AA Options History — December 2010

In December 2010, AA traded between $32.61 and $36.98. ATM implied volatility averaged 31.0%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 4.8% (HV 20d: 26.2%). Max pain ranged from $30.04 to $33.64. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.74.

Notable Days

  • 2010-12-23: Highest Volume — 39,814 contracts
  • 2010-12-13: Largest IV spike — 17.8% change
  • 2010-12-27: Highest IV Rank — 11.9%
  • 2010-12-27: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.03$32.61$36.98$32.61$36.98
Max Pain$30.86$30.04$33.64$33.64$33.64
ATM IV31.0%27.8%33.2%30.9%32.9%
Expected Move9.0%8.1%9.5%8.9%9.4%
HV 20d26.2%18.4%32.4%29.9%18.4%
HV 60d29.9%28.1%31.4%30.8%28.1%
IV Rank7.3%0.4%11.9%7.1%11.3%
IV Percentile14.7%0.4%30.2%12.3%28.6%
Term Structure1.8%-0.1%4.1%2.2%0.5%
VWIV32.5%28.9%36.0%31.8%34.6%
Skew 25d-0.1%-3.5%1.8%1.8%0.2%
Skew 10d0.9%-6.0%16.6%4.5%1.2%
Call IV 25d33.5%29.2%37.6%32.5%34.7%
Put IV 25d33.4%29.7%34.9%34.2%34.9%
Bid-Ask Spread %4.422.709.365.073.27
Gamma HHI0.210.180.250.180.18
Net GEX5.4M3.7M7.1M3.9M3.7M
Net DEX-333.1M-452.5M-175.9M-175.9M-445.5M
Net VEX-2.0M-2.1M-1.9M-2.0M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.231.680.380.85
Total Volume18,581.7734,52539,8148,32415,967
Total OI460,378.5427,005487,269427,005487,269

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$32.61$33.6430.9%8.9%29.9%7.1%31.8%1.8%2.2%3.9M-175.9M-2.0M0.385.07N/AN/A6,0312,293240,688186,317
2010-12-02$33.86$33.6431.7%9.1%32.4%8.7%33.3%-2.8%3.7%5.2M-267.1M-2.0M0.265.74N/AN/A30,5237,879242,287186,981
2010-12-03$34.19$33.6429.9%8.6%30.4%4.9%32.4%-0.6%4.1%5.8M-292.6M-2.0M0.585.78N/AN/A10,4876,062251,275191,159
2010-12-06$34.19$30.0430.9%9.3%28.7%6.9%33.3%-0.7%2.6%5.8M-289.2M-2.0M1.682.70N/AN/A5,1778,677253,999195,504
2010-12-07$34.00$30.0429.7%9.4%28.7%4.4%33.5%0.3%2.3%5.3M-260.3M-2.0M0.855.08N/AN/A9,5168,104255,074199,407
2010-12-08$33.98$30.0433.1%9.4%28.1%11.6%33.9%-0.0%2.0%5.1M-258.2M-2.0M0.253.26N/AN/A17,0194,330255,046201,220
2010-12-09$34.00$30.0429.2%9.1%28.0%3.4%32.2%-0.1%2.8%6.1M-264.0M-2.0M0.334.29N/AN/A8,3632,748260,652201,760
2010-12-10$34.24$30.0427.8%9.1%28.0%0.4%32.3%0.1%2.8%6.8M-289.8M-2.0M0.414.27N/AN/A3,2071,318264,619202,257
2010-12-13$34.51$30.0432.7%9.3%26.4%10.8%33.3%0.8%2.1%6.6M-313.9M-1.9M0.306.69N/AN/A14,0424,169265,306201,963
2010-12-14$34.12$30.0431.4%9.1%26.7%8.1%32.5%1.1%2.6%7.1M-279.9M-1.9M0.869.36N/AN/A4,5043,863267,365201,981
2010-12-15$33.55$30.0431.2%9.0%25.2%7.7%31.9%1.5%3.0%6.5M-220.5M-1.9M1.433.82N/AN/A4,7736,825266,270203,057
2010-12-16$34.75$30.0431.9%9.1%27.3%9.1%32.1%1.4%2.4%6.3M-325.8M-1.9M0.234.13N/AN/A14,5133,362266,407205,288
2010-12-17$34.99$30.0430.7%8.8%25.2%6.6%31.2%0.8%1.8%5.6M-360.1M-2.0M1.063.67N/AN/A10,55811,165273,573206,789
2010-12-20$35.49$30.0428.5%8.2%25.4%1.9%28.9%0.6%-0.1%5.7M-345.1M-2.0M1.184.16N/AN/A10,52412,469249,830182,165
2010-12-21$35.78$30.0428.2%8.1%25.1%1.4%29.0%0.5%0.1%5.1M-375.3M-1.9M1.243.46N/AN/A16,59220,627253,127189,563
2010-12-22$36.38$30.0429.8%8.5%24.4%4.7%31.2%0.1%0.1%4.9M-410.7M-2.0M0.553.39N/AN/A23,88113,065255,825196,544
2010-12-23$36.86$30.0431.2%8.9%24.4%7.6%32.2%-2.1%1.2%4.6M-452.5M-2.0M0.614.87N/AN/A24,69515,119261,809199,798
2010-12-27$36.60$30.0433.2%9.5%24.1%11.9%34.2%-3.5%0.7%4.6M-437.3M-2.1M0.494.98N/AN/A5,7772,845271,127204,442
2010-12-28$36.65$30.0432.7%9.4%24.2%10.7%36.0%-2.7%1.3%4.6M-443.5M-2.0M0.273.04N/AN/A8,0522,154269,089203,105
2010-12-29$36.36$30.0432.3%9.2%23.8%9.9%32.7%0.3%0.2%4.7M-408.5M-2.1M1.362.93N/AN/A8,00110,919270,849203,273
2010-12-30$36.55$33.6432.6%9.3%21.8%10.5%32.6%1.8%0.7%3.9M-412.6M-2.1M1.123.37N/AN/A4,0654,539273,343210,925
2010-12-31$36.98$33.6432.9%9.4%18.4%11.3%34.6%0.2%0.5%3.7M-445.5M-2.0M0.853.27N/AN/A8,6207,347273,958213,311