AA Options History — October 2009 In October 2009, AA traded between $28.67 and $34.51. ATM implied volatility averaged 47.1%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 6.1% (HV 20d: 41.0%). Max pain ranged from $26.43 to $33.64. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.67.
Notable Days 2009-10-08 : Highest Volume — 93,612 contracts2009-10-08 : Largest IV drop — 40.8% change2009-10-05 : Highest IV Rank — 23.7%2009-10-01 : Largest Expected Move — 18.3%Monthly Statistics Metric Avg Min Max Open Close Price $32.75 $28.67 $34.51 $31.05 $29.85 Max Pain $32.33 $26.43 $33.64 $26.43 $31.24 ATM IV 47.1% 34.4% 73.6% 63.8% 55.0% Expected Move 13.5% 9.9% 18.3% 18.3% 15.8% HV 20d 41.0% 30.7% 55.0% 45.7% 55.0% HV 60d 46.6% 43.2% 49.0% 48.6% 48.7% IV Rank 7.5% 0.0% 23.7% 16.1% 16.9% IV Percentile 11.3% 0.0% 46.0% 32.9% 21.8% Term Structure 1.1% -5.9% 5.3% -5.9% -2.3% VWIV 47.8% 35.0% 67.9% 67.9% 54.7% Skew 25d 0.3% -5.7% 2.7% -5.7% 1.8% Skew 10d 0.6% -10.9% 5.3% -10.9% 0.8% Call IV 25d 48.0% 34.4% 70.0% 70.0% 54.2% Put IV 25d 48.3% 37.2% 64.3% 64.3% 56.0% Bid-Ask Spread % 3.76 2.19 5.23 2.31 3.73 Gamma HHI 0.25 0.16 0.62 0.20 0.18 Net GEX 9.0M 2.2M 30.4M 6.6M 4.6M Net DEX -377.9M -576.4M -103.8M -352.4M -194.1M Net VEX -1.8M -2.1M -1.5M -1.9M -1.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.67 0.22 1.33 0.41 0.35 Total Volume 30,054.091 8,524 93,612 26,617 32,545 Total OI 522,350.136 432,426 610,696 529,393 501,963
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 2009-10-01 $31.05 $26.43 63.8% 18.3% 45.7% 16.1% 67.9% -5.7% -5.9% 6.6M -352.4M -1.9M 0.41 2.31 N/A N/A 18,909 7,708 365,142 164,251 2009-10-02 $30.81 $26.43 60.2% 17.3% 44.2% 13.4% 63.5% -3.5% -4.6% 6.6M -334.8M -1.9M 0.60 3.16 N/A N/A 7,782 4,650 371,466 166,931 2009-10-05 $32.25 $31.24 73.6% 16.8% 46.6% 23.7% 59.7% -2.3% 0.1% 7.8M -422.3M -2.0M 0.43 4.30 N/A N/A 16,107 6,929 373,698 168,429 2009-10-06 $33.38 $31.24 68.1% 16.3% 46.6% 19.5% 57.8% -1.4% -0.7% 9.1M -483.4M -2.0M 0.40 3.74 N/A N/A 45,638 18,045 376,075 169,346 2009-10-07 $34.12 $31.24 73.1% 16.7% 46.8% 23.3% 58.9% -0.3% -2.6% 9.6M -534.2M -2.1M 0.43 4.40 N/A N/A 56,949 24,300 387,296 177,075 2009-10-08 $34.48 $31.24 43.3% 13.8% 46.9% 0.4% 48.6% 0.1% 2.9% 13.8M -576.4M -2.1M 0.52 4.45 N/A N/A 61,568 32,044 409,037 187,768 2009-10-09 $34.22 $33.64 36.8% 14.0% 47.0% 0.0% 49.3% 0.1% 2.8% 12.8M -537.2M -1.8M 0.28 4.31 N/A N/A 39,918 11,296 396,709 180,995 2009-10-12 $34.24 $33.64 41.3% 14.0% 47.0% 3.3% 49.0% 1.8% 1.8% 14.3M -542.1M -1.9M 1.33 4.16 N/A N/A 9,310 12,341 412,639 183,933 2009-10-13 $33.91 $33.64 39.8% 13.6% 38.4% 2.6% 47.7% 1.0% 3.0% 13.5M -508.6M -1.8M 0.97 3.98 N/A N/A 10,948 10,639 414,237 189,690 2009-10-14 $34.41 $33.64 39.9% 12.8% 36.7% 2.7% 45.0% 1.7% 4.2% 13.1M -543.1M -1.8M 0.50 5.23 N/A N/A 9,814 4,889 412,468 195,255 2009-10-15 $34.51 $33.64 43.2% 12.4% 35.1% 5.4% 43.1% 2.4% 4.8% 12.6M -556.1M -1.8M 0.74 4.52 N/A N/A 14,336 10,627 412,312 195,273 2009-10-16 $33.74 $33.64 41.0% 11.7% 36.1% 3.5% 41.5% 1.6% 5.3% 30.4M -491.3M -1.7M 0.58 2.68 N/A N/A 17,434 10,111 409,107 201,589 2009-10-19 $33.81 $33.64 38.0% 10.9% 36.0% 1.0% 38.3% 0.4% 2.5% 6.3M -324.7M -1.7M 0.83 3.17 N/A N/A 8,066 6,679 298,889 133,537 2009-10-20 $33.14 $33.64 36.8% 10.5% 35.7% 0.0% 37.3% 1.8% 2.9% 5.6M -289.0M -1.7M 0.79 3.66 N/A N/A 7,346 5,774 302,644 136,099 2009-10-21 $33.21 $33.64 36.2% 10.4% 35.6% 0.0% 36.9% 1.9% 2.3% 5.8M -292.2M -1.7M 0.75 3.11 N/A N/A 5,730 4,291 304,655 138,658 2009-10-22 $33.74 $33.64 34.4% 9.9% 31.9% 0.0% 35.0% 2.7% 4.5% 6.4M -316.0M -1.7M 0.76 4.45 N/A N/A 4,830 3,694 307,569 141,929 2009-10-23 $32.99 $33.64 35.8% 10.3% 30.7% 1.2% 36.5% 1.8% 2.7% 5.6M -281.6M -1.7M 1.28 2.51 N/A N/A 6,723 8,589 309,459 143,682 2009-10-26 $31.91 $33.64 40.0% 11.5% 31.8% 4.6% 40.2% 1.4% 1.0% 4.4M -230.9M -1.6M 0.82 4.09 N/A N/A 6,688 5,458 312,255 146,528 2009-10-27 $30.78 $33.64 40.9% 11.7% 34.1% 5.3% 42.2% -0.4% 1.2% 3.4M -181.5M -1.6M 1.05 2.19 N/A N/A 9,060 9,508 313,208 147,357 2009-10-28 $28.67 $33.64 47.4% 13.6% 41.9% 10.7% 49.4% -1.3% -0.2% 2.2M -103.8M -1.5M 0.72 4.43 N/A N/A 16,358 11,720 314,416 147,203 2009-10-29 $31.24 $31.24 48.6% 13.9% 52.6% 11.7% 49.5% 1.7% -0.7% 4.1M -218.8M -1.7M 0.22 4.12 N/A N/A 37,664 8,175 320,026 150,905 2009-10-30 $29.85 $31.24 55.0% 15.8% 55.0% 16.9% 54.7% 1.8% -2.3% 4.6M -194.1M -1.8M 0.35 3.73 N/A N/A 24,147 8,398 348,961 153,002
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