AA Options History — February 2011

In February 2011, AA traded between $39.51 and $42.27. ATM implied volatility averaged 28.3%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 1.9% (HV 20d: 30.2%). Max pain ranged from $40.85 to $43.25. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.84.

Notable Days

  • 2011-02-01: Highest Volume — 67,075 contracts
  • 2011-02-10: Largest IV spike — 25.8% change
  • 2011-02-23: Highest IV Rank — 20.0%
  • 2011-02-23: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.19$39.51$42.27$41.62$40.49
Max Pain$41.48$40.85$43.25$40.85$43.25
ATM IV28.3%24.0%32.6%28.1%28.3%
Expected Move8.4%7.7%9.3%8.0%8.1%
HV 20d30.2%28.1%34.7%34.7%28.1%
HV 60d27.4%26.2%28.6%28.6%27.0%
IV Rank8.5%0.0%20.0%3.8%9.9%
IV Percentile9.6%0.0%35.7%3.6%8.3%
Term Structure3.0%2.0%4.5%2.1%4.5%
VWIV29.5%27.0%32.1%28.5%29.1%
Skew 25d1.8%0.6%3.4%1.4%3.0%
Skew 10d3.9%1.7%7.5%4.5%6.7%
Call IV 25d29.1%27.1%31.6%28.8%28.0%
Put IV 25d30.8%28.7%34.3%30.2%31.0%
Bid-Ask Spread %4.072.425.372.424.03
Gamma HHI0.160.100.250.170.14
Net GEX2.6M1.4M3.7M3.6M3.0M
Net DEX-260.3M-361.5M-93.5M-349.3M-155.4M
Net VEX-2.5M-2.7M-2.3M-2.3M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.293.220.370.41
Total Volume24,024.8959,74467,07567,07515,840
Total OI421,872.895375,652459,945390,099399,541

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$41.62$40.8528.1%8.0%34.7%3.8%28.5%1.4%2.1%3.6M-349.3M-2.3M0.372.42N/AN/A48,87518,200198,007192,092
2011-02-02$41.36$40.8528.0%8.0%31.4%3.6%28.4%1.0%2.0%3.2M-293.0M-2.4M0.292.74N/AN/A24,2727,002196,851198,818
2011-02-03$41.36$40.8527.0%7.7%31.5%1.2%27.4%1.4%2.1%3.7M-303.2M-2.5M1.283.19N/AN/A9,67012,419209,072200,648
2011-02-04$41.19$40.8525.7%8.4%31.1%0.0%29.8%2.1%2.5%3.0M-271.3M-2.6M0.614.41N/AN/A8,7925,398208,603209,675
2011-02-07$41.62$40.8526.3%8.5%31.2%1.4%29.7%1.7%2.1%3.0M-304.0M-2.5M0.573.73N/AN/A17,76810,122210,668212,022
2011-02-08$41.81$40.8526.3%8.4%31.2%1.4%29.3%2.1%2.7%2.7M-317.5M-2.6M0.944.61N/AN/A9,2318,634212,600213,998
2011-02-09$41.24$40.8524.0%8.5%31.5%0.0%29.8%1.3%3.3%2.8M-268.7M-2.6M0.904.98N/AN/A8,3717,496214,587216,840
2011-02-10$41.14$40.8530.2%8.7%31.4%14.6%30.4%1.5%2.7%2.6M-249.0M-2.6M3.224.32N/AN/A5,31117,085215,481218,833
2011-02-11$41.74$40.8529.4%8.4%29.1%12.7%29.7%1.7%2.6%1.4M-298.1M-2.5M0.663.96N/AN/A11,1667,391215,161229,951
2011-02-14$42.27$40.8529.0%8.3%29.0%11.7%29.5%0.6%2.5%1.8M-361.5M-2.5M0.544.35N/AN/A20,09610,759216,578232,201
2011-02-15$41.81$40.8529.2%8.4%29.0%12.2%29.7%1.0%3.5%2.1M-315.6M-2.5M0.475.22N/AN/A9,8094,561219,146236,169
2011-02-16$42.27$40.8528.2%8.1%28.5%9.9%28.7%0.9%2.6%2.6M-358.9M-2.5M0.434.58N/AN/A10,1224,355222,387237,092
2011-02-17$42.10$40.8527.8%8.0%28.4%8.8%29.0%1.1%3.5%2.5M-342.3M-2.5M0.684.13N/AN/A6,8534,674221,946237,763
2011-02-18$41.52$40.8527.5%7.9%28.6%8.1%27.0%2.4%4.4%3.2M-308.7M-2.5M2.303.55N/AN/A12,31728,286221,898238,047
2011-02-22$39.75$43.2531.2%9.0%30.3%17.0%31.5%1.8%3.1%1.7M-117.7M-2.5M0.675.37N/AN/A19,35212,876185,923189,729
2011-02-23$39.51$43.2532.6%9.3%30.0%20.0%32.1%2.5%2.8%1.8M-93.5M-2.6M0.594.02N/AN/A20,19611,943190,685195,753
2011-02-24$39.77$43.2531.0%8.9%29.1%16.4%32.0%3.4%3.5%2.2M-113.4M-2.7M0.623.87N/AN/A10,7926,695197,829200,612
2011-02-25$40.08$43.2528.1%8.1%29.1%9.6%28.8%2.6%4.3%2.8M-125.4M-2.6M0.443.87N/AN/A6,7852,959198,906199,473
2011-02-28$40.49$43.2528.3%8.1%28.1%9.9%29.1%3.0%4.5%3.0M-155.4M-2.5M0.414.03N/AN/A11,2254,615200,487199,054