AA Options History — July 2011

In July 2011, AA traded between $35.40 and $39.63. ATM implied volatility averaged 32.9%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 6.6% (HV 20d: 26.3%). Max pain ranged from $38.45 to $40.85. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.71.

Notable Days

2011-07-11: Highest Volume — 77,534 contracts
2011-07-11: Largest IV spike — 47.8% change
2011-07-11: Highest IV Rank — 81.1%
2011-07-11: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.67	$35.40	$39.63	$39.19	$35.40
Max Pain	$38.57	$38.45	$40.85	$40.85	$38.45
ATM IV	32.9%	27.8%	58.5%	32.1%	33.8%
Expected Move	8.9%	8.0%	10.1%	9.2%	9.7%
HV 20d	26.3%	24.0%	27.8%	27.3%	26.5%
HV 60d	27.1%	26.0%	28.9%	28.7%	26.9%
IV Rank	23.8%	11.8%	81.1%	19.6%	28.8%
IV Percentile	44.2%	11.5%	99.6%	46.8%	66.3%
Term Structure	0.4%	-1.6%	3.3%	-1.6%	-0.8%
VWIV	31.3%	28.6%	35.7%	32.0%	35.2%
Skew 25d	1.8%	-0.9%	5.4%	5.4%	0.9%
Skew 10d	3.7%	-1.3%	10.4%	8.7%	1.5%
Call IV 25d	30.9%	28.7%	35.0%	29.7%	35.0%
Put IV 25d	32.7%	29.1%	38.1%	35.1%	35.9%
Bid-Ask Spread %	4.33	2.91	5.61	2.91	5.46
Gamma HHI	0.21	0.15	0.28	0.22	0.15
Net GEX	5.2M	896.0K	10.0M	6.0M	1.6M
Net DEX	104.2M	-28.2M	266.9M	35.9M	198.8M
Net VEX	-2.9M	-3.0M	-2.7M	-3.0M	-2.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.17	3.46	0.21	0.31
Total Volume	26,745.55	4,216	77,534	19,369	12,683
Total OI	528,139.15	441,678	614,738	552,518	494,716

Daily Data (20 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
2011-07-01	$39.19	$40.85	32.1%	9.2%	27.3%	19.6%	32.0%	5.4%	-1.6%	6.0M	35.9M	-3.0M	0.21	2.91	N/A	N/A	15,971	3,398	267,839	284,679
2011-07-05	$39.39	$38.45	34.2%	9.2%	26.1%	24.4%	30.0%	5.2%	0.5%	7.1M	4.9M	-2.9M	0.61	4.65	N/A	N/A	26,375	16,049	273,491	285,015
2011-07-06	$39.02	$38.45	34.6%	9.1%	26.4%	25.4%	31.6%	4.2%	0.6%	8.2M	36.3M	-3.0M	0.24	4.88	N/A	N/A	10,270	2,432	283,164	289,131
2011-07-07	$39.63	$38.45	35.4%	9.0%	25.8%	27.1%	30.7%	4.7%	0.8%	8.6M	-28.2M	-3.0M	0.26	4.94	N/A	N/A	22,645	5,939	280,099	282,501
2011-07-08	$39.36	$38.45	39.6%	9.3%	26.0%	36.9%	31.7%	3.5%	0.1%	8.2M	-6.3M	-2.9M	0.40	4.87	N/A	N/A	24,134	9,685	283,529	284,121
2011-07-11	$38.23	$38.45	58.5%	10.1%	27.8%	81.1%	35.7%	3.7%	-1.5%	6.0M	108.6M	-2.9M	0.61	4.60	N/A	N/A	48,271	29,263	287,991	287,708
2011-07-12	$37.75	$38.45	31.1%	8.9%	27.8%	21.3%	31.5%	1.1%	0.6%	6.8M	174.6M	-2.8M	0.46	3.98	N/A	N/A	41,963	19,393	300,819	299,325
2011-07-13	$38.09	$38.45	27.8%	8.5%	27.1%	11.8%	30.5%	1.8%	1.5%	10.0M	118.7M	-2.9M	0.38	3.50	N/A	N/A	16,126	6,149	307,759	294,363
2011-07-14	$37.15	$38.45	31.1%	8.9%	26.4%	21.3%	31.0%	2.3%	2.7%	3.6M	224.4M	-2.8M	3.46	5.44	N/A	N/A	9,162	31,712	306,551	297,618
2011-07-15	$37.20	$38.45	29.8%	8.5%	26.0%	17.4%	30.4%	1.9%	3.3%	3.0M	266.9M	-2.8M	2.49	3.82	N/A	N/A	12,643	31,511	305,306	309,432
2011-07-18	$36.45	$38.45	30.5%	8.7%	27.1%	19.4%	31.5%	1.3%	1.6%	896.0K	153.7M	-2.7M	0.72	3.12	N/A	N/A	14,628	10,592	209,167	232,511
2011-07-19	$37.10	$38.45	30.9%	8.8%	27.7%	20.5%	30.8%	0.7%	0.5%	2.2M	112.7M	-2.8M	0.17	3.83	N/A	N/A	23,628	3,905	216,454	236,180
2011-07-20	$37.27	$38.45	29.3%	8.4%	24.0%	16.0%	29.7%	0.1%	0.4%	3.9M	98.4M	-2.9M	0.20	5.61	N/A	N/A	22,146	4,482	227,396	237,965
2011-07-21	$37.90	$38.45	29.1%	8.4%	24.6%	15.5%	29.7%	0.9%	-0.2%	5.8M	43.5M	-3.0M	0.38	3.47	N/A	N/A	9,166	3,467	237,225	238,367
2011-07-22	$38.04	$38.45	28.0%	8.0%	24.6%	12.2%	28.6%	-0.2%	0.1%	6.3M	30.2M	-3.0M	0.31	3.68	N/A	N/A	3,228	988	239,206	239,370
2011-07-25	$37.61	$38.45	29.4%	8.4%	25.0%	16.2%	30.7%	-0.9%	-0.6%	5.8M	61.2M	-2.9M	0.45	4.31	N/A	N/A	6,811	3,032	240,365	239,697
2011-07-26	$37.20	$38.45	29.3%	8.4%	25.4%	16.0%	29.8%	0.1%	0.3%	5.3M	83.6M	-2.8M	0.62	4.25	N/A	N/A	4,994	3,094	244,998	240,087
2011-07-27	$35.88	$38.45	31.6%	9.1%	27.0%	22.6%	32.3%	0.5%	0.1%	2.3M	173.7M	-2.8M	0.76	4.09	N/A	N/A	8,559	6,486	245,883	242,293
2011-07-28	$35.64	$38.45	31.4%	9.0%	26.5%	21.9%	32.4%	-0.1%	0.1%	1.6M	191.8M	-2.7M	1.12	5.17	N/A	N/A	4,679	5,252	247,186	243,276
2011-07-29	$35.40	$38.45	33.8%	9.7%	26.5%	28.8%	35.2%	0.9%	-0.8%	1.6M	198.8M	-2.7M	0.31	5.46	N/A	N/A	9,697	2,986	249,325	245,391