AA Options History — November 2010

In November 2010, AA traded between $31.09 and $33.64. ATM implied volatility averaged 32.1%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 1.7% (HV 20d: 30.4%). Max pain ranged from $31.24 to $33.64. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2010-11-16: Highest Volume — 33,860 contracts
  • 2010-11-11: Largest IV spike — 14.0% change
  • 2010-11-12: Highest IV Rank — 17.4%
  • 2010-11-12: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.20$31.09$33.64$31.36$31.55
Max Pain$32.96$31.24$33.64$31.24$33.64
ATM IV32.1%28.6%35.8%33.3%33.2%
Expected Move9.4%8.3%10.3%9.5%9.5%
HV 20d30.4%27.7%33.9%33.1%28.0%
HV 60d31.3%30.0%33.7%33.6%30.2%
IV Rank9.6%2.1%17.4%12.1%11.8%
IV Percentile15.1%0.8%31.0%17.9%22.6%
Term Structure2.1%-0.6%4.6%1.3%3.3%
VWIV33.3%30.2%36.3%34.1%33.7%
Skew 25d1.2%-0.6%2.6%1.4%0.9%
Skew 10d1.6%-2.0%5.4%1.6%-1.9%
Call IV 25d33.5%29.5%36.9%33.8%34.4%
Put IV 25d34.7%31.7%37.7%35.2%35.3%
Bid-Ask Spread %5.982.9015.564.764.98
Gamma HHI0.170.150.230.150.16
Net GEX3.1M-987.5K5.3M2.1M2.9M
Net DEX-177.8M-314.5M-72.7M-130.3M-104.0M
Net VEX-2.1M-2.2M-2.0M-2.2M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.261.740.561.54
Total Volume13,482.4763,95933,86012,2445,768
Total OI456,326.952411,175484,528456,831425,188

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$31.36$31.2433.3%9.5%33.1%12.1%34.1%1.4%1.3%2.1M-130.3M-2.2M0.564.76N/AN/A7,8564,388252,238204,593
2010-11-02$31.82$31.2434.6%9.9%32.9%14.9%34.7%1.9%-0.6%2.6M-172.0M-2.2M1.153.04N/AN/A4,0124,596252,443204,416
2010-11-03$31.58$31.2432.5%9.3%32.7%10.3%32.9%2.0%0.7%2.3M-154.4M-2.2M0.575.78N/AN/A3,0341,730252,251206,130
2010-11-04$32.68$31.2429.0%8.3%33.9%2.9%30.7%0.7%2.4%3.8M-239.4M-2.2M0.885.34N/AN/A9,3928,228252,795206,166
2010-11-05$33.64$31.2429.6%9.3%29.9%4.2%33.2%-0.4%1.9%4.6M-305.2M-2.2M0.267.33N/AN/A17,5014,615253,292209,121
2010-11-08$33.55$31.2428.6%9.2%30.0%2.1%33.1%-0.6%2.4%5.3M-314.5M-2.1M0.865.07N/AN/A11,3409,717258,056209,889
2010-11-09$33.04$33.6430.7%9.4%30.0%6.5%33.6%-0.0%1.9%4.4M-266.3M-2.1M0.846.80N/AN/A9,2207,730259,835214,106
2010-11-10$33.35$33.6429.1%9.5%29.8%3.1%34.4%0.4%2.4%4.8M-288.2M-2.1M0.555.86N/AN/A9,2405,127259,654215,489
2010-11-11$33.19$33.6433.1%9.5%29.0%11.7%33.7%0.3%2.4%4.9M-274.3M-2.1M1.155.84N/AN/A3,0873,551262,521217,348
2010-11-12$32.42$33.6435.8%10.3%30.5%17.4%36.3%1.6%0.8%3.0M-198.0M-2.2M1.0415.56N/AN/A13,90114,448263,062219,184
2010-11-15$32.20$33.6435.3%10.1%30.6%16.4%35.1%0.8%1.3%2.7M-172.7M-2.1M0.715.14N/AN/A5,4543,854264,543215,825
2010-11-16$31.31$33.6435.4%10.2%29.4%16.6%36.2%0.7%3.1%664.7K-99.9M-2.1M1.6912.78N/AN/A12,58721,273264,373215,961
2010-11-17$31.09$33.6433.3%9.5%28.5%12.0%33.5%2.0%3.6%-987.5K-72.7M-2.1M0.654.37N/AN/A5,8493,804265,794218,734
2010-11-18$32.15$33.6432.7%9.4%30.3%10.7%32.7%1.3%2.5%4.6M-188.1M-2.0M0.535.80N/AN/A7,5714,010266,717209,628
2010-11-19$32.15$33.6431.7%9.1%30.3%8.6%31.5%1.6%2.9%3.9M-180.6M-2.1M1.745.29N/AN/A9,38216,305266,688210,546
2010-11-22$31.94$33.6431.7%9.1%30.2%8.7%32.4%2.1%0.0%3.1M-121.5M-2.0M0.702.90N/AN/A3,7202,602232,543178,632
2010-11-23$31.55$33.6431.1%8.9%30.6%7.4%31.3%1.5%4.6%2.7M-100.8M-2.0M1.304.18N/AN/A3,8554,995234,290179,745
2010-11-24$31.98$33.6429.9%8.6%30.4%4.8%30.2%2.6%3.0%3.0M-123.6M-2.0M0.503.96N/AN/A4,1962,096235,347182,798
2010-11-26$31.65$33.6431.3%9.0%30.7%7.9%32.3%2.2%4.2%2.6M-104.6M-2.0M0.574.73N/AN/A2,5271,432236,783183,649
2010-11-29$31.94$33.6433.0%9.5%27.7%11.5%33.5%1.6%1.1%3.0M-123.2M-2.0M0.425.98N/AN/A6,4212,718238,240184,253
2010-11-30$31.55$33.6433.2%9.5%28.0%11.8%33.7%0.9%3.3%2.9M-104.0M-2.0M1.544.98N/AN/A2,2713,497239,956185,232