AA Options History — April 2010

In April 2010, AA traded between $32.27 and $36.12. ATM implied volatility averaged 37.9%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 10.4% (HV 20d: 27.5%). Max pain ranged from $33.64 to $33.64. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.56.

Notable Days

  • 2010-04-12: Highest Volume — 94,879 contracts
  • 2010-04-13: Largest IV drop — 51.6% change
  • 2010-04-12: Highest IV Rank — 49.6%
  • 2010-04-01: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.03$32.27$36.12$35.32$32.27
Max Pain$33.64$33.64$33.64$33.64$33.64
ATM IV37.9%29.3%63.6%43.1%36.8%
Expected Move9.9%8.4%12.4%12.4%10.6%
HV 20d27.5%24.5%30.6%26.8%28.6%
HV 60d34.3%28.5%43.9%43.9%28.7%
IV Rank9.7%0.0%49.6%11.8%11.4%
IV Percentile17.9%0.0%81.7%26.2%13.9%
Term Structure1.2%-5.6%4.0%-5.6%0.7%
VWIV35.3%30.1%43.7%43.7%36.5%
Skew 25d1.5%-0.5%3.1%-0.0%3.1%
Skew 10d2.8%0.2%5.7%0.2%5.7%
Call IV 25d35.1%30.2%44.8%44.8%35.5%
Put IV 25d36.6%32.0%44.8%44.8%38.6%
Bid-Ask Spread %3.722.844.732.843.36
Gamma HHI0.290.210.440.280.21
Net GEX6.1M-637.2K11.6M8.8M3.2M
Net DEX-172.1M-346.9M-57.9M-276.4M-68.3M
Net VEX-2.4M-2.6M-2.3M-2.4M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.211.150.280.93
Total Volume30,586.4299,07794,87925,1169,077
Total OI452,859.476372,037548,396433,242443,816

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$35.32$33.6443.1%12.4%26.8%11.8%43.7%-0.0%-5.6%8.8M-276.4M-2.4M0.282.84N/AN/A19,5825,534263,166170,076
2010-04-05$35.40$33.6447.7%10.9%25.0%16.9%38.2%2.3%0.8%9.5M-283.7M-2.3M0.223.00N/AN/A25,5265,494269,201172,315
2010-04-06$36.12$33.6445.8%10.8%25.6%14.8%38.4%2.0%0.2%11.6M-346.9M-2.4M0.654.33N/AN/A16,48710,790277,996175,295
2010-04-07$35.42$33.6446.2%10.8%26.6%15.3%37.9%2.1%0.3%10.2M-283.2M-2.4M0.754.24N/AN/A14,41610,818278,629177,853
2010-04-08$35.73$33.6449.8%10.9%26.3%19.3%39.0%1.8%0.3%11.0M-318.7M-2.4M0.643.48N/AN/A13,5318,707278,629177,853
2010-04-09$34.58$33.6451.6%11.3%29.5%30.5%39.6%-0.5%-0.6%8.0M-207.5M-2.3M0.594.51N/AN/A41,14624,124280,325185,541
2010-04-12$35.01$33.6463.6%11.7%29.6%49.6%40.6%1.9%-3.2%9.8M-261.2M-2.4M0.624.39N/AN/A58,51136,368293,047193,845
2010-04-13$34.46$33.6430.8%9.6%30.2%0.0%33.8%1.0%3.1%6.6M-169.1M-2.3M0.514.73N/AN/A43,07722,057310,586209,002
2010-04-14$34.68$33.6430.4%9.8%29.5%0.0%34.0%1.7%3.0%9.2M-218.2M-2.4M0.213.72N/AN/A41,6988,816319,401207,376
2010-04-15$34.39$33.6433.2%9.5%24.5%4.3%33.4%0.8%3.5%5.2M-199.3M-2.5M0.433.78N/AN/A14,8086,328341,327207,069
2010-04-16$33.43$33.6432.8%9.4%26.2%3.7%33.2%0.5%4.0%-637.2K-58.4M-2.4M1.154.21N/AN/A17,65820,358339,801208,426
2010-04-19$32.97$33.6431.6%9.1%26.6%1.9%33.3%2.5%1.8%3.5M-87.3M-2.4M1.133.21N/AN/A19,36121,792232,001140,036
2010-04-20$33.04$33.6431.0%8.9%26.5%0.9%32.2%1.8%1.4%3.2M-89.9M-2.5M0.624.26N/AN/A16,59210,236239,144151,803
2010-04-21$32.95$33.6429.7%8.5%26.0%0.0%30.8%0.9%2.3%3.2M-79.4M-2.5M0.313.28N/AN/A9,4242,949250,341159,305
2010-04-22$33.28$33.6429.7%8.5%26.1%0.0%30.7%1.6%2.9%3.9M-110.2M-2.6M0.603.59N/AN/A7,0274,242254,271159,823
2010-04-23$33.91$33.6429.3%8.4%26.6%0.0%30.1%1.9%3.1%5.0M-154.3M-2.6M0.363.09N/AN/A10,8853,936255,531160,923
2010-04-26$33.76$33.6430.1%8.6%26.3%1.2%30.4%2.3%2.0%5.3M-149.4M-2.6M0.274.10N/AN/A11,5143,064260,708162,414
2010-04-27$32.30$33.6435.4%10.1%30.0%9.2%35.5%1.1%0.8%3.0M-57.9M-2.5M0.753.43N/AN/A10,0117,489264,243162,974
2010-04-28$32.61$33.6434.3%9.8%30.4%7.5%35.3%1.7%1.8%3.3M-80.1M-2.6M0.373.34N/AN/A13,3214,916267,685165,667
2010-04-29$32.97$33.6432.7%9.4%30.6%5.1%34.1%1.5%2.2%4.6M-113.8M-2.6M0.333.26N/AN/A8,0172,628275,141167,464
2010-04-30$32.27$33.6436.8%10.6%28.6%11.4%36.5%3.1%0.7%3.2M-68.3M-2.5M0.933.36N/AN/A4,7144,363275,373168,443