AA Options History — June 2010

In June 2010, AA traded between $24.17 and $28.16. ATM implied volatility averaged 49.7%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 2.2% (HV 20d: 47.6%). Max pain ranged from $28.84 to $31.24. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.67.

Notable Days

2010-06-21: Highest Volume — 50,393 contracts
2010-06-29: Largest IV spike — 25.8% change
2010-06-29: Highest IV Rank — 43.4%
2010-06-29: Largest Expected Move — 16.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.70	$24.17	$28.16	$26.89	$24.17
Max Pain	$30.91	$28.84	$31.24	$28.84	$31.24
ATM IV	49.7%	42.1%	58.0%	54.8%	57.5%
Expected Move	14.3%	12.1%	16.6%	15.7%	16.5%
HV 20d	47.6%	41.9%	51.6%	51.0%	46.8%
HV 60d	39.9%	37.0%	42.9%	37.0%	42.8%
IV Rank	31.0%	19.4%	43.4%	38.6%	42.7%
IV Percentile	60.9%	30.2%	90.5%	75.4%	90.1%
Term Structure	-3.0%	-7.9%	0.9%	0.6%	-6.5%
VWIV	49.9%	42.5%	59.1%	54.7%	59.1%
Skew 25d	6.2%	3.8%	7.9%	5.3%	6.1%
Skew 10d	12.1%	6.4%	16.1%	10.6%	15.9%
Call IV 25d	48.5%	40.7%	58.0%	53.9%	58.0%
Put IV 25d	54.6%	46.4%	64.1%	59.2%	64.1%
Bid-Ask Spread %	2.63	1.72	3.62	3.62	1.91
Gamma HHI	0.12	0.11	0.16	0.13	0.12
Net GEX	1.7M	65.4K	3.2M	2.1M	546.6K
Net DEX	85.7M	29.1M	148.2M	78.2M	148.2M
Net VEX	-2.1M	-2.3M	-1.8M	-2.3M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.23	1.38	0.27	0.73
Total Volume	14,991.636	6,809	50,393	17,513	10,241
Total OI	510,625.682	452,860	548,004	503,271	484,529

Daily Data (22 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
2010-06-01	$26.89	$28.84	54.8%	15.7%	51.0%	38.6%	54.7%	5.3%	0.6%	2.1M	78.2M	-2.3M	0.27	3.62	N/A	N/A	13,799	3,714	321,970	181,301
2010-06-02	$27.59	$28.84	50.7%	14.5%	50.4%	32.4%	48.7%	7.3%	0.9%	2.7M	59.1M	-2.3M	0.93	2.96	N/A	N/A	6,411	5,950	330,609	182,458
2010-06-03	$27.32	$28.84	49.8%	14.3%	50.4%	31.0%	48.1%	5.9%	0.3%	2.2M	77.7M	-2.3M	0.49	2.72	N/A	N/A	4,793	2,357	328,795	185,021
2010-06-04	$26.05	$31.24	52.1%	15.6%	51.0%	34.6%	54.9%	6.9%	-5.6%	1.3M	120.2M	-2.1M	0.55	2.69	N/A	N/A	10,753	5,929	329,794	184,965
2010-06-07	$25.26	$31.24	57.3%	16.1%	51.6%	42.5%	57.1%	7.8%	-6.2%	823.0K	146.2M	-2.0M	1.38	3.07	N/A	N/A	7,760	10,743	335,958	185,191
2010-06-08	$25.86	$31.24	52.2%	15.8%	48.9%	34.7%	56.4%	7.4%	-5.3%	980.5K	131.6M	-2.1M	0.79	2.62	N/A	N/A	14,683	11,647	337,627	192,107
2010-06-09	$25.95	$31.24	54.9%	15.9%	47.7%	38.8%	55.3%	7.9%	-4.5%	1.3M	123.1M	-2.3M	0.60	3.12	N/A	N/A	6,320	3,813	345,667	198,272
2010-06-10	$27.03	$31.24	51.5%	14.8%	49.2%	33.7%	50.6%	7.6%	-3.1%	2.1M	82.1M	-2.2M	0.33	2.58	N/A	N/A	12,935	4,270	344,603	190,933
2010-06-11	$27.30	$31.24	51.2%	14.7%	48.1%	33.2%	48.9%	6.6%	-3.4%	2.6M	66.9M	-2.3M	0.23	3.62	N/A	N/A	12,315	2,854	348,236	192,017
2010-06-14	$27.25	$31.24	50.1%	14.4%	46.9%	31.6%	49.7%	6.5%	-3.3%	2.5M	67.6M	-2.2M	0.66	2.59	N/A	N/A	6,401	4,226	355,270	192,734
2010-06-15	$27.85	$31.24	44.8%	12.8%	47.3%	23.5%	46.5%	7.2%	-1.3%	3.2M	43.6M	-2.3M	0.28	2.80	N/A	N/A	11,469	3,248	349,223	192,275
2010-06-16	$27.42	$31.24	47.3%	13.6%	46.9%	27.2%	46.2%	5.5%	-2.8%	2.4M	54.7M	-2.2M	1.18	2.62	N/A	N/A	3,130	3,679	356,332	188,096
2010-06-17	$26.87	$31.24	44.9%	12.9%	47.4%	23.6%	46.1%	3.8%	-1.5%	998.0K	86.0M	-2.1M	1.05	2.63	N/A	N/A	4,806	5,029	352,467	185,507
2010-06-18	$26.70	$31.24	42.1%	12.1%	41.9%	19.4%	42.5%	5.7%	-0.1%	65.4K	92.2M	-2.0M	1.13	2.06	N/A	N/A	7,750	8,767	353,483	187,422
2010-06-21	$28.16	$31.24	44.1%	12.6%	45.2%	22.3%	44.9%	4.7%	-3.4%	2.0M	29.1M	-2.2M	0.30	3.12	N/A	N/A	38,831	11,562	285,748	167,112
2010-06-22	$27.13	$31.24	46.8%	13.4%	46.5%	26.5%	45.9%	5.9%	-3.0%	2.0M	61.7M	-2.2M	0.47	2.07	N/A	N/A	10,253	4,806	303,020	171,604
2010-06-23	$27.47	$31.24	45.4%	13.0%	46.3%	24.4%	44.3%	6.3%	-2.4%	2.3M	55.0M	-2.2M	0.38	2.83	N/A	N/A	7,849	2,989	304,809	172,225
2010-06-24	$26.70	$31.24	45.2%	13.0%	47.4%	24.1%	46.1%	4.1%	-1.7%	1.9M	75.5M	-2.1M	0.44	1.72	N/A	N/A	7,998	3,509	305,699	171,477
2010-06-25	$26.99	$31.24	47.7%	13.7%	43.8%	27.8%	47.1%	6.2%	-3.0%	2.0M	64.8M	-2.2M	0.52	1.96	N/A	N/A	5,059	2,625	306,335	172,414
2010-06-28	$26.51	$31.24	46.1%	13.2%	43.9%	25.4%	47.7%	3.8%	-2.6%	1.7M	82.8M	-2.0M	1.25	1.93	N/A	N/A	3,194	3,975	307,015	172,824
2010-06-29	$24.85	$31.24	58.0%	16.6%	47.5%	43.4%	57.0%	7.0%	-7.9%	656.5K	139.1M	-1.8M	0.75	2.63	N/A	N/A	9,948	7,426	306,998	173,623
2010-06-30	$24.17	$31.24	57.5%	16.5%	46.8%	42.7%	59.1%	6.1%	-6.5%	546.6K	148.2M	-1.8M	0.73	1.91	N/A	N/A	5,930	4,311	309,980	174,549