AA Options History — February 2010

In February 2010, AA traded between $31.02 and $33.02. ATM implied volatility averaged 42.6%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 7.5% (HV 20d: 50.1%). Max pain ranged from $31.24 to $36.05. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.72.

Notable Days

2010-02-26: Highest Volume — 25,020 contracts
2010-02-24: Largest IV drop — 7.8% change
2010-02-04: Highest IV Rank — 13.1%
2010-02-04: Largest Expected Move — 14.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.10	$31.02	$33.02	$32.10	$31.96
Max Pain	$33.89	$31.24	$36.05	$36.05	$31.24
ATM IV	42.6%	35.9%	50.2%	46.8%	36.5%
Expected Move	12.3%	10.3%	14.4%	13.4%	10.5%
HV 20d	50.1%	36.4%	65.2%	65.2%	36.4%
HV 60d	51.9%	51.3%	52.5%	51.5%	51.9%
IV Rank	6.9%	1.4%	13.1%	10.4%	1.9%
IV Percentile	16.5%	2.8%	37.7%	25.0%	4.0%
Term Structure	3.5%	-0.9%	8.2%	0.4%	7.2%
VWIV	43.3%	35.7%	50.9%	47.0%	35.7%
Skew 25d	3.7%	-0.3%	6.6%	0.5%	4.0%
Skew 10d	7.0%	-1.6%	11.6%	1.4%	7.3%
Call IV 25d	42.1%	35.5%	50.8%	47.6%	35.5%
Put IV 25d	45.8%	38.5%	52.4%	48.2%	39.4%
Bid-Ask Spread %	4.05	2.94	9.60	3.79	9.60
Gamma HHI	0.11	0.10	0.14	0.10	0.13
Net GEX	926.7K	14.9K	1.9M	385.8K	1.3M
Net DEX	20.7M	-27.5M	76.5M	42.5M	-16.1M
Net VEX	-1.8M	-1.9M	-1.7M	-1.8M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.15	1.37	0.73	0.34
Total Volume	16,285.158	7,128	25,020	17,541	25,020
Total OI	360,027	296,426	388,341	354,065	328,036

Daily Data (19 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
2010-02-01	$32.10	$36.05	46.8%	13.4%	65.2%	10.4%	47.0%	0.5%	0.4%	385.8K	42.5M	-1.8M	0.73	3.79	N/A	N/A	10,127	7,414	203,376	150,689
2010-02-02	$32.85	$36.05	44.7%	12.8%	64.5%	8.6%	45.6%	-0.3%	0.4%	884.1K	10.7M	-1.8M	0.30	3.00	N/A	N/A	18,302	5,412	205,157	150,964
2010-02-03	$32.42	$36.05	47.7%	13.7%	64.0%	11.1%	47.6%	2.1%	-0.9%	908.1K	24.7M	-1.8M	0.86	3.67	N/A	N/A	9,436	8,135	210,664	151,355
2010-02-04	$31.02	$36.05	50.2%	14.4%	61.0%	13.1%	50.9%	0.8%	-0.9%	14.9K	76.5M	-1.8M	0.76	2.95	N/A	N/A	14,213	10,759	213,142	154,777
2010-02-05	$31.67	$33.64	48.8%	14.3%	62.2%	12.0%	49.3%	4.9%	1.9%	268.1K	47.3M	-1.9M	0.68	3.66	N/A	N/A	10,698	7,270	217,360	158,978
2010-02-08	$31.38	$33.64	49.5%	14.2%	60.7%	12.5%	49.6%	4.5%	1.9%	361.9K	56.9M	-1.8M	0.46	4.34	N/A	N/A	10,881	5,047	220,130	157,598
2010-02-09	$31.91	$33.64	45.9%	13.8%	60.1%	9.6%	47.3%	6.0%	2.1%	586.1K	39.6M	-1.9M	0.71	4.75	N/A	N/A	6,524	4,614	224,166	158,748
2010-02-10	$31.62	$33.64	43.8%	13.5%	46.0%	7.9%	47.0%	5.3%	3.0%	422.1K	52.2M	-1.8M	0.66	3.62	N/A	N/A	4,713	3,116	224,056	159,607
2010-02-11	$32.63	$33.64	43.6%	12.5%	46.2%	7.7%	44.4%	5.7%	3.5%	1.0M	8.6M	-1.9M	0.67	5.46	N/A	N/A	8,844	5,950	224,377	159,747
2010-02-12	$31.91	$33.64	44.1%	12.6%	46.5%	8.1%	43.6%	4.9%	3.2%	617.9K	46.2M	-1.8M	1.00	3.70	N/A	N/A	6,228	6,213	225,549	159,954
2010-02-16	$33.02	$33.64	42.0%	12.0%	48.9%	6.4%	42.7%	4.7%	3.5%	1.7M	-6.1M	-1.8M	0.72	3.44	N/A	N/A	7,463	5,361	227,428	160,288
2010-02-17	$32.68	$33.64	40.7%	11.7%	48.8%	5.3%	41.5%	4.5%	4.1%	1.6M	10.9M	-1.8M	0.69	2.94	N/A	N/A	4,215	2,913	228,347	159,994
2010-02-18	$32.70	$33.64	38.9%	11.1%	48.4%	3.8%	39.7%	4.7%	4.4%	1.9M	11.2M	-1.8M	1.12	3.83	N/A	N/A	5,600	6,270	228,432	159,617
2010-02-19	$32.51	$33.64	36.8%	10.5%	42.7%	2.1%	37.5%	3.9%	5.6%	1.2M	23.9M	-1.7M	1.06	3.91	N/A	N/A	8,065	8,528	228,868	159,406
2010-02-22	$32.54	$33.64	36.2%	10.4%	36.6%	1.6%	37.0%	3.0%	5.9%	1.2M	-27.5M	-1.7M	0.15	3.80	N/A	N/A	16,533	2,476	165,091	131,335
2010-02-23	$31.67	$33.64	39.0%	11.2%	37.9%	3.9%	39.1%	2.0%	5.8%	1.0M	-414.5K	-1.7M	0.64	3.98	N/A	N/A	10,166	6,521	171,263	132,507
2010-02-24	$31.38	$33.64	35.9%	10.3%	37.8%	1.4%	36.4%	2.2%	8.2%	890.0K	10.6M	-1.7M	0.72	3.26	N/A	N/A	10,521	7,542	175,191	134,722
2010-02-25	$31.98	$31.24	38.0%	10.9%	37.9%	3.1%	40.8%	6.6%	6.3%	1.4M	-18.1M	-1.8M	1.37	3.29	N/A	N/A	7,747	10,581	180,066	139,528
2010-02-26	$31.96	$31.24	36.5%	10.5%	36.4%	1.9%	35.7%	4.0%	7.2%	1.3M	-16.1M	-1.8M	0.34	9.60	N/A	N/A	18,624	6,396	182,494	145,542