AA Options History — January 2010

In January 2010, AA traded between $30.59 and $41.93. ATM implied volatility averaged 47.3%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 9.9% (HV 20d: 57.1%). Max pain ranged from $36.05 to $38.45. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.64.

Notable Days

  • 2010-01-11: Highest Volume — 121,404 contracts
  • 2010-01-12: Largest IV drop — 37.3% change
  • 2010-01-11: Highest IV Rank — 33.3%
  • 2010-01-22: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.44$30.59$41.93$40.01$30.59
Max Pain$37.82$36.05$38.45$38.45$36.05
ATM IV47.3%34.2%74.9%50.7%47.6%
Expected Move12.3%9.8%13.7%12.4%13.6%
HV 20d57.1%44.6%63.0%44.6%61.5%
HV 60d51.3%45.4%56.3%45.4%50.6%
IV Rank10.6%0.0%33.3%13.4%11.0%
IV Percentile24.4%0.0%72.6%31.3%30.2%
Term Structure0.4%-2.6%3.4%0.2%-0.6%
VWIV43.1%34.4%49.1%43.8%49.1%
Skew 25d1.5%-1.1%4.4%4.2%-1.1%
Skew 10d2.2%-2.0%7.8%7.0%-2.0%
Call IV 25d42.8%34.4%50.1%41.9%50.1%
Put IV 25d44.2%35.3%49.3%46.1%49.0%
Bid-Ask Spread %3.762.874.723.802.87
Gamma HHI0.170.100.350.200.10
Net GEX6.8M-152.6K13.5M12.2M-146.2K
Net DEX-363.6M-923.5M92.3M-774.0M92.3M
Net VEX-1.5M-1.7M-1.4M-1.4M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.341.940.340.39
Total Volume40,617.26317,126121,40424,78119,654
Total OI449,538.211253,508639,287530,036346,649

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$40.01$38.4550.7%12.4%44.6%13.4%43.8%4.2%0.2%12.2M-774.0M-1.4M0.343.80N/AN/A18,5016,280356,241173,795
2010-01-05$38.76$38.4549.7%12.6%45.7%12.6%44.6%4.4%-0.6%13.5M-678.3M-1.5M0.533.98N/AN/A17,7539,383358,372175,839
2010-01-06$40.78$38.4553.1%12.7%47.8%15.4%44.3%3.7%-0.6%12.5M-820.3M-1.4M0.363.57N/AN/A28,15610,134364,027178,516
2010-01-07$39.91$38.4557.3%12.7%48.4%18.9%44.6%2.5%-0.6%12.6M-747.2M-1.5M0.434.56N/AN/A20,5848,780369,894181,501
2010-01-08$40.90$38.4564.1%12.9%48.6%24.4%44.9%3.9%-0.9%12.7M-843.3M-1.4M0.354.63N/AN/A29,50610,454371,896182,602
2010-01-11$41.93$38.4574.9%13.4%48.3%33.3%46.5%2.6%-2.6%13.4M-923.5M-1.4M0.514.72N/AN/A80,51140,893386,050188,829
2010-01-12$37.29$38.4546.9%11.7%61.1%10.3%40.8%-0.7%0.8%13.5M-515.7M-1.4M0.712.94N/AN/A68,95549,172402,893205,006
2010-01-13$38.40$38.4536.5%11.5%61.7%1.7%40.0%1.0%0.9%12.0M-643.8M-1.5M0.874.13N/AN/A22,17619,340411,313214,705
2010-01-14$37.99$38.4538.6%11.1%61.8%3.5%38.8%0.5%2.4%13.2M-614.8M-1.5M0.472.94N/AN/A16,8437,851418,070221,171
2010-01-15$37.56$38.4537.3%10.7%61.8%2.4%37.4%0.2%3.0%5.6M-577.5M-1.5M0.533.56N/AN/A29,94615,760419,708219,579
2010-01-19$37.53$38.4534.6%9.9%60.9%0.1%34.8%0.7%1.7%3.9M-116.2M-1.6M0.684.41N/AN/A13,4649,200148,608104,900
2010-01-20$36.60$38.4534.2%9.8%61.7%0.0%34.4%1.3%3.4%3.3M-85.6M-1.6M1.944.63N/AN/A8,68416,805156,034108,591
2010-01-21$34.24$38.4540.8%11.7%59.8%5.4%40.8%1.3%0.6%642.3K15.9M-1.6M0.823.09N/AN/A26,51321,793157,305120,614
2010-01-22$32.20$38.4547.9%13.7%63.0%11.2%48.3%0.4%-0.8%-152.6K68.4M-1.5M0.582.89N/AN/A34,61820,144164,767129,728
2010-01-25$32.18$36.0546.2%13.2%62.5%9.8%46.8%0.5%1.0%165.7K56.2M-1.7M0.803.43N/AN/A9,5187,608180,753137,031
2010-01-26$32.54$36.0544.4%12.7%62.0%8.4%45.2%0.9%0.4%51.3K51.0M-1.7M0.763.90N/AN/A10,1097,733182,007139,161
2010-01-27$31.96$36.0545.7%13.1%62.1%9.5%46.4%0.9%0.3%-122.1K68.8M-1.7M0.343.91N/AN/A22,6847,678183,916141,734
2010-01-28$31.05$36.0547.3%13.6%62.4%10.7%48.0%0.8%0.2%-4.7K79.6M-1.7M0.673.50N/AN/A14,7029,843195,602143,819
2010-01-29$30.59$36.0547.6%13.6%61.5%11.0%49.1%-1.1%-0.6%-146.2K92.3M-1.7M0.392.87N/AN/A14,1105,544197,653148,996