AA Options History — October 2010

In October 2010, AA traded between $28.64 and $32.13. ATM implied volatility averaged 34.3%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 1.1% (HV 20d: 33.2%). Max pain ranged from $28.84 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 0.86.

Notable Days

  • 2010-10-08: Highest Volume — 76,322 contracts
  • 2010-10-08: Largest IV drop — 36.2% change
  • 2010-10-07: Highest IV Rank — 50.3%
  • 2010-10-07: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.67$28.64$32.13$29.39$31.58
Max Pain$29.98$28.84$31.24$28.84$31.24
ATM IV34.3%27.6%51.8%38.1%37.5%
Expected Move9.5%8.5%11.5%10.9%10.8%
HV 20d33.2%28.2%36.7%28.2%34.6%
HV 60d33.5%32.6%35.0%32.6%33.6%
IV Rank13.6%0.0%50.3%20.6%21.1%
IV Percentile20.8%0.0%88.5%36.9%34.9%
Term Structure1.6%-2.4%4.2%-2.4%-1.7%
VWIV33.7%30.2%40.6%39.4%38.8%
Skew 25d2.0%-2.4%3.6%0.3%-2.4%
Skew 10d3.4%-6.6%7.3%-1.8%-6.6%
Call IV 25d33.1%29.9%40.3%40.0%40.3%
Put IV 25d35.0%31.6%41.7%40.3%37.9%
Bid-Ask Spread %4.402.6910.932.795.32
Gamma HHI0.220.140.450.190.14
Net GEX5.6M378.2K14.3M7.1M1.3M
Net DEX-198.6M-452.2M-56.0M-165.4M-142.9M
Net VEX-2.2M-2.3M-2.1M-2.2M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.182.690.580.18
Total Volume27,3245,93176,32210,83052,437
Total OI496,353.476410,146578,273517,127443,954

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$29.39$28.8438.1%10.9%28.2%20.6%39.4%0.3%-2.4%7.1M-165.4M-2.2M0.582.79N/AN/A6,8553,975320,704196,423
2010-10-04$28.64$28.8442.6%10.7%30.4%30.3%37.5%3.2%0.7%5.7M-96.8M-2.1M0.233.55N/AN/A14,8783,397321,870198,006
2010-10-05$29.17$28.8440.9%10.1%30.7%26.7%35.3%2.9%1.4%7.2M-147.2M-2.1M1.743.31N/AN/A9,99417,436325,165198,843
2010-10-06$29.73$28.8446.6%10.9%30.6%39.0%37.6%3.6%0.2%6.7M-178.5M-2.2M0.343.20N/AN/A33,46911,248326,806209,608
2010-10-07$29.32$28.8451.8%11.5%31.2%50.3%40.6%2.0%-0.6%7.0M-163.2M-2.3M0.613.49N/AN/A40,07624,266339,046213,658
2010-10-08$30.97$28.8433.1%9.7%35.8%9.8%34.2%1.8%2.8%11.8M-345.6M-2.3M0.493.66N/AN/A51,32724,995352,938224,692
2010-10-11$31.07$28.8431.0%9.3%34.7%5.3%33.3%3.3%3.8%14.0M-343.8M-2.2M0.563.48N/AN/A15,2378,578352,653225,620
2010-10-12$31.72$28.8429.8%9.2%34.9%2.8%32.7%2.3%3.9%13.3M-413.9M-2.2M0.474.28N/AN/A15,3857,235349,263227,165
2010-10-13$32.13$28.8427.6%9.1%34.7%0.0%31.7%1.9%2.7%10.6M-452.2M-2.2M0.1910.93N/AN/A28,6135,328346,099227,292
2010-10-14$31.55$28.8433.1%9.5%35.0%11.8%33.4%1.7%4.2%14.3M-394.3M-2.2M0.433.94N/AN/A14,7246,295343,553228,172
2010-10-15$31.55$28.8432.7%9.4%34.6%10.9%32.8%1.8%4.1%10.5M-409.7M-2.2M1.903.83N/AN/A16,42231,149343,126229,622
2010-10-18$31.58$31.2430.8%8.8%34.4%6.8%30.8%2.6%1.8%2.3M-173.2M-2.2M1.394.12N/AN/A12,26017,017233,682176,464
2010-10-19$30.45$31.2431.8%9.1%36.7%8.9%32.6%1.3%1.4%887.0K-86.0M-2.2M1.167.04N/AN/A7,5638,778236,492188,732
2010-10-20$31.12$31.2429.7%8.5%34.1%4.5%30.2%1.9%2.3%1.0M-126.5M-2.3M1.243.62N/AN/A5,3256,607237,749191,009
2010-10-21$30.71$31.2430.4%8.7%34.7%5.9%31.0%2.3%1.7%773.1K-96.0M-2.2M1.256.71N/AN/A3,9764,974238,265193,848
2010-10-22$30.57$31.2429.7%8.5%32.4%4.5%30.4%1.6%1.9%524.4K-82.9M-2.2M1.022.69N/AN/A2,9332,998239,105196,194
2010-10-25$30.95$31.2430.6%8.8%32.2%6.3%30.9%2.2%1.3%758.2K-113.0M-2.2M0.483.07N/AN/A8,5034,060240,090195,995
2010-10-26$30.93$31.2430.6%8.8%32.1%6.3%31.4%3.1%1.4%786.0K-109.2M-2.2M0.285.80N/AN/A13,9533,939240,429194,948
2010-10-27$30.52$31.2431.1%8.9%32.2%7.3%32.1%1.9%1.2%795.4K-74.0M-2.1M0.903.76N/AN/A9,9919,016238,462195,607
2010-10-28$30.40$31.2430.4%8.7%32.3%6.1%31.3%1.9%1.5%378.2K-56.0M-2.1M2.693.83N/AN/A2,3266,266239,914202,160
2010-10-29$31.58$31.2437.5%10.8%34.6%21.1%38.8%-2.4%-1.7%1.3M-142.9M-2.3M0.185.32N/AN/A44,4447,993238,980204,974