AA Options History — September 2009 In September 2009, AA traded between $27.75 and $34.77. ATM implied volatility averaged 54.0%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded above realized volatility by 7.8% (HV 20d: 46.2%). 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 10 of 21 days. Put/call ratio averaged 0.52.
Notable Days 2009-09-15 : Highest Volume — 71,946 contracts2009-09-10 : Largest IV spike — 30.4% change2009-09-16 : Highest IV Rank — 12.5%2009-09-16 : Largest Expected Move — 16.9%Monthly Statistics Metric Avg Min Max Open Close Price $31.68 $27.75 $34.77 $27.85 $31.53 Max Pain $24.83 $24.03 $28.84 $28.84 $24.03 ATM IV 54.0% 42.8% 59.1% 49.8% 56.5% Expected Move 16.0% 14.0% 16.9% 14.3% 16.2% HV 20d 46.2% 43.1% 49.5% 49.0% 45.2% HV 60d 52.0% 48.3% 56.1% 56.1% 48.4% IV Rank 8.8% 0.0% 12.5% 8.3% 10.5% IV Percentile 13.8% 0.0% 20.6% 7.9% 17.1% Term Structure 1.0% -3.3% 10.8% 10.8% -2.1% VWIV 56.3% 49.3% 59.7% 50.7% 57.3% Skew 25d 2.6% -1.0% 5.6% 5.3% -0.4% Skew 10d 6.0% -4.0% 12.9% 8.4% -2.5% Call IV 25d 55.8% 47.0% 59.9% 50.2% 58.3% Put IV 25d 58.4% 52.1% 61.5% 55.5% 57.9% Bid-Ask Spread % 3.69 2.62 4.58 4.26 2.64 Gamma HHI 0.21 0.15 0.42 0.15 0.21 Net GEX 7.5M 3.2M 16.7M 3.3M 7.0M Net DEX -405.0M -627.3M -197.2M -203.9M -367.1M Net VEX -1.8M -2.2M -1.6M -1.6M -1.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.52 0.18 0.90 0.62 0.58 Total Volume 23,784.333 8,105 71,946 13,267 14,087 Total OI 509,128.762 478,482 591,844 478,482 523,813
Daily Data (21 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 2009-09-01 $27.85 $28.84 49.8% 14.3% 49.0% 8.3% 50.7% 5.3% 10.8% 3.3M -203.9M -1.6M 0.62 4.26 N/A N/A 8,192 5,075 323,514 154,968 2009-09-02 $27.75 $28.84 51.0% 14.6% 46.8% 9.2% 51.9% 4.0% 10.0% 3.2M -197.2M -1.6M 0.52 3.64 N/A N/A 11,759 6,137 323,705 155,122 2009-09-03 $28.86 $28.84 48.9% 14.0% 48.1% 3.9% 49.3% 5.1% 10.1% 4.5M -262.6M -1.6M 0.18 3.70 N/A N/A 15,971 2,854 327,640 155,166 2009-09-04 $29.27 $24.03 46.9% 16.3% 48.1% 2.4% 58.1% 4.5% 2.1% 5.4M -294.7M -1.7M 0.88 3.70 N/A N/A 5,970 5,258 341,419 155,974 2009-09-08 $30.28 $24.03 44.3% 16.4% 49.1% 0.4% 57.6% 5.2% 1.7% 6.3M -347.4M -1.7M 0.32 3.26 N/A N/A 9,398 3,019 343,235 157,647 2009-09-09 $30.78 $24.03 42.8% 16.0% 49.5% 0.0% 55.5% 5.4% 2.3% 6.7M -366.6M -1.7M 0.47 3.68 N/A N/A 9,531 4,442 337,710 157,704 2009-09-10 $30.85 $24.03 55.8% 16.0% 49.0% 10.0% 56.3% 5.1% 1.1% 7.0M -372.6M -1.7M 0.39 4.07 N/A N/A 8,345 3,217 340,521 158,725 2009-09-11 $31.21 $24.03 54.6% 15.7% 44.5% 9.1% 53.9% 5.5% 1.9% 7.9M -396.1M -1.7M 0.49 4.13 N/A N/A 18,627 9,192 343,622 159,044 2009-09-14 $31.09 $24.03 54.8% 15.7% 43.1% 9.2% 54.9% 5.6% 1.6% 7.9M -388.5M -1.7M 0.60 4.49 N/A N/A 12,487 7,526 347,946 162,875 2009-09-15 $33.62 $24.03 54.8% 15.7% 44.4% 9.2% 55.9% 3.1% 0.2% 9.9M -551.4M -1.8M 0.53 4.58 N/A N/A 46,924 25,022 351,422 165,683 2009-09-16 $34.77 $24.03 59.1% 16.9% 43.8% 12.5% 59.7% 2.9% -2.3% 11.3M -627.3M -2.1M 0.22 2.98 N/A N/A 45,200 9,750 364,966 180,331 2009-09-17 $33.76 $24.03 58.8% 16.9% 43.2% 12.3% 59.6% 1.2% -1.4% 9.1M -555.0M -2.1M 0.53 4.06 N/A N/A 45,521 23,901 383,086 183,112 2009-09-18 $33.79 $24.03 57.0% 16.4% 43.1% 10.9% 58.1% 1.0% -1.2% 16.7M -575.7M -2.2M 0.61 3.31 N/A N/A 14,551 8,949 407,161 184,683 2009-09-21 $33.50 $24.03 56.8% 16.3% 43.4% 10.7% 57.5% 1.1% -2.3% 7.2M -441.0M -1.9M 0.83 3.73 N/A N/A 9,658 8,032 329,281 153,281 2009-09-22 $34.27 $24.03 56.9% 16.3% 43.4% 10.8% 57.4% 0.6% -2.3% 7.5M -498.7M -1.9M 0.27 3.02 N/A N/A 18,860 5,122 332,855 148,876 2009-09-23 $33.98 $24.03 55.6% 15.9% 43.5% 9.9% 56.4% 0.1% -0.3% 7.8M -493.7M -1.9M 0.31 4.36 N/A N/A 14,707 4,502 345,246 149,978 2009-09-24 $32.46 $24.03 57.4% 16.5% 47.1% 11.2% 58.3% 0.8% -2.0% 7.3M -411.5M -1.9M 0.60 2.62 N/A N/A 14,574 8,748 351,375 151,546 2009-09-25 $31.43 $24.03 57.1% 16.4% 48.8% 11.0% 57.8% -0.6% -2.2% 6.6M -363.3M -1.8M 0.74 4.30 N/A N/A 8,777 6,528 352,959 154,362 2009-09-28 $32.27 $24.03 57.7% 16.5% 49.5% 11.5% 58.3% -0.2% -3.3% 7.2M -401.9M -1.8M 0.90 3.44 N/A N/A 4,255 3,850 354,006 156,390 2009-09-29 $31.98 $26.43 56.7% 16.3% 47.5% 10.7% 57.5% -1.0% -1.7% 7.1M -388.9M -1.9M 0.41 3.57 N/A N/A 7,782 3,171 358,901 161,854 2009-09-30 $31.53 $24.03 56.5% 16.2% 45.2% 10.5% 57.3% -0.4% -2.1% 7.0M -367.1M -1.9M 0.58 2.64 N/A N/A 8,918 5,169 361,934 161,879
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