AA Options History — January 2011

In January 2011, AA traded between $37.85 and $39.89. ATM implied volatility averaged 32.3%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 5.8% (HV 20d: 26.5%). Max pain ranged from $33.64 to $40.85. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.80.

Notable Days

  • 2011-01-10: Highest Volume — 115,241 contracts
  • 2011-01-11: Largest IV drop — 43.8% change
  • 2011-01-10: Highest IV Rank — 43.5%
  • 2011-01-04: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.05$37.85$39.89$37.97$39.82
Max Pain$39.41$33.64$40.85$33.64$40.85
ATM IV32.3%26.5%48.1%37.7%27.4%
Expected Move9.1%7.6%11.9%10.8%7.9%
HV 20d26.5%19.9%32.5%19.9%32.5%
HV 60d27.4%26.7%28.3%28.3%28.0%
IV Rank11.4%0.0%43.5%21.5%2.2%
IV Percentile22.9%0.0%84.5%53.6%0.8%
Term Structure0.5%-5.4%3.5%-3.5%1.8%
VWIV32.4%27.4%43.4%38.4%28.4%
Skew 25d1.0%-5.1%2.9%-5.1%2.4%
Skew 10d1.7%-10.7%7.7%-10.7%5.4%
Call IV 25d32.4%26.6%45.0%42.3%27.9%
Put IV 25d33.4%29.4%42.4%37.2%30.3%
Bid-Ask Spread %3.522.194.933.472.19
Gamma HHI0.170.090.210.160.18
Net GEX3.2M-1.4M7.4M4.8M3.3M
Net DEX-429.5M-674.0M-128.9M-524.2M-198.4M
Net VEX-2.2M-2.4M-1.9M-2.0M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.411.520.410.54
Total Volume40,894.3512,379115,24156,99712,379
Total OI520,214.7351,901636,294489,643386,594

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$37.97$33.6437.7%10.8%19.9%21.5%38.4%-5.1%-3.5%4.8M-524.2M-2.0M0.413.47N/AN/A40,43616,561274,527215,116
2011-01-04$39.70$33.6441.5%11.9%24.2%29.3%43.4%-2.6%-4.6%6.6M-658.1M-1.9M0.604.93N/AN/A55,46433,059281,679218,688
2011-01-05$39.79$33.6438.3%11.0%23.8%22.7%39.3%-0.9%-4.3%7.4M-674.0M-2.0M0.683.20N/AN/A22,56715,396297,996224,286
2011-01-06$39.31$33.6439.6%11.3%24.6%25.3%42.0%-0.9%-5.4%6.7M-621.8M-2.2M0.483.52N/AN/A29,22714,084302,513232,605
2011-01-07$39.46$40.8540.7%10.2%24.6%27.7%35.9%-0.2%0.0%6.7M-633.3M-2.2M0.774.20N/AN/A21,89916,760312,498241,125
2011-01-10$39.63$40.8548.1%10.6%24.6%43.5%37.7%0.7%-1.8%6.9M-639.9M-2.2M0.924.06N/AN/A59,94055,301320,211247,164
2011-01-11$39.24$40.8527.1%8.6%25.3%0.0%30.0%1.3%2.8%4.6M-617.5M-2.2M1.233.08N/AN/A28,22634,773338,056266,589
2011-01-12$39.02$40.8527.5%8.4%24.9%0.9%29.4%1.9%2.5%2.7M-549.2M-2.3M1.354.39N/AN/A16,08621,663337,087273,667
2011-01-13$37.85$40.8530.6%8.8%27.0%9.0%31.3%1.9%1.8%778.8K-387.0M-2.3M0.583.90N/AN/A33,07219,147338,332283,614
2011-01-14$38.38$40.8529.1%8.4%24.9%5.2%29.8%2.1%2.4%1.3M-467.6M-2.3M0.663.93N/AN/A19,46812,944348,237287,704
2011-01-18$39.10$40.8529.3%8.4%25.4%5.7%29.4%2.0%2.9%-255.2K-542.6M-2.2M0.463.44N/AN/A21,2229,724343,363287,878
2011-01-19$38.59$40.8529.8%8.5%26.0%6.8%30.3%1.5%2.7%-727.1K-462.7M-2.2M1.523.40N/AN/A10,80016,443343,071289,116
2011-01-20$38.40$40.8531.0%8.9%26.1%9.8%31.7%1.6%1.9%-1.4M-423.7M-2.3M1.203.29N/AN/A14,32017,180342,247294,047
2011-01-21$37.94$40.8528.7%8.2%26.2%4.2%29.3%2.2%3.5%1.2M-333.7M-2.2M1.103.11N/AN/A14,11015,523340,357291,010
2011-01-24$39.48$40.8528.0%8.0%29.2%2.4%28.5%2.5%1.1%1.5M-174.7M-2.2M0.553.35N/AN/A27,43115,052175,208176,693
2011-01-25$39.02$40.8527.9%8.0%29.5%2.0%28.3%1.7%1.3%2.7M-152.6M-2.3M0.694.71N/AN/A11,7908,080185,620181,039
2011-01-26$39.89$40.8526.5%7.6%30.2%0.0%27.4%2.9%1.3%3.4M-211.6M-2.3M0.552.48N/AN/A12,4266,787190,017184,096
2011-01-27$39.58$40.8528.0%8.0%30.2%3.7%28.0%2.9%1.5%2.9M-187.7M-2.3M0.902.51N/AN/A9,5328,605188,402183,320
2011-01-28$38.76$40.8528.8%8.3%31.5%5.6%29.3%1.5%1.8%2.6M-128.9M-2.4M0.893.30N/AN/A10,8039,607193,174187,348
2011-01-31$39.82$40.8527.4%7.9%32.5%2.2%28.4%2.4%1.8%3.3M-198.4M-2.3M0.542.19N/AN/A8,0564,323195,949190,645