AA Options History — September 2010

In September 2010, AA traded between $25.28 and $29.36. ATM implied volatility averaged 35.4%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 4.2% (HV 20d: 31.2%). Max pain ranged from $26.43 to $28.84. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2010-09-23: Highest Volume — 39,606 contracts
  • 2010-09-09: Largest IV spike — 22.3% change
  • 2010-09-30: Highest IV Rank — 24.1%
  • 2010-09-30: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.47$25.28$29.36$25.28$29.10
Max Pain$28.61$26.43$28.84$26.43$28.84
ATM IV35.4%28.5%39.7%30.6%39.7%
Expected Move10.5%8.6%11.4%8.8%11.4%
HV 20d31.2%28.1%37.3%35.4%29.3%
HV 60d35.5%32.7%38.0%37.5%32.7%
IV Rank14.7%0.0%24.1%3.2%24.1%
IV Percentile22.6%0.0%45.2%3.6%45.2%
Term Structure0.8%-2.7%9.4%7.5%-2.7%
VWIV37.2%30.8%41.1%31.6%40.2%
Skew 25d2.0%-2.3%4.0%2.9%0.9%
Skew 10d4.1%-3.5%7.9%6.0%2.3%
Call IV 25d37.0%31.0%41.9%31.0%40.8%
Put IV 25d39.1%33.8%41.8%33.8%41.8%
Bid-Ask Spread %3.242.109.873.252.51
Gamma HHI0.180.150.210.160.18
Net GEX4.1M1.4M6.2M1.4M6.1M
Net DEX-38.1M-150.9M68.5M68.5M-129.2M
Net VEX-2.0M-2.2M-1.8M-1.8M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.222.670.630.40
Total Volume15,958.0955,75539,6066,93917,399
Total OI472,516.857431,184509,729431,184509,729

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$25.28$26.4330.6%8.8%35.4%3.2%31.6%2.9%7.5%1.4M68.5M-1.8M0.633.25N/AN/A4,2462,693272,720158,464
2010-09-02$26.02$26.4330.0%8.6%37.2%1.7%30.8%1.4%9.4%2.4M35.4M-1.9M0.412.89N/AN/A10,9784,471274,288160,025
2010-09-03$26.14$28.8428.5%10.7%37.3%0.0%37.6%4.0%1.8%2.9M24.9M-1.9M0.532.53N/AN/A5,1452,718279,732162,963
2010-09-07$26.10$28.8431.2%11.1%37.1%5.7%38.5%3.1%0.6%3.1M25.4M-1.9M2.673.48N/AN/A3,89510,392280,738163,543
2010-09-08$26.60$28.8430.9%10.9%36.9%5.1%38.1%2.6%1.4%3.2M7.2M-2.0M1.342.49N/AN/A11,90615,968282,985170,949
2010-09-09$26.99$28.8437.8%10.8%29.2%20.0%38.4%3.0%1.3%3.4M2.2M-2.0M0.392.84N/AN/A4,1271,628286,709178,419
2010-09-10$26.84$28.8438.9%11.1%29.3%22.3%38.7%3.3%0.2%3.5M-2.1M-2.0M0.222.75N/AN/A9,9702,184287,127176,221
2010-09-13$27.68$28.8435.4%10.2%30.7%14.9%37.7%3.4%3.2%4.3M-55.4M-2.0M0.533.27N/AN/A12,9396,839289,547176,657
2010-09-14$27.61$28.8437.3%10.7%30.7%19.0%36.0%3.1%1.0%4.4M-57.2M-2.0M0.242.79N/AN/A13,2613,181296,618178,362
2010-09-15$27.47$28.8437.7%10.8%28.9%19.8%37.4%3.4%0.9%4.8M-51.2M-2.0M0.962.43N/AN/A3,9033,742303,985178,371
2010-09-16$27.06$28.8436.8%10.5%29.5%17.8%37.2%3.0%1.3%4.1M-23.0M-2.0M0.753.00N/AN/A5,9304,429303,403179,980
2010-09-17$26.84$28.8434.7%10.0%28.1%13.4%36.0%1.4%2.4%4.3M-9.5M-2.0M1.122.10N/AN/A5,6586,328304,175180,437
2010-09-20$27.35$28.8434.0%9.8%28.3%11.8%34.5%1.3%0.4%3.4M-5.9M-2.0M1.049.87N/AN/A9,0569,433285,667169,579
2010-09-21$26.84$28.8433.6%9.6%28.3%10.9%34.2%2.1%0.3%2.4M35.8M-1.9M1.352.99N/AN/A5,2117,021290,125176,629
2010-09-22$28.12$28.8435.8%10.3%29.1%15.7%36.4%0.0%-1.7%4.2M-57.9M-2.1M0.962.82N/AN/A18,10017,396292,267180,134
2010-09-23$28.21$28.8439.1%11.2%29.1%22.7%40.9%-2.3%-2.1%3.9M-62.4M-2.2M0.454.61N/AN/A27,27112,335296,476189,543
2010-09-24$29.32$28.8437.4%10.7%30.3%19.0%38.5%-1.2%-1.5%6.2M-150.9M-2.2M0.642.58N/AN/A12,4547,966307,060187,826
2010-09-27$29.00$28.8438.4%11.0%30.2%21.3%41.1%2.1%-2.5%5.9M-121.1M-2.2M1.232.60N/AN/A7,7829,578309,474190,739
2010-09-28$29.36$28.8438.0%10.9%29.7%20.5%39.1%2.5%-2.0%6.2M-148.2M-2.2M0.773.82N/AN/A5,9984,622312,151191,861
2010-09-29$29.03$28.8437.7%10.8%30.3%19.8%38.5%2.3%-2.0%5.9M-125.2M-2.2M0.912.51N/AN/A3,6493,318313,810193,366
2010-09-30$29.10$28.8439.7%11.4%29.3%24.1%40.2%0.9%-2.7%6.1M-129.2M-2.2M0.402.51N/AN/A12,3925,007315,087194,642