AA Options History — August 2009

In August 2009, AA traded between $28.96 and $32.95. ATM implied volatility averaged 51.7%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded below realized volatility by 0.4% (HV 20d: 52.1%). Max pain ranged from $24.03 to $28.84. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2009-08-13: Highest Volume — 64,100 contracts
  • 2009-08-13: Largest IV spike — 17.7% change
  • 2009-08-17: Highest IV Rank — 16.3%
  • 2009-08-17: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.51$28.96$32.95$30.28$28.96
Max Pain$27.58$24.03$28.84$24.03$28.84
ATM IV51.7%44.0%58.4%51.8%47.9%
Expected Move15.0%13.5%16.7%14.9%13.7%
HV 20d52.1%47.6%58.1%47.6%48.0%
HV 60d59.1%55.2%61.8%61.8%55.6%
IV Rank11.4%5.8%16.3%11.5%8.7%
IV Percentile11.7%5.2%18.7%13.1%6.3%
Term Structure5.1%-0.4%9.3%0.1%9.3%
VWIV52.6%46.5%58.6%53.4%48.2%
Skew 25d4.5%0.9%8.1%1.6%6.0%
Skew 10d11.1%-1.7%22.5%8.4%10.9%
Call IV 25d51.0%44.3%56.0%53.1%46.5%
Put IV 25d55.5%50.2%61.3%54.7%52.5%
Bid-Ask Spread %3.402.434.674.302.77
Gamma HHI0.160.140.210.170.16
Net GEX5.5M4.1M7.2M5.0M4.1M
Net DEX-375.2M-523.7M-254.5M-395.0M-254.5M
Net VEX-1.7M-1.7M-1.6M-1.6M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.121.280.470.33
Total Volume24,978.5718,71564,10064,02011,037
Total OI474,203.619436,446509,801436,446476,080

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$30.28$24.0351.8%14.9%47.6%11.5%53.4%1.6%0.1%5.0M-395.0M-1.6M0.474.30N/AN/A43,40720,613292,310144,136
2009-08-04$30.85$24.0353.2%15.3%47.6%12.6%54.5%3.1%0.9%5.6M-425.7M-1.7M0.513.13N/AN/A18,3429,352306,034154,673
2009-08-05$31.91$26.4355.2%15.8%47.9%14.0%56.3%3.6%-0.4%5.6M-461.5M-1.7M0.494.06N/AN/A24,90912,248305,685158,358
2009-08-06$30.76$26.4353.2%15.3%49.4%12.6%54.5%4.5%1.4%5.4M-401.8M-1.7M0.483.32N/AN/A15,8397,677306,955157,748
2009-08-07$31.24$26.4350.9%15.4%49.4%10.9%53.9%4.7%5.1%5.6M-426.1M-1.7M0.283.49N/AN/A16,0064,523310,375157,539
2009-08-10$30.49$26.4353.3%15.6%51.0%12.6%54.7%4.2%4.9%5.5M-389.6M-1.7M0.313.09N/AN/A12,1053,793312,543157,618
2009-08-11$30.54$26.4350.0%15.4%50.6%10.2%54.4%3.8%6.2%5.6M-392.6M-1.7M0.382.94N/AN/A12,6294,762314,583158,340
2009-08-12$31.14$26.4344.0%14.6%48.2%5.8%51.6%3.4%6.8%6.1M-426.4M-1.6M0.713.41N/AN/A12,2468,634315,564158,677
2009-08-13$32.95$26.4351.7%14.8%50.4%11.5%51.8%0.9%4.9%6.7M-523.7M-1.7M0.123.28N/AN/A57,3286,772318,497161,340
2009-08-14$31.89$28.8451.6%14.8%51.6%11.4%51.7%2.3%5.8%7.2M-461.5M-1.6M1.283.21N/AN/A12,25115,723323,694162,708
2009-08-17$29.82$28.8458.4%16.7%58.0%16.3%58.6%5.2%3.4%5.6M-345.0M-1.6M0.913.03N/AN/A14,06412,793322,944171,363
2009-08-18$31.05$28.8454.2%15.5%55.6%13.3%54.5%5.6%6.9%6.9M-409.7M-1.6M0.283.33N/AN/A20,0325,569325,801163,788
2009-08-19$29.99$28.8457.3%16.4%58.1%15.6%55.7%4.8%4.3%6.0M-360.3M-1.7M0.243.65N/AN/A26,2906,185333,072164,241
2009-08-20$29.87$28.8453.6%15.4%55.5%12.9%53.5%4.5%5.3%6.4M-359.8M-1.7M0.403.55N/AN/A9,7993,890345,352164,196
2009-08-21$30.18$28.8450.5%14.5%55.3%10.6%51.7%6.3%7.4%5.2M-377.8M-1.7M0.604.12N/AN/A8,9415,392345,478164,323
2009-08-24$29.85$28.8453.6%15.4%55.2%12.8%53.4%8.1%4.7%4.8M-300.0M-1.7M1.142.93N/AN/A14,82816,935307,943135,383
2009-08-25$29.68$28.8449.9%14.3%55.2%10.1%50.3%5.4%7.0%4.5M-289.6M-1.7M0.682.43N/AN/A6,9004,683314,709146,553
2009-08-26$29.46$28.8448.4%13.9%54.5%9.0%47.5%6.5%7.8%4.4M-274.6M-1.7M0.402.80N/AN/A12,0064,747314,222148,180
2009-08-27$29.80$28.8449.3%14.1%53.0%9.7%48.5%5.1%7.3%4.7M-297.7M-1.7M0.353.94N/AN/A6,4492,266318,400149,305
2009-08-28$30.04$28.8447.1%13.5%52.4%8.1%46.5%5.9%8.5%5.0M-306.5M-1.7M1.164.67N/AN/A5,8306,755319,576149,990
2009-08-31$28.96$28.8447.9%13.7%48.0%8.7%48.2%6.0%9.3%4.1M-254.5M-1.6M0.332.77N/AN/A8,2722,765321,553154,527