AA Options History — March 2011 In March 2011, AA traded between $37.61 and $42.44. ATM implied volatility averaged 33.6%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 4.6% (HV 20d: 29.0%). Max pain ranged from $38.45 to $43.25. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.86.
Notable Days 2011-03-15 : Highest Volume — 36,791 contracts2011-03-10 : Largest IV spike — 18.6% change2011-03-16 : Highest IV Rank — 41.6%2011-03-16 : Largest Expected Move — 12.0%Monthly Statistics Metric Avg Min Max Open Close Price $39.76 $37.61 $42.44 $39.00 $42.44 Max Pain $39.70 $38.45 $43.25 $43.25 $40.85 ATM IV 33.6% 27.8% 41.7% 31.5% 35.9% Expected Move 9.9% 8.0% 12.0% 9.0% 10.3% HV 20d 29.0% 24.5% 32.8% 29.8% 25.9% HV 60d 28.7% 27.4% 29.7% 27.4% 27.9% IV Rank 22.5% 8.9% 41.6% 17.6% 28.0% IV Percentile 42.9% 5.2% 75.4% 33.3% 59.9% Term Structure -0.6% -4.1% 5.3% 3.8% -4.1% VWIV 34.7% 28.6% 41.9% 31.5% 36.4% Skew 25d 2.5% 0.5% 4.1% 1.9% 0.5% Skew 10d 5.4% 1.9% 8.1% 4.7% 2.0% Call IV 25d 33.9% 27.6% 41.1% 31.2% 36.6% Put IV 25d 36.5% 29.8% 45.2% 33.0% 37.0% Bid-Ask Spread % 3.78 2.70 5.93 3.85 3.72 Gamma HHI 0.16 0.12 0.26 0.14 0.19 Net GEX 3.4M -1.8M 5.1M 2.8M 4.7M Net DEX -165.1M -363.5M -19.7M -71.1M -356.0M Net VEX -2.7M -2.9M -2.5M -2.5M -2.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.86 0.23 2.89 0.30 0.81 Total Volume 21,171.348 5,991 36,791 36,752 22,336 Total OI 447,698.174 404,635 479,283 404,635 479,283
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2011-03-01 $39.00 $43.25 31.5% 9.0% 29.8% 17.6% 31.5% 1.9% 3.8% 2.8M -71.1M -2.5M 0.30 3.85 N/A N/A 28,325 8,427 204,600 200,035 2011-03-02 $38.88 $43.25 30.7% 8.8% 24.5% 15.8% 30.7% 2.2% 5.2% 3.0M -75.9M -2.7M 0.42 3.89 N/A N/A 17,075 7,181 215,777 203,537 2011-03-03 $39.96 $40.85 27.9% 8.0% 26.8% 9.1% 28.6% 2.2% 5.3% 4.4M -176.3M -2.8M 0.42 4.14 N/A N/A 10,805 4,572 228,459 205,859 2011-03-04 $39.82 $38.45 27.8% 9.7% 26.8% 8.9% 35.2% 3.2% 0.5% 4.6M -179.1M -2.8M 0.43 4.67 N/A N/A 8,398 3,581 233,572 203,800 2011-03-07 $39.05 $38.45 32.5% 10.5% 27.5% 20.0% 38.1% 2.9% -1.1% 4.4M -123.6M -2.8M 1.02 3.00 N/A N/A 11,757 11,946 236,524 204,373 2011-03-08 $39.63 $38.45 30.6% 10.3% 27.8% 15.4% 36.0% 3.6% -0.8% 5.1M -164.0M -2.8M 0.36 4.49 N/A N/A 4,395 1,596 240,797 206,643 2011-03-09 $39.17 $38.45 31.5% 10.4% 27.9% 17.6% 36.4% 1.1% -1.3% 4.8M -142.8M -2.7M 0.23 5.04 N/A N/A 23,390 5,300 240,940 201,124 2011-03-10 $37.97 $38.45 37.4% 10.7% 29.4% 31.3% 37.7% 1.4% -0.9% 3.9M -70.8M -2.7M 0.75 3.36 N/A N/A 12,672 9,558 244,313 202,936 2011-03-11 $38.52 $38.45 36.4% 10.4% 30.1% 29.0% 36.8% 1.7% -1.1% 3.5M -89.0M -2.7M 0.97 3.75 N/A N/A 6,956 6,762 246,315 208,217 2011-03-14 $38.74 $38.45 38.3% 11.0% 29.6% 33.6% 39.6% 2.6% -2.0% 2.9M -97.8M -2.7M 0.56 3.84 N/A N/A 10,072 5,669 247,422 211,774 2011-03-15 $38.54 $38.45 38.7% 11.1% 29.0% 34.4% 38.1% 3.1% -2.1% 3.2M -93.4M -2.8M 2.22 3.53 N/A N/A 11,436 25,355 248,943 210,871 2011-03-16 $37.61 $38.45 41.7% 12.0% 29.8% 41.6% 41.9% 4.1% -3.2% 1.6M -19.7M -2.7M 2.89 5.93 N/A N/A 6,824 19,718 250,499 216,534 2011-03-17 $38.47 $38.45 38.8% 11.1% 30.9% 34.7% 36.8% 3.7% -1.8% 303.8K -65.1M -2.8M 2.01 3.47 N/A N/A 6,818 13,730 249,879 221,819 2011-03-18 $38.71 $38.45 36.2% 10.4% 31.1% 28.5% 35.0% 2.9% -0.6% -1.8M -81.1M -2.7M 1.78 3.76 N/A N/A 9,055 16,089 249,499 225,762 2011-03-21 $39.77 $38.45 30.3% 8.7% 32.8% 14.6% 31.3% 3.7% -0.0% 3.8M -158.8M -2.7M 0.63 3.47 N/A N/A 12,529 7,845 218,618 201,603 2011-03-22 $39.53 $38.45 32.4% 9.3% 28.9% 19.7% 31.4% 2.8% -1.0% 4.0M -148.0M -2.7M 1.16 3.24 N/A N/A 4,313 4,989 223,089 205,896 2011-03-23 $40.73 $40.85 30.6% 8.8% 30.7% 15.5% 31.6% 3.3% -0.3% 3.6M -218.1M -2.8M 0.91 3.62 N/A N/A 12,645 11,558 224,390 208,958 2011-03-24 $41.12 $40.85 32.5% 9.3% 30.8% 19.9% 33.2% 2.1% -1.9% 3.0M -254.9M -2.8M 0.49 2.77 N/A N/A 12,533 6,094 228,407 215,186 2011-03-25 $41.07 $40.85 31.0% 8.9% 30.8% 16.5% 31.8% 3.1% -0.3% 3.3M -246.1M -2.8M 0.36 2.70 N/A N/A 7,794 2,789 232,009 216,660 2011-03-28 $41.43 $40.85 31.9% 9.1% 30.7% 18.5% 32.7% 1.8% -1.0% 3.6M -277.2M -2.8M 0.40 3.74 N/A N/A 12,476 4,978 235,527 217,358 2011-03-29 $42.03 $40.85 34.2% 9.8% 27.4% 23.8% 33.7% 2.6% -1.8% 3.7M -324.0M -2.8M 0.27 3.44 N/A N/A 16,539 4,411 239,732 219,290 2011-03-30 $42.39 $40.85 34.3% 9.8% 27.3% 24.2% 33.8% 1.4% -2.6% 4.6M -363.5M -2.8M 0.51 3.49 N/A N/A 23,639 12,011 248,780 221,449 2011-03-31 $42.44 $40.85 35.9% 10.3% 25.9% 28.0% 36.4% 0.5% -4.1% 4.7M -356.0M -2.9M 0.81 3.72 N/A N/A 12,358 9,978 251,362 227,921
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