AA Options History — April 2011

In April 2011, AA traded between $38.76 and $43.57. ATM implied volatility averaged 31.7%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 3.3% (HV 20d: 28.3%). Max pain ranged from $40.85 to $43.25. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.81.

Notable Days

  • 2011-04-13: Highest Volume — 88,582 contracts
  • 2011-04-12: Largest IV drop — 53.1% change
  • 2011-04-11: Highest IV Rank — 72.9%
  • 2011-04-01: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.18$38.76$43.57$41.98$40.85
Max Pain$41.45$40.85$43.25$40.85$40.85
ATM IV31.7%23.8%55.0%35.5%24.3%
Expected Move8.2%6.8%10.2%10.2%7.0%
HV 20d28.3%21.6%32.9%26.3%29.7%
HV 60d29.0%27.3%30.5%28.0%27.3%
IV Rank18.1%0.0%72.9%26.9%1.3%
IV Percentile28.1%0.0%96.4%57.9%1.2%
Term Structure1.1%-4.0%4.5%-4.0%2.1%
VWIV28.9%24.2%35.6%35.6%25.4%
Skew 25d1.4%0.5%2.9%0.5%1.8%
Skew 10d2.4%0.5%5.1%2.0%2.3%
Call IV 25d28.6%23.8%36.0%36.0%24.8%
Put IV 25d30.0%26.3%36.4%36.4%26.6%
Bid-Ask Spread %3.262.554.292.773.87
Gamma HHI0.200.150.250.200.20
Net GEX471.5K-3.3M5.1M4.7M103.3K
Net DEX-123.4M-430.6M106.9M-308.6M-41.6M
Net VEX-2.8M-3.0M-2.6M-2.9M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.273.050.360.40
Total Volume32,025.67,04388,58219,3017,753
Total OI486,324.4397,659577,592488,457453,605

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$41.98$40.8535.5%10.2%26.3%26.9%35.6%0.5%-4.0%4.7M-308.6M-2.9M0.362.77N/AN/A14,1725,129253,949234,508
2011-04-04$42.20$40.8536.2%8.9%25.0%28.5%31.4%1.2%0.4%5.1M-322.3M-2.9M0.882.86N/AN/A9,0067,934256,115236,697
2011-04-05$43.37$40.8538.4%9.3%26.1%33.7%32.9%1.2%-0.4%4.8M-425.9M-2.9M0.722.92N/AN/A21,36515,401255,705243,040
2011-04-06$43.57$40.8541.0%9.3%25.4%39.9%32.3%1.7%-0.9%4.4M-430.6M-2.9M0.564.02N/AN/A24,75213,743260,768249,971
2011-04-07$43.54$40.8544.8%9.4%21.6%48.9%32.9%1.8%-0.9%3.1M-408.0M-3.0M0.912.96N/AN/A18,13716,586257,815256,476
2011-04-08$43.06$40.8549.1%10.0%22.3%58.9%35.0%1.2%-2.3%2.3M-347.0M-3.0M0.422.55N/AN/A38,27716,160261,371266,362
2011-04-11$42.70$40.8555.0%9.8%22.8%72.9%34.4%1.8%-1.4%2.3M-293.2M-3.0M1.044.29N/AN/A29,65330,831266,202272,010
2011-04-12$40.13$40.8525.8%7.9%32.9%4.2%28.3%0.9%3.7%-1.6M43.3M-2.6M0.713.69N/AN/A46,78933,434275,632284,300
2011-04-13$39.77$40.8527.3%7.9%31.7%7.6%27.8%0.9%3.6%-122.9K27.3M-2.6M3.053.71N/AN/A21,86066,722278,084275,165
2011-04-14$39.77$43.2527.6%7.9%30.8%8.4%27.9%0.9%3.2%-2.0M50.9M-2.7M1.243.43N/AN/A11,72914,592282,051290,945
2011-04-15$39.70$43.2525.4%7.3%30.8%3.3%26.1%1.3%4.5%-1.7M62.8M-2.8M1.142.92N/AN/A9,69011,090285,291292,301
2011-04-18$38.76$43.2527.9%8.0%30.4%9.0%28.0%1.4%1.3%-2.5M106.9M-2.7M0.953.93N/AN/A15,12214,412181,261216,398
2011-04-19$39.51$43.2526.5%7.6%31.2%5.8%26.2%2.9%1.4%-3.3M62.6M-2.8M0.862.88N/AN/A9,3538,026185,644224,497
2011-04-20$39.99$43.2524.5%7.0%29.5%1.2%25.1%1.7%2.2%-3.3M34.1M-2.8M0.412.81N/AN/A23,3919,576188,463226,375
2011-04-21$40.78$40.8523.8%6.8%30.2%0.0%24.2%2.6%2.7%-2.4M-33.0M-2.9M0.272.77N/AN/A16,7544,447199,283230,345
2011-04-25$40.59$40.8526.7%7.7%30.2%6.9%28.1%0.8%0.9%-1.1M-32.7M-2.9M0.423.32N/AN/A15,7346,618207,332232,005
2011-04-26$40.92$40.8524.5%7.0%30.2%1.7%25.3%0.5%2.0%-35.9K-58.7M-2.9M0.732.78N/AN/A8,3136,101213,115232,638
2011-04-27$41.28$40.8524.8%7.1%29.9%2.4%25.5%2.3%2.1%563.2K-89.2M-2.9M0.673.13N/AN/A6,4894,328214,551234,235
2011-04-28$41.07$40.8524.3%7.0%29.7%1.2%25.0%1.1%2.0%192.3K-64.3M-2.9M0.453.57N/AN/A4,8492,194215,532236,451
2011-04-29$40.85$40.8524.3%7.0%29.7%1.3%25.4%1.8%2.1%103.3K-41.6M-2.8M0.403.87N/AN/A5,5182,235216,659236,946