AA Options History — August 2010

In August 2010, AA traded between $24.05 and $28.14. ATM implied volatility averaged 34.9%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 0.2% (HV 20d: 35.1%). Max pain ranged from $26.43 to $26.43. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.59.

Notable Days

2010-08-02: Highest Volume — 29,443 contracts
2010-08-10: Largest IV spike — 10.1% change
2010-08-13: Highest IV Rank — 20.1%
2010-08-13: Largest Expected Move — 11.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.00	$24.05	$28.14	$28.14	$24.56
Max Pain	$26.43	$26.43	$26.43	$26.43	$26.43
ATM IV	34.9%	29.2%	38.4%	31.5%	35.6%
Expected Move	10.2%	8.4%	11.0%	9.0%	10.2%
HV 20d	35.1%	30.9%	39.7%	32.9%	33.1%
HV 60d	40.7%	37.4%	43.7%	43.6%	37.4%
IV Rank	12.5%	0.0%	20.1%	4.7%	14.1%
IV Percentile	15.8%	0.0%	29.0%	3.6%	17.1%
Term Structure	4.4%	2.3%	6.5%	2.3%	6.5%
VWIV	36.2%	31.2%	39.5%	33.1%	35.4%
Skew 25d	4.1%	2.1%	5.9%	3.0%	3.5%
Skew 10d	7.4%	1.1%	12.2%	10.0%	4.3%
Call IV 25d	35.2%	30.2%	38.8%	32.3%	35.3%
Put IV 25d	39.3%	32.9%	43.4%	35.4%	38.9%
Bid-Ask Spread %	3.32	2.37	5.78	3.25	3.49
Gamma HHI	0.17	0.14	0.21	0.16	0.17
Net GEX	2.9M	556.3K	5.9M	5.0M	832.4K
Net DEX	19.8M	-97.4M	100.6M	-97.4M	92.6M
Net VEX	-2.0M	-2.4M	-1.7M	-2.4M	-1.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.12	1.00	0.48	0.71
Total Volume	10,784.818	3,543	29,443	29,443	3,543
Total OI	443,096.545	414,094	457,909	440,328	430,619

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
2010-08-02	$28.14	$26.43	31.5%	9.0%	32.9%	4.7%	33.1%	3.0%	2.3%	5.0M	-97.4M	-2.4M	0.48	3.25	N/A	N/A	19,959	9,484	284,689	155,639
2010-08-03	$27.78	$26.43	30.9%	8.9%	33.3%	3.5%	32.5%	2.3%	2.9%	5.3M	-83.0M	-2.3M	0.67	3.66	N/A	N/A	4,000	2,673	293,477	159,474
2010-08-04	$27.68	$26.43	30.5%	8.7%	31.9%	2.6%	31.9%	2.1%	2.9%	5.3M	-75.4M	-2.3M	0.78	3.28	N/A	N/A	4,260	3,307	291,511	160,169
2010-08-05	$27.83	$26.43	29.2%	8.4%	31.6%	0.0%	31.2%	2.7%	4.2%	5.6M	-83.4M	-2.4M	0.54	2.95	N/A	N/A	3,878	2,086	293,351	161,918
2010-08-06	$27.85	$26.43	29.2%	9.7%	31.1%	0.0%	36.2%	5.4%	4.4%	5.7M	-87.4M	-2.4M	0.56	3.59	N/A	N/A	3,750	2,099	294,499	162,453
2010-08-09	$28.02	$26.43	29.6%	9.6%	30.9%	1.0%	35.6%	4.7%	4.4%	5.9M	-94.3M	-2.3M	0.12	5.78	N/A	N/A	12,780	1,541	295,135	162,774
2010-08-10	$27.27	$26.43	32.6%	10.4%	32.5%	7.6%	35.4%	5.4%	3.8%	5.1M	-43.0M	-2.2M	0.36	3.36	N/A	N/A	17,974	6,402	291,667	163,327
2010-08-11	$25.62	$26.43	35.1%	10.8%	39.7%	13.0%	38.3%	5.3%	3.8%	2.0M	51.8M	-1.9M	0.89	2.37	N/A	N/A	8,358	7,412	280,848	164,160
2010-08-12	$25.78	$26.43	38.0%	10.9%	39.7%	19.3%	38.6%	5.9%	3.7%	1.9M	48.6M	-2.0M	0.73	3.44	N/A	N/A	4,690	3,427	281,212	167,491
2010-08-13	$25.57	$26.43	38.4%	11.0%	37.0%	20.1%	39.5%	5.8%	4.0%	1.9M	60.7M	-1.9M	0.13	2.83	N/A	N/A	12,928	1,714	281,494	165,742
2010-08-16	$25.47	$26.43	38.2%	10.9%	36.5%	19.6%	39.0%	5.3%	3.9%	2.0M	63.8M	-1.9M	0.74	2.57	N/A	N/A	4,050	3,010	289,026	165,961
2010-08-17	$26.31	$26.43	36.8%	10.5%	37.3%	16.6%	37.0%	4.6%	4.8%	3.9M	16.6M	-2.0M	0.29	3.65	N/A	N/A	7,764	2,275	287,566	166,032
2010-08-18	$26.26	$26.43	36.4%	10.4%	36.2%	15.7%	36.5%	3.4%	4.8%	4.4M	23.0M	-2.0M	0.87	3.38	N/A	N/A	4,860	4,233	286,924	166,014
2010-08-19	$25.62	$26.43	38.0%	10.9%	36.5%	19.2%	38.5%	3.6%	4.2%	2.6M	52.0M	-1.9M	0.56	2.43	N/A	N/A	8,012	4,481	288,358	167,014
2010-08-20	$25.40	$26.43	36.7%	10.5%	35.7%	16.4%	37.5%	3.1%	5.1%	1.6M	62.6M	-1.9M	0.79	2.76	N/A	N/A	5,182	4,115	290,507	167,290
2010-08-23	$24.92	$26.43	37.6%	10.8%	35.5%	18.4%	36.3%	4.2%	4.8%	1.1M	72.2M	-1.8M	0.42	2.97	N/A	N/A	5,732	2,423	262,603	151,491
2010-08-24	$24.17	$26.43	38.3%	11.0%	36.7%	19.9%	38.9%	2.9%	4.3%	635.6K	93.6M	-1.7M	0.56	3.26	N/A	N/A	11,310	6,325	264,692	152,277
2010-08-25	$24.29	$26.43	37.6%	10.8%	36.6%	18.4%	37.1%	4.7%	4.4%	603.6K	97.3M	-1.7M	0.93	4.16	N/A	N/A	5,080	4,749	267,683	154,983
2010-08-26	$24.05	$26.43	36.6%	10.5%	36.7%	16.3%	37.0%	3.6%	5.4%	556.3K	100.6M	-1.7M	0.40	2.91	N/A	N/A	3,707	1,499	268,798	155,479
2010-08-27	$24.80	$26.43	34.8%	10.0%	38.3%	12.3%	34.2%	4.8%	6.3%	1.1M	78.6M	-1.8M	0.43	3.80	N/A	N/A	4,276	1,853	270,247	155,735
2010-08-30	$24.63	$26.43	36.3%	10.4%	33.1%	15.5%	35.8%	3.5%	5.2%	981.2K	84.9M	-1.7M	1.00	3.13	N/A	N/A	3,026	3,039	271,442	156,353
2010-08-31	$24.56	$26.43	35.6%	10.2%	33.1%	14.1%	35.4%	3.5%	6.5%	832.4K	92.6M	-1.7M	0.71	3.49	N/A	N/A	2,069	1,474	272,331	158,288