AA Options History — May 2011

In May 2011, AA traded between $38.40 and $42.46. ATM implied volatility averaged 32.7%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 5.2% (HV 20d: 27.5%). Max pain ranged from $40.85 to $43.25. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2011-05-03: Highest Volume — 187,233 contracts
  • 2011-05-03: Largest IV spike — 57.2% change
  • 2011-05-05: Highest IV Rank — 41.4%
  • 2011-05-05: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.50$38.40$42.46$41.38$40.39
Max Pain$41.08$40.85$43.25$40.85$40.85
ATM IV32.7%25.9%41.5%25.9%27.3%
Expected Move9.3%7.4%11.9%7.4%7.8%
HV 20d27.5%24.8%32.4%30.0%27.1%
HV 60d28.3%27.2%29.4%27.4%27.5%
IV Rank20.9%5.0%41.4%5.0%8.4%
IV Percentile43.4%4.0%78.2%4.0%7.9%
Term Structure0.3%-5.0%3.8%1.2%2.9%
VWIV33.9%26.0%45.0%26.0%28.3%
Skew 25d-1.4%-14.4%1.9%1.7%-0.4%
Skew 10d-2.6%-24.5%4.2%1.8%-1.0%
Call IV 25d34.8%25.9%48.6%25.9%29.5%
Put IV 25d33.4%27.6%40.5%27.6%29.1%
Bid-Ask Spread %5.563.428.983.464.50
Gamma HHI0.200.160.270.190.22
Net GEX-1.1M-5.4M3.5M729.3K-1.6M
Net DEX-4.9M-220.1M169.6M-102.1M17.0M
Net VEX-3.1M-3.4M-2.8M-2.8M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.162.840.860.40
Total Volume32,604.2868,924187,23323,92311,051
Total OI544,400.286455,204592,012455,204526,417

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$41.38$40.8525.9%7.4%30.0%5.0%26.0%1.7%1.2%729.3K-102.1M-2.8M0.863.46N/AN/A12,89411,029217,698237,506
2011-05-03$42.46$40.8540.7%11.7%31.4%39.6%45.0%-14.4%-3.5%1.0M-220.1M-3.0M0.255.54N/AN/A150,19137,042221,177240,474
2011-05-04$41.98$40.8532.9%9.4%29.9%21.3%40.2%-13.9%-2.4%3.5M-192.9M-3.4M0.364.36N/AN/A46,91116,707282,061259,939
2011-05-05$40.88$40.8541.5%11.9%31.1%41.4%44.3%-8.1%-5.0%1.6M-95.0M-3.4M1.117.33N/AN/A26,29629,208292,222265,418
2011-05-06$41.21$40.8533.6%10.0%31.4%23.0%36.0%0.7%-0.7%965.4K-92.2M-3.3M1.295.64N/AN/A10,02612,889291,211270,951
2011-05-09$42.12$40.8535.0%9.6%32.4%26.2%34.7%-0.3%-0.7%2.5M-174.1M-3.3M0.417.07N/AN/A10,1744,194290,858276,263
2011-05-10$42.10$40.8534.9%9.6%32.2%26.1%35.4%-0.3%-0.9%2.2M-180.1M-3.3M0.258.98N/AN/A14,1843,532291,928278,453
2011-05-11$40.97$40.8533.5%9.5%25.0%22.7%34.5%-0.9%0.5%-287.6K-55.1M-3.3M0.495.78N/AN/A8,5544,190300,742279,020
2011-05-12$41.21$40.8532.5%9.3%24.8%20.4%33.3%-0.4%0.1%358.8K-72.1M-3.3M0.486.94N/AN/A6,0202,904301,246281,089
2011-05-13$41.09$40.8533.2%9.5%24.8%22.2%33.7%-1.4%0.0%269.9K-63.3M-3.3M1.947.52N/AN/A7,43914,467302,084281,261
2011-05-16$40.66$40.8533.4%9.6%25.2%22.4%34.2%0.8%-0.2%-497.8K-3.9M-3.1M0.748.70N/AN/A10,0897,456304,794277,116
2011-05-17$39.53$40.8535.8%10.3%25.8%28.2%35.9%1.8%-0.6%-4.6M132.6M-3.0M1.345.09N/AN/A16,99322,850304,519280,519
2011-05-18$40.11$40.8533.0%9.4%25.4%21.5%33.3%1.9%0.5%-2.2M72.2M-3.1M2.373.94N/AN/A9,00021,356304,447278,996
2011-05-19$40.06$40.8531.2%8.9%25.0%17.4%31.7%1.8%1.0%-2.3M90.5M-3.0M2.845.79N/AN/A6,76419,238304,690283,778
2011-05-20$39.07$43.2533.3%9.6%25.4%22.4%33.4%0.2%0.4%-5.4M169.6M-2.9M1.665.28N/AN/A14,31823,799305,848286,164
2011-05-23$38.40$43.2531.7%9.1%26.0%18.6%32.9%-0.1%1.8%-3.3M158.2M-2.9M1.454.26N/AN/A11,00615,923236,921248,306
2011-05-24$38.71$40.8531.3%9.0%26.0%17.7%31.7%0.7%2.0%-4.1M161.9M-2.9M0.344.05N/AN/A8,8863,057240,649257,654
2011-05-25$39.24$40.8530.1%8.6%26.3%14.8%30.8%1.8%2.0%-4.1M131.8M-2.9M0.784.32N/AN/A9,7647,633244,754257,989
2011-05-26$39.34$40.8528.7%8.2%26.3%11.6%28.7%0.5%3.4%-4.0M118.9M-3.0M1.864.80N/AN/A8,36015,568247,397261,783
2011-05-27$39.60$40.8527.0%7.7%26.5%7.5%27.1%-0.7%3.8%-4.0M95.9M-3.0M0.163.42N/AN/A10,9791,749249,558268,506
2011-05-31$40.39$40.8527.3%7.8%27.1%8.4%28.3%-0.4%2.9%-1.6M17.0M-3.0M0.404.50N/AN/A7,8843,167259,150267,267