AA Options History — December 2009 In December 2009, AA traded between $30.76 and $39.27. ATM implied volatility averaged 43.7%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 0.6% (HV 20d: 44.3%). Max pain ranged from $24.03 to $31.24. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.73.
Notable Days 2009-12-11 : Highest Volume — 64,392 contracts2009-12-10 : Largest IV spike — 27.4% change2009-12-14 : Highest IV Rank — 11.1%2009-12-08 : Largest Expected Move — 13.9%Monthly Statistics Metric Avg Min Max Open Close Price $35.14 $30.76 $39.27 $30.76 $38.74 Max Pain $25.67 $24.03 $31.24 $31.24 $30.04 ATM IV 43.7% 35.8% 47.9% 38.0% 47.1% Expected Move 13.1% 10.9% 13.9% 10.9% 13.5% HV 20d 44.3% 30.7% 51.4% 30.7% 45.9% HV 60d 45.3% 42.6% 46.6% 43.7% 45.1% IV Rank 7.6% 1.1% 11.1% 2.9% 10.4% IV Percentile 13.7% 0.8% 22.2% 3.2% 22.2% Term Structure -0.9% -4.5% 7.4% 7.4% -3.2% VWIV 46.7% 39.0% 49.9% 39.0% 48.1% Skew 25d 3.3% 1.8% 4.7% 4.0% 1.8% Skew 10d 6.7% 2.9% 11.9% 6.9% 2.9% Call IV 25d 45.4% 37.3% 48.8% 37.3% 47.3% Put IV 25d 48.7% 41.3% 51.4% 41.3% 49.0% Bid-Ask Spread % 2.37 1.41 4.03 3.61 1.41 Gamma HHI 0.25 0.19 0.30 0.25 0.20 Net GEX 10.7M 6.1M 13.3M 6.1M 12.7M Net DEX -483.9M -710.3M -222.6M -222.6M -679.8M Net VEX -1.6M -1.7M -1.5M -1.5M -1.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.73 0.25 2.09 0.27 1.06 Total Volume 19,063.591 6,109 64,392 8,121 10,160 Total OI 507,346.227 483,445 530,473 489,804 527,269
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 2009-12-01 $30.76 $31.24 38.0% 10.9% 30.7% 2.9% 39.0% 4.0% 7.4% 6.1M -222.6M -1.5M 0.27 3.61 N/A N/A 6,393 1,728 338,835 150,969 2009-12-02 $32.78 $31.24 39.6% 11.4% 37.6% 4.3% 40.7% 3.1% 6.4% 8.5M -348.3M -1.7M 0.35 2.43 N/A N/A 18,105 6,343 340,157 151,037 2009-12-03 $31.89 $31.24 39.6% 11.4% 38.9% 4.3% 39.2% 3.6% 6.3% 7.9M -288.4M -1.6M 0.55 4.03 N/A N/A 5,225 2,860 344,225 151,508 2009-12-04 $31.21 $24.03 37.7% 13.7% 38.4% 2.7% 47.9% 3.7% -1.0% 6.9M -243.6M -1.6M 0.57 2.58 N/A N/A 8,105 4,605 345,411 152,411 2009-12-07 $31.36 $24.03 38.1% 13.8% 38.4% 3.0% 48.2% 4.3% -1.2% 7.3M -259.0M -1.5M 0.68 2.51 N/A N/A 4,308 2,923 345,888 153,568 2009-12-08 $30.93 $24.03 39.1% 13.9% 36.6% 3.8% 48.6% 3.9% -1.5% 6.5M -223.7M -1.5M 0.67 2.65 N/A N/A 4,725 3,150 346,306 153,493 2009-12-09 $31.43 $24.03 35.8% 13.7% 36.9% 1.1% 48.1% 4.0% -1.2% 7.6M -260.9M -1.5M 0.97 2.30 N/A N/A 3,095 3,014 347,360 153,805 2009-12-10 $32.44 $24.03 45.6% 13.1% 38.8% 9.2% 46.8% 4.3% 0.9% 9.3M -326.3M -1.5M 0.85 2.29 N/A N/A 5,730 4,875 347,660 154,137 2009-12-11 $35.11 $24.03 47.5% 13.6% 47.1% 10.8% 48.3% 2.5% -1.6% 11.3M -512.5M -1.6M 0.42 2.07 N/A N/A 45,466 18,926 347,889 155,785 2009-12-14 $35.61 $24.03 47.9% 13.7% 47.2% 11.1% 49.2% 2.5% -2.1% 12.7M -553.2M -1.6M 0.60 1.85 N/A N/A 13,697 8,240 358,552 157,898 2009-12-15 $35.28 $24.03 47.4% 13.6% 46.4% 10.7% 48.5% 2.7% -1.5% 12.5M -527.4M -1.6M 0.61 2.23 N/A N/A 6,288 3,835 359,566 160,723 2009-12-16 $35.80 $24.03 47.5% 13.6% 46.5% 10.8% 48.5% 2.2% -1.8% 12.7M -563.9M -1.6M 0.26 2.41 N/A N/A 18,206 4,690 359,282 160,231 2009-12-17 $34.84 $24.03 47.7% 13.7% 47.8% 11.0% 49.2% 3.1% -1.8% 13.1M -495.4M -1.6M 1.05 2.02 N/A N/A 5,617 5,903 366,973 161,488 2009-12-18 $35.04 $24.03 44.6% 12.8% 45.1% 8.4% 46.4% 3.4% 0.3% 12.1M -512.0M -1.6M 0.63 2.25 N/A N/A 7,924 4,984 363,886 162,376 2009-12-21 $37.80 $24.03 46.3% 13.3% 51.4% 9.8% 47.5% 2.3% -3.5% 12.1M -617.7M -1.5M 0.40 2.16 N/A N/A 38,908 15,737 338,162 145,283 2009-12-22 $37.94 $24.03 44.5% 12.8% 51.1% 8.3% 46.8% 3.6% -3.9% 12.4M -619.5M -1.5M 1.14 2.39 N/A N/A 10,391 11,797 342,695 150,528 2009-12-23 $38.45 $24.03 42.8% 12.3% 50.6% 6.9% 45.2% 4.7% -1.7% 12.4M -643.7M -1.6M 0.80 1.72 N/A N/A 8,267 6,604 346,733 154,326 2009-12-24 $39.27 $24.03 43.0% 12.3% 50.7% 7.1% 43.9% 3.3% -1.9% 12.4M -703.6M -1.5M 0.25 2.33 N/A N/A 25,705 6,371 346,783 154,613 2009-12-28 $38.69 $24.03 47.3% 13.6% 49.7% 10.6% 49.6% 3.8% -4.1% 13.3M -677.6M -1.6M 1.19 2.31 N/A N/A 10,184 12,095 356,481 157,185 2009-12-29 $38.52 $26.43 46.1% 13.2% 49.3% 9.6% 49.9% 2.9% -3.9% 12.8M -655.9M -1.5M 2.09 2.38 N/A N/A 8,090 16,899 355,662 164,005 2009-12-30 $39.17 $30.04 47.2% 13.5% 49.2% 10.5% 48.3% 3.3% -4.5% 12.4M -710.3M -1.5M 0.67 2.13 N/A N/A 5,514 3,717 356,504 173,969 2009-12-31 $38.74 $30.04 47.1% 13.5% 45.9% 10.4% 48.1% 1.8% -3.2% 12.7M -679.8M -1.5M 1.06 1.41 N/A N/A 4,928 5,232 354,913 172,356
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