AA Options History — November 2009

In November 2009, AA traded between $29.99 and $33.07. ATM implied volatility averaged 44.7%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 5.4% (HV 20d: 50.2%). Max pain ranged from $31.24 to $31.24. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2009-11-03: Highest Volume — 20,529 contracts
  • 2009-11-27: Largest IV spike — 11.1% change
  • 2009-11-03: Highest IV Rank — 17.8%
  • 2009-11-03: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.44$29.99$33.07$29.99$30.09
Max Pain$31.24$31.24$31.24$31.24$31.24
ATM IV44.7%35.5%56.0%55.4%40.1%
Expected Move12.9%10.2%16.1%15.9%11.5%
HV 20d50.2%29.7%55.1%52.2%29.7%
HV 60d45.6%43.6%48.7%48.6%43.6%
IV Rank8.5%0.9%17.8%17.3%4.6%
IV Percentile8.7%0.4%24.2%23.0%5.2%
Term Structure4.5%-1.8%8.9%-1.7%7.8%
VWIV45.5%36.0%56.8%54.9%40.8%
Skew 25d3.1%0.8%4.5%1.9%2.5%
Skew 10d6.0%0.9%8.9%4.7%5.1%
Call IV 25d44.5%34.8%56.9%55.1%40.4%
Put IV 25d47.6%38.2%58.1%57.0%42.9%
Bid-Ask Spread %3.752.364.994.102.36
Gamma HHI0.240.170.290.170.24
Net GEX6.8M4.8M9.5M4.8M5.2M
Net DEX-275.9M-373.8M-189.3M-193.9M-189.3M
Net VEX-1.7M-1.9M-1.5M-1.8M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.231.420.440.94
Total Volume11,796.655,19820,52916,84511,881
Total OI512,258.35464,787534,054509,504485,376

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$29.99$31.2455.4%15.9%52.2%17.3%54.9%1.9%-1.7%4.8M-193.9M-1.8M0.444.10N/AN/A11,7255,120355,303154,201
2009-11-03$30.42$31.2456.0%16.1%50.7%17.8%56.8%1.3%-1.8%5.2M-229.0M-1.9M0.233.73N/AN/A16,7443,785356,469156,179
2009-11-04$30.06$31.2453.5%15.3%49.8%15.7%54.7%1.3%-1.1%5.1M-221.0M-1.8M1.424.10N/AN/A7,47110,613363,959156,313
2009-11-05$30.97$31.2449.2%14.1%51.1%12.2%50.3%0.8%1.1%6.1M-258.5M-1.9M0.423.10N/AN/A4,8052,037365,804159,680
2009-11-06$30.97$31.2446.1%14.0%51.1%9.6%48.8%3.6%4.7%6.0M-258.9M-1.8M0.814.99N/AN/A3,5472,861365,582155,946
2009-11-09$32.06$31.2447.8%13.7%53.0%11.0%47.2%3.8%3.6%7.4M-315.7M-1.8M0.523.72N/AN/A7,8304,034366,072155,001
2009-11-10$32.37$31.2445.5%13.2%53.1%9.1%46.7%3.7%3.4%8.2M-339.5M-1.8M0.484.78N/AN/A5,7692,765367,557154,060
2009-11-11$32.27$31.2443.7%13.2%52.7%7.6%46.2%4.2%3.2%8.1M-331.6M-1.8M0.324.83N/AN/A6,4192,047368,190154,347
2009-11-12$31.72$31.2445.6%13.1%52.9%9.2%45.8%3.4%5.6%7.2M-293.8M-1.8M0.443.60N/AN/A5,3282,365370,623154,536
2009-11-13$31.67$31.2444.6%12.8%52.5%8.4%44.7%3.9%5.4%7.1M-280.5M-1.7M0.913.73N/AN/A4,5134,092371,290155,283
2009-11-16$32.70$31.2443.1%12.4%53.9%7.1%44.5%4.0%5.2%9.1M-359.2M-1.7M0.694.37N/AN/A8,7005,973372,473157,690
2009-11-17$33.07$31.2443.3%12.4%53.6%7.3%44.2%4.5%4.8%9.5M-373.8M-1.7M0.664.22N/AN/A7,0574,673371,722157,240
2009-11-18$33.07$31.2443.1%12.4%53.6%7.1%44.1%4.2%5.0%9.5M-366.5M-1.7M0.634.42N/AN/A3,1872,011372,194158,060
2009-11-19$31.77$31.2444.1%12.6%55.1%8.0%44.2%3.2%6.4%6.8M-282.4M-1.7M0.702.60N/AN/A7,4415,200372,355158,426
2009-11-20$31.55$31.2443.1%12.3%54.6%7.1%43.0%2.5%6.4%6.6M-283.6M-1.6M0.623.30N/AN/A11,2787,006374,538159,516
2009-11-23$31.38$31.2439.6%11.3%53.4%4.2%39.6%3.9%7.4%6.6M-257.5M-1.6M0.492.96N/AN/A10,7985,237325,432139,355
2009-11-24$31.05$31.2435.9%10.3%51.9%1.2%36.8%3.3%8.4%6.4M-234.0M-1.5M1.013.40N/AN/A7,2077,250331,256141,644
2009-11-25$31.24$31.2435.5%10.2%44.5%0.9%36.0%3.4%8.9%6.4M-240.0M-1.6M0.733.66N/AN/A5,9744,356333,288145,637
2009-11-27$30.42$31.2439.5%11.3%33.7%4.1%40.6%2.3%6.6%5.6M-209.3M-1.6M0.753.11N/AN/A3,9092,925334,866147,704
2009-11-30$30.09$31.2440.1%11.5%29.7%4.6%40.8%2.5%7.8%5.2M-189.3M-1.5M0.942.36N/AN/A6,1365,745336,627148,749