 $22.61 $24.03 92.3% 21.1% 65.5% 41.1% 71.9% 7.9% -5.9% 3.0M -123.9M -1.5M 0.46 4.39 N/A N/A 42,184 19,250 327,733 177,488 2009-07-08 $22.73 $24.03 95.2% 21.5% 63.9% 43.3% 73.5% 7.5% -6.4% 3.6M -135.0M -1.5M 0.58 4.16 N/A N/A 45,385 26,215 342,800 180,474 2009-07-09 $22.18 $24.03 61.9% 18.2% 62.5% 18.9% 64.6% 9.6% 1.5% 4.1M -98.6M -1.5M 0.52 2.78 N/A N/A 39,983 20,938 363,079 190,939 2009-07-10 $22.44 $24.03 59.3% 18.0% 57.1% 17.0% 63.0% 7.9% 2.2% 4.0M -101.4M -1.4M 0.62 3.58 N/A N/A 9,353 5,799 355,134 193,084 2009-07-13 $23.21 $24.03 59.9% 16.1% 59.4% 17.4% 57.9% 7.5% 6.8% 5.4M -144.2M -1.5M 0.92 3.98 N/A N/A 8,808 8,114 352,119 193,107 2009-07-14 $23.04 $24.03 57.4% 15.4% 55.5% 15.6% 55.1% 8.0% 7.7% 5.3M -133.3M -1.4M 1.14 3.21 N/A N/A 6,717 7,648 352,504 192,156 2009-07-15 $24.37 $24.03 58.5% 15.9% 59.3% 16.4% 54.9% 6.5% 5.8% 7.9M -225.4M -1.5M 0.38 3.30 N/A N/A 18,106 6,898 353,127 193,257 2009-07-16 $25.09 $24.03 53.3% 15.3% 58.9% 12.6% 53.2% 4.8% 7.2% 8.0M -280.7M -1.5M 0.33 3.04 N/A N/A 20,185 6,754 354,210 195,336 2009-07-17 $24.56 $24.03 48.1% 13.8% 58.4% 8.8% 48.5% 4.7% 9.5% 5.2M -262.9M -1.4M 0.27 4.46 N/A N/A 26,539 7,054 348,375 195,252 2009-07-20 $25.47 $24.03 43.8% 12.5% 59.6% 5.6% 44.9% 5.1% 4.2% 2.7M -173.0M -1.4M 0.41 4.69 N/A N/A 14,203 5,886 265,272 130,397 2009-07-21 $24.37 $24.03 46.1% 13.2% 51.6% 7.4% 46.2% 5.7% 3.6% 2.5M -137.3M -1.4M 0.48 3.45 N/A N/A 13,026 6,223 263,142 132,745 2009-07-22 $24.51 $24.03 45.6% 13.1% 51.6% 7.0% 45.9% 5.3% 4.3% 2.6M -144.1M -1.4M 0.56 3.66 N/A N/A 4,422 2,458 264,370 135,248 2009-07-23 $25.95 $24.03 46.5% 13.3% 55.0% 7.6% 47.6% 3.3% 3.1% 3.1M -197.6M -1.5M 0.33 3.97 N/A N/A 19,291 6,275 265,596 135,543 2009-07-24 $26.48 $24.03 45.2% 13.0% 52.7% 6.7% 46.0% 3.2% 4.6% 3.7M -223.0M -1.5M 0.49 2.67 N/A N/A 17,370 8,436 272,723 136,779 2009-07-27 $27.15 $24.03 47.3% 13.6% 53.4% 8.2% 48.1% 2.3% 4.2% 4.1M -256.5M -1.6M 0.77 4.62 N/A N/A 15,056 11,642 280,514 140,184 2009-07-28 $27.06 $24.03 46.2% 13.3% 52.0% 7.4% 46.7% 3.4% 5.5% 4.2M -249.3M -1.7M 0.53 3.41 N/A N/A 5,968 3,161 288,707 151,014 2009-07-29 $26.46 $24.03 44.9% 12.9% 52.6% 6.5% 46.2% 2.8% 5.8% 4.3M -231.1M -1.6M 0.93 3.59 N/A N/A 6,548 6,094 289,603 143,406 2009-07-30 $27.54 $24.03 47.4% 13.6% 54.2% 8.3% 47.4% 2.1% 3.8% 4.4M -274.6M -1.5M 0.47 4.56 N/A N/A 14,203 6,728 284,184 141,789 2009-07-31 $28.26 $24.03 46.5% 13.3% 50.8% 7.6% 47.3% 2.0% 3.5% 4.6M -307.6M -1.6M 0.25 3.46 N/A N/A 18,212 4,466 288,403 142,896
« Jun 2009 | All History | Aug 2009 » Home AA History July 2009