AA Options History — July 2010 In July 2010, AA traded between $24.03 and $26.99. ATM implied volatility averaged 42.2%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 1.4% (HV 20d: 40.8%). Max pain ranged from $24.03 to $31.24. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.66.
Notable Days 2010-07-12 : Highest Volume — 54,753 contracts2010-07-13 : Largest IV drop — 49.5% change2010-07-12 : Highest IV Rank — 81.7%2010-07-01 : Largest Expected Move — 16.9%Monthly Statistics Metric Avg Min Max Open Close Price $25.87 $24.03 $26.99 $24.15 $26.84 Max Pain $26.55 $24.03 $31.24 $31.24 $26.43 ATM IV 42.2% 30.9% 66.5% 59.0% 31.3% Expected Move 11.4% 9.0% 16.9% 16.9% 9.0% HV 20d 40.8% 29.6% 46.9% 46.9% 29.7% HV 60d 43.6% 42.6% 44.5% 42.7% 43.3% IV Rank 23.8% 3.4% 81.7% 45.0% 4.3% IV Percentile 35.3% 2.4% 98.4% 92.9% 3.2% Term Structure 1.3% -7.4% 4.8% -7.4% 4.8% VWIV 40.7% 31.7% 59.7% 59.7% 31.7% Skew 25d 5.4% 3.7% 7.3% 6.7% 5.0% Skew 10d 10.5% 3.0% 14.9% 9.3% 8.1% Call IV 25d 38.7% 30.6% 58.1% 58.1% 30.6% Put IV 25d 44.1% 35.6% 64.8% 64.8% 35.6% Bid-Ask Spread % 2.81 1.68 5.94 1.68 5.94 Gamma HHI 0.14 0.12 0.17 0.12 0.15 Net GEX 2.0M 611.1K 3.9M 611.1K 3.9M Net DEX 59.2M -30.5M 151.7M 144.4M -30.5M Net VEX -2.0M -2.2M -1.8M -1.8M -2.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.66 0.10 2.13 0.37 0.41 Total Volume 18,184.143 4,189 54,753 25,290 4,189 Total OI 469,230.571 383,088 553,541 485,549 439,365
Daily Data (21 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 2010-07-01 $24.15 $31.24 59.0% 16.9% 46.9% 45.0% 59.7% 6.7% -7.4% 611.1K 144.4M -1.8M 0.37 1.68 N/A N/A 18,498 6,792 311,071 174,478 2010-07-02 $24.03 $31.24 55.7% 16.0% 44.2% 39.9% 57.3% 3.7% -7.0% 643.6K 140.3M -1.8M 0.54 2.04 N/A N/A 5,154 2,770 322,031 176,278 2010-07-06 $24.53 $24.03 58.7% 14.1% 43.9% 44.5% 48.6% 7.3% -0.0% 804.9K 131.5M -1.9M 0.85 3.30 N/A N/A 8,126 6,915 323,233 176,404 2010-07-07 $25.35 $26.43 53.5% 12.5% 44.7% 36.7% 45.9% 7.3% 2.4% 1.1M 113.1M -1.9M 0.84 3.16 N/A N/A 5,137 4,306 324,813 177,653 2010-07-08 $25.76 $26.43 54.9% 12.4% 45.0% 38.7% 46.1% 7.1% 1.4% 1.4M 97.0M -2.0M 0.71 2.85 N/A N/A 14,733 10,523 326,624 178,486 2010-07-09 $26.29 $24.03 53.8% 12.3% 43.1% 53.8% 44.0% 4.9% 1.4% 1.9M 69.1M -2.1M 0.62 2.49 N/A N/A 13,311 8,295 331,521 184,519 2010-07-12 $26.12 $24.03 66.5% 12.8% 42.9% 81.7% 45.6% 5.8% 0.1% 1.9M 72.1M -2.1M 0.78 3.83 N/A N/A 30,828 23,925 339,991 187,610 2010-07-13 $26.43 $26.43 33.6% 11.4% 43.2% 9.5% 39.6% 5.9% 3.0% 2.8M 75.2M -2.1M 0.65 2.81 N/A N/A 31,504 20,378 349,815 199,111 2010-07-14 $26.22 $26.43 30.9% 11.5% 42.4% 3.4% 41.0% 4.7% 2.6% 2.3M 86.2M -2.1M 0.64 2.87 N/A N/A 10,095 6,497 352,531 201,010 2010-07-15 $26.05 $26.43 38.4% 11.0% 42.1% 19.8% 40.5% 4.4% 3.1% 2.1M 106.0M -2.0M 0.76 2.40 N/A N/A 8,307 6,285 350,965 202,074 2010-07-16 $25.02 $26.43 42.0% 12.0% 43.8% 27.8% 40.6% 4.8% 1.7% 828.3K 151.7M -1.9M 2.13 2.93 N/A N/A 5,928 12,597 350,330 202,353 2010-07-19 $25.42 $26.43 35.6% 10.2% 44.4% 13.7% 36.7% 6.4% 1.9% 856.2K 52.1M -1.9M 0.52 2.65 N/A N/A 9,227 4,797 237,552 145,536 2010-07-20 $26.07 $26.43 35.4% 10.1% 40.6% 13.3% 36.3% 4.5% 1.5% 1.5M 28.1M -2.0M 0.34 2.57 N/A N/A 8,444 2,838 242,789 147,703 2010-07-21 $25.45 $26.43 35.8% 10.2% 39.4% 14.1% 36.3% 6.6% 1.2% 1.4M 44.5M -1.9M 0.69 2.34 N/A N/A 5,578 3,848 246,345 148,533 2010-07-22 $26.00 $26.43 34.5% 9.9% 40.1% 11.4% 35.5% 4.6% 1.5% 1.7M 28.7M -2.0M 0.41 2.39 N/A N/A 12,381 5,134 247,507 149,152 2010-07-23 $26.55 $26.43 32.8% 9.4% 39.7% 7.7% 33.1% 5.7% 2.7% 2.5M 3.1M -2.1M 0.35 2.86 N/A N/A 5,461 1,923 254,407 152,654 2010-07-26 $26.99 $26.43 33.3% 9.5% 39.9% 8.7% 33.6% 4.3% 2.4% 3.0M -16.3M -2.1M 0.35 2.84 N/A N/A 9,659 3,351 257,056 152,527 2010-07-27 $26.94 $26.43 33.5% 9.6% 39.4% 9.2% 33.4% 5.1% 3.0% 3.1M -17.2M -2.1M 0.10 2.90 N/A N/A 26,981 2,619 261,215 153,263 2010-07-28 $26.53 $26.43 33.5% 9.6% 31.7% 9.1% 34.6% 4.7% 3.3% 3.7M -19.6M -2.2M 0.61 2.12 N/A N/A 3,240 1,969 283,659 153,797 2010-07-29 $26.48 $26.43 32.9% 9.4% 29.6% 7.8% 35.7% 3.7% 3.2% 3.5M -15.7M -2.2M 1.27 2.02 N/A N/A 4,102 5,222 283,658 154,223 2010-07-30 $26.84 $26.43 31.3% 9.0% 29.7% 4.3% 31.7% 5.0% 4.8% 3.9M -30.5M -2.2M 0.41 5.94 N/A N/A 2,964 1,225 283,581 155,784
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