AA Options History — March 2010

In March 2010, AA traded between $31.82 and $34.84. ATM implied volatility averaged 38.2%, placing in the 5.5% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 12.2% (HV 20d: 26.0%). Max pain ranged from $31.24 to $33.64. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.54.

Notable Days

2010-03-17: Highest Volume — 88,389 contracts
2010-03-11: Largest IV spike — 18.8% change
2010-03-17: Highest IV Rank — 11.5%
2010-03-17: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.47	$31.82	$34.84	$31.98	$34.22
Max Pain	$33.22	$31.24	$33.64	$31.24	$33.64
ATM IV	38.2%	32.5%	43.3%	36.3%	40.5%
Expected Move	11.3%	10.1%	12.4%	10.4%	11.6%
HV 20d	26.0%	20.0%	35.9%	35.9%	24.8%
HV 60d	46.9%	43.7%	51.7%	51.7%	43.7%
IV Rank	5.5%	0.0%	11.5%	1.7%	8.9%
IV Percentile	11.5%	0.0%	23.4%	4.0%	19.8%
Term Structure	0.0%	-3.5%	7.2%	7.2%	-3.5%
VWIV	39.9%	33.6%	44.0%	36.4%	42.2%
Skew 25d	2.3%	-0.6%	6.0%	3.9%	-0.5%
Skew 10d	4.8%	-1.0%	8.9%	6.6%	0.9%
Call IV 25d	39.4%	33.1%	44.8%	35.6%	42.8%
Put IV 25d	41.7%	37.7%	44.4%	39.5%	42.3%
Bid-Ask Spread %	3.70	2.57	5.68	3.69	3.24
Gamma HHI	0.26	0.14	0.42	0.14	0.28
Net GEX	6.4M	1.4M	13.1M	1.8M	6.6M
Net DEX	-147.0M	-288.8M	-16.5M	-28.6M	-184.9M
Net VEX	-2.2M	-2.4M	-1.9M	-1.9M	-2.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.16	2.00	0.72	0.45
Total Volume	20,706.348	6,561	88,389	11,186	6,694
Total OI	405,490.435	348,008	465,868	348,008	431,975

Daily Data (23 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
2010-03-01	$31.98	$31.24	36.3%	10.4%	35.9%	1.7%	36.4%	3.9%	7.2%	1.8M	-28.6M	-1.9M	0.72	3.69	N/A	N/A	6,516	4,670	197,770	150,238
2010-03-02	$31.82	$31.24	37.6%	10.8%	31.5%	2.8%	36.6%	6.0%	6.2%	1.4M	-16.5M	-1.9M	0.40	4.26	N/A	N/A	15,477	6,253	199,552	153,603
2010-03-03	$32.06	$31.24	35.4%	10.2%	30.5%	1.0%	34.3%	4.0%	7.0%	1.7M	-27.9M	-1.9M	0.28	5.68	N/A	N/A	9,884	2,730	206,604	157,532
2010-03-04	$32.27	$31.24	35.1%	10.1%	30.2%	0.7%	33.6%	4.6%	6.8%	2.4M	-45.9M	-2.0M	0.19	5.09	N/A	N/A	10,004	1,914	211,823	158,673
2010-03-05	$33.26	$33.64	32.8%	11.4%	27.3%	0.0%	40.6%	4.7%	-0.4%	3.8M	-105.3M	-2.1M	0.16	3.50	N/A	N/A	30,069	4,945	212,780	158,935
2010-03-08	$33.11	$33.64	34.7%	11.6%	26.7%	1.5%	40.6%	4.1%	-0.8%	6.1M	-111.8M	-2.0M	0.27	3.63	N/A	N/A	10,733	2,893	227,242	159,924
2010-03-09	$32.85	$33.64	33.5%	11.2%	26.6%	0.6%	40.8%	3.8%	-0.6%	6.4M	-100.3M	-2.0M	0.63	4.01	N/A	N/A	10,592	6,660	232,542	159,909
2010-03-10	$32.61	$33.64	32.5%	11.1%	26.2%	0.0%	40.1%	3.3%	-0.4%	6.6M	-86.6M	-2.0M	1.17	3.94	N/A	N/A	5,958	6,973	239,909	161,884
2010-03-11	$32.78	$33.64	38.6%	11.1%	26.0%	4.9%	39.5%	2.6%	-0.3%	7.1M	-101.9M	-2.0M	0.34	3.48	N/A	N/A	7,135	2,416	241,139	164,634
2010-03-12	$32.68	$33.64	38.6%	11.1%	23.5%	5.0%	42.3%	4.0%	-0.8%	6.9M	-98.6M	-2.0M	2.00	3.44	N/A	N/A	5,325	10,643	242,478	164,483
2010-03-15	$32.46	$33.64	38.8%	11.1%	22.2%	5.8%	40.0%	4.7%	-0.7%	6.3M	-66.9M	-2.0M	0.60	3.74	N/A	N/A	11,006	6,598	244,059	168,300
2010-03-16	$33.16	$33.64	37.6%	10.8%	20.0%	4.9%	39.1%	3.6%	0.3%	10.1M	-130.2M	-2.1M	0.45	4.19	N/A	N/A	10,220	4,597	250,331	170,046
2010-03-17	$34.75	$33.64	43.3%	12.4%	25.5%	11.5%	44.0%	-0.4%	-1.8%	10.8M	-288.8M	-2.2M	0.26	4.80	N/A	N/A	70,310	18,079	254,059	170,119
2010-03-18	$34.36	$33.64	43.2%	12.4%	26.0%	11.4%	43.6%	0.0%	-2.7%	13.1M	-273.9M	-2.3M	0.52	4.41	N/A	N/A	32,371	16,712	275,985	176,411
2010-03-19	$34.27	$33.64	41.8%	12.0%	25.9%	10.0%	42.9%	-0.6%	-1.7%	8.3M	-280.0M	-2.4M	0.25	2.57	N/A	N/A	20,674	5,076	280,233	185,635
2010-03-22	$34.46	$33.64	39.2%	11.2%	25.9%	7.5%	39.9%	0.5%	-1.0%	6.5M	-196.1M	-2.3M	0.26	2.79	N/A	N/A	18,799	4,980	246,065	154,120
2010-03-23	$34.84	$33.64	38.2%	10.9%	23.5%	6.3%	38.5%	1.6%	-1.5%	7.6M	-233.4M	-2.4M	0.64	2.93	N/A	N/A	9,422	6,020	253,250	156,005
2010-03-24	$34.41	$33.64	39.8%	11.4%	23.8%	8.1%	40.0%	1.1%	-1.8%	6.7M	-203.3M	-2.4M	0.65	2.87	N/A	N/A	9,602	6,287	253,979	160,010
2010-03-25	$33.91	$33.64	38.9%	11.2%	24.1%	7.1%	39.6%	-0.1%	-1.2%	6.0M	-175.0M	-2.4M	0.57	2.80	N/A	N/A	14,059	7,965	255,953	162,221
2010-03-26	$34.29	$33.64	39.9%	11.4%	24.2%	8.2%	40.6%	0.1%	-1.7%	6.4M	-193.8M	-2.4M	0.62	2.99	N/A	N/A	12,047	7,433	256,583	163,821
2010-03-29	$34.70	$33.64	40.9%	11.7%	24.4%	9.3%	41.2%	0.7%	-2.9%	7.3M	-222.6M	-2.4M	0.52	3.96	N/A	N/A	5,898	3,046	258,551	167,176
2010-03-30	$34.60	$33.64	41.0%	11.8%	24.3%	9.5%	41.4%	1.3%	-3.1%	7.0M	-209.6M	-2.4M	0.55	3.07	N/A	N/A	4,221	2,340	260,408	169,331
2010-03-31	$34.22	$33.64	40.5%	11.6%	24.8%	8.9%	42.2%	-0.5%	-3.5%	6.6M	-184.9M	-2.3M	0.45	3.24	N/A	N/A	4,617	2,077	262,137	169,838