AA Options History — May 2010

In May 2010, AA traded between $26.60 and $31.60. ATM implied volatility averaged 48.8%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 8.3% (HV 20d: 40.5%). Max pain ranged from $28.84 to $33.64. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.71.

Notable Days

2010-05-13: Highest Volume — 68,733 contracts
2010-05-06: Largest IV spike — 23.5% change
2010-05-20: Highest IV Rank — 49.8%
2010-05-20: Largest Expected Move — 17.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.80	$26.60	$31.60	$31.60	$27.97
Max Pain	$31.24	$28.84	$33.64	$33.64	$28.84
ATM IV	48.8%	36.7%	62.2%	36.7%	46.1%
Expected Move	13.9%	10.5%	17.8%	10.5%	13.2%
HV 20d	40.5%	29.1%	50.1%	29.1%	49.9%
HV 60d	32.4%	27.6%	36.9%	27.6%	36.9%
IV Rank	29.5%	11.2%	49.8%	11.2%	25.4%
IV Percentile	54.6%	12.7%	89.7%	12.7%	45.2%
Term Structure	1.5%	-2.2%	4.0%	0.8%	3.5%
VWIV	48.4%	37.0%	60.5%	37.0%	46.6%
Skew 25d	5.9%	1.6%	11.3%	3.1%	8.1%
Skew 10d	11.2%	2.5%	23.0%	2.6%	16.1%
Call IV 25d	46.7%	36.4%	58.8%	36.4%	44.9%
Put IV 25d	52.6%	39.4%	67.4%	39.4%	53.1%
Bid-Ask Spread %	4.57	2.89	7.47	4.09	4.51
Gamma HHI	0.15	0.12	0.20	0.20	0.13
Net GEX	1.6M	178.5K	3.1M	1.9M	2.6M
Net DEX	79.4M	-10.7M	174.4M	-10.7M	37.0M
Net VEX	-2.5M	-2.7M	-2.2M	-2.4M	-2.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.14	1.95	0.63	0.25
Total Volume	28,603.5	14,126	68,733	20,350	16,818
Total OI	499,200.7	446,463	553,599	446,463	497,384

Daily Data (20 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
2010-05-03	$31.60	$33.64	36.7%	10.5%	29.1%	11.2%	37.0%	3.1%	0.8%	1.9M	-10.7M	-2.4M	0.63	4.09	N/A	N/A	12,522	7,828	275,252	171,211
2010-05-04	$30.23	$33.64	41.0%	11.7%	30.4%	17.7%	42.1%	3.8%	0.8%	843.7K	52.8M	-2.3M	1.13	3.30	N/A	N/A	23,194	26,192	278,856	173,745
2010-05-05	$29.94	$33.64	43.2%	12.4%	30.2%	21.1%	42.3%	3.2%	1.5%	1.1M	61.9M	-2.5M	0.83	2.89	N/A	N/A	11,813	9,843	291,809	186,869
2010-05-06	$28.69	$33.64	53.4%	15.3%	31.8%	36.5%	55.2%	2.5%	-1.4%	1.4M	82.6M	-2.4M	0.56	7.47	N/A	N/A	12,996	7,311	290,538	183,066
2010-05-07	$28.84	$31.24	52.0%	14.6%	31.2%	34.5%	51.2%	6.0%	2.0%	1.4M	82.4M	-2.4M	1.95	7.13	N/A	N/A	12,486	24,301	289,870	182,904
2010-05-10	$30.25	$31.24	49.2%	12.4%	36.5%	30.2%	44.3%	6.8%	2.6%	1.4M	56.0M	-2.7M	0.34	6.07	N/A	N/A	32,664	11,131	291,996	197,527
2010-05-11	$29.15	$31.24	47.4%	12.9%	37.9%	27.5%	44.5%	4.1%	1.6%	680.2K	127.4M	-2.7M	0.58	4.14	N/A	N/A	15,507	9,070	311,141	211,690
2010-05-12	$29.94	$31.24	43.1%	12.4%	39.7%	21.0%	41.9%	4.1%	1.8%	178.5K	90.4M	-2.6M	0.61	3.70	N/A	N/A	15,292	9,397	288,504	204,225
2010-05-13	$30.76	$31.24	43.1%	12.4%	41.5%	20.9%	43.7%	1.6%	1.8%	1.0M	25.8M	-2.6M	0.14	4.23	N/A	N/A	60,044	8,689	294,891	200,036
2010-05-14	$29.70	$31.24	49.6%	14.2%	42.0%	30.7%	50.8%	4.7%	1.2%	2.0M	57.0M	-2.7M	0.83	5.46	N/A	N/A	12,398	10,296	330,101	203,749
2010-05-17	$29.08	$31.24	49.9%	14.3%	42.3%	31.2%	50.0%	2.9%	1.3%	1.8M	93.8M	-2.6M	0.59	4.25	N/A	N/A	17,562	10,401	339,984	209,594
2010-05-18	$28.40	$31.24	49.9%	14.3%	42.6%	31.3%	50.1%	6.6%	1.0%	2.3M	109.6M	-2.5M	0.73	5.00	N/A	N/A	10,700	7,760	350,600	202,999
2010-05-19	$28.31	$31.24	50.5%	14.5%	42.6%	32.1%	50.5%	7.8%	2.1%	1.8M	125.0M	-2.5M	0.77	4.59	N/A	N/A	11,888	9,100	338,935	203,644
2010-05-20	$26.60	$31.24	62.2%	17.8%	46.2%	49.8%	60.5%	8.6%	-2.2%	1.7M	174.4M	-2.2M	0.64	4.86	N/A	N/A	22,448	14,471	338,144	205,891
2010-05-21	$27.27	$31.24	58.0%	16.6%	46.8%	43.5%	56.2%	10.8%	1.7%	2.1M	155.8M	-2.3M	1.33	5.06	N/A	N/A	13,845	18,426	339,602	203,933
2010-05-24	$26.65	$31.24	51.1%	14.6%	46.9%	33.0%	50.5%	5.9%	3.4%	1.4M	92.1M	-2.2M	0.26	3.36	N/A	N/A	12,870	3,288	289,963	168,890
2010-05-25	$27.15	$28.84	54.3%	15.6%	46.4%	37.9%	52.8%	8.8%	1.8%	2.0M	70.0M	-2.3M	0.89	3.40	N/A	N/A	19,429	17,291	297,763	169,684
2010-05-26	$27.03	$28.84	51.5%	14.8%	46.0%	33.7%	49.6%	7.1%	1.3%	1.8M	78.5M	-2.2M	0.55	3.62	N/A	N/A	9,115	5,011	305,432	175,858
2010-05-27	$28.40	$28.84	43.6%	12.5%	50.1%	21.7%	47.9%	11.3%	4.0%	3.1M	26.1M	-2.4M	0.49	4.24	N/A	N/A	12,518	6,155	309,612	178,122
2010-05-28	$27.97	$28.84	46.1%	13.2%	49.9%	25.4%	46.6%	8.1%	3.5%	2.6M	37.0M	-2.4M	0.25	4.51	N/A	N/A	13,409	3,409	315,742	181,642