AA Options History — August 2011

In August 2011, AA traded between $26.94 and $35.44. ATM implied volatility averaged 54.1%, placing in the 46.1% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded below realized volatility by 9.4% (HV 20d: 63.5%). Max pain ranged from $28.84 to $38.45. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 0.64.

Notable Days

2011-08-12: Highest Volume — 83,530 contracts
2011-08-08: Largest IV spike — 89.1% change
2011-08-08: Highest IV Rank — 100.0%
2011-08-08: Largest Expected Move — 18.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.69	$26.94	$35.44	$35.44	$30.76
Max Pain	$32.39	$28.84	$38.45	$38.45	$28.84
ATM IV	54.1%	33.3%	100.2%	33.3%	52.5%
Expected Move	14.4%	9.5%	18.7%	9.5%	12.5%
HV 20d	63.5%	23.8%	79.5%	23.8%	79.5%
HV 60d	43.5%	26.5%	50.3%	26.5%	50.3%
IV Rank	46.1%	27.4%	100.0%	27.4%	37.6%
IV Percentile	93.5%	61.5%	100.0%	61.5%	94.8%
Term Structure	-1.6%	-5.6%	1.1%	-0.5%	0.3%
VWIV	51.1%	34.5%	63.2%	34.5%	45.6%
Skew 25d	7.2%	0.9%	11.1%	0.9%	3.6%
Skew 10d	14.5%	0.7%	23.1%	0.7%	10.4%
Call IV 25d	48.7%	34.5%	61.0%	34.5%	44.3%
Put IV 25d	55.9%	35.4%	70.3%	35.4%	48.0%
Bid-Ask Spread %	5.14	3.48	12.88	5.38	3.78
Gamma HHI	0.12	0.10	0.17	0.16	0.17
Net GEX	847.6K	-1.1M	3.9M	1.7M	3.9M
Net DEX	252.1M	123.8M	366.7M	197.4M	123.8M
Net VEX	-2.1M	-2.7M	-1.7M	-2.7M	-2.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.25	1.81	0.55	0.34
Total Volume	22,141.348	5,650	83,530	6,295	14,476
Total OI	505,372.739	457,862	538,925	499,939	487,244

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
2011-08-01	$35.44	$38.45	33.3%	9.5%	23.8%	27.4%	34.5%	0.9%	-0.5%	1.7M	197.4M	-2.7M	0.55	5.38	N/A	N/A	4,050	2,245	253,949	245,990
2011-08-02	$34.03	$38.45	37.0%	10.6%	26.6%	38.0%	37.1%	2.6%	-1.3%	-157.8K	269.1M	-2.5M	0.94	5.66	N/A	N/A	6,086	5,729	255,348	246,629
2011-08-03	$34.27	$38.45	36.1%	10.4%	27.1%	35.7%	36.9%	2.6%	-0.1%	-790.0K	260.9M	-2.6M	0.35	3.57	N/A	N/A	14,664	5,137	255,286	249,720
2011-08-04	$31.09	$38.45	52.7%	14.8%	41.0%	83.4%	52.5%	2.8%	-4.2%	-824.1K	337.6M	-2.3M	0.69	6.40	N/A	N/A	23,457	16,075	261,615	248,678
2011-08-05	$30.73	$36.05	52.9%	13.5%	40.9%	84.1%	47.5%	5.9%	-0.9%	-1.1M	335.1M	-2.2M	1.81	7.63	N/A	N/A	13,228	23,933	262,714	247,057
2011-08-08	$27.23	$36.05	100.2%	18.7%	56.1%	100.0%	63.1%	9.3%	-5.6%	-871.0K	366.7M	-1.9M	1.14	5.38	N/A	N/A	18,798	21,504	269,067	247,556
2011-08-09	$29.41	$33.64	75.1%	15.6%	65.4%	67.2%	54.9%	7.5%	-1.5%	-782.9K	317.1M	-2.1M	0.95	12.88	N/A	N/A	12,848	12,222	273,001	240,569
2011-08-10	$27.87	$33.64	65.1%	17.1%	66.4%	54.1%	61.1%	10.4%	-4.4%	-577.9K	330.3M	-1.9M	0.82	7.64	N/A	N/A	7,946	6,514	277,984	238,909
2011-08-11	$29.44	$33.64	62.4%	17.9%	70.8%	50.6%	63.2%	10.0%	-2.9%	-494.4K	279.9M	-2.2M	0.39	4.97	N/A	N/A	28,787	11,265	279,828	237,774
2011-08-12	$29.46	$31.24	57.5%	16.5%	70.8%	44.2%	60.0%	9.2%	-3.1%	-33.1K	266.3M	-2.2M	1.08	4.42	N/A	N/A	40,067	43,463	295,328	242,989
2011-08-15	$30.18	$31.24	46.4%	13.3%	71.8%	29.6%	51.9%	8.5%	0.4%	1.2M	226.6M	-2.1M	0.37	3.77	N/A	N/A	11,012	4,062	303,567	228,010
2011-08-16	$29.46	$31.24	48.1%	13.8%	71.3%	31.9%	47.7%	8.6%	-0.3%	1.1M	255.2M	-2.0M	0.56	4.82	N/A	N/A	7,853	4,370	310,086	225,531
2011-08-17	$29.46	$31.24	46.9%	13.4%	71.1%	30.3%	45.9%	7.6%	0.7%	1.1M	242.8M	-2.0M	0.25	5.02	N/A	N/A	14,479	3,673	311,567	223,262
2011-08-18	$27.66	$31.24	57.4%	16.5%	72.5%	44.0%	59.4%	9.9%	-3.3%	743.0K	270.7M	-1.9M	0.64	5.07	N/A	N/A	8,472	5,456	311,678	223,227
2011-08-19	$26.94	$31.24	62.4%	17.9%	72.2%	50.5%	61.1%	11.1%	-4.8%	509.8K	292.1M	-1.7M	0.61	4.45	N/A	N/A	18,551	11,235	314,351	224,574
2011-08-22	$26.99	$28.84	58.8%	16.9%	72.5%	45.9%	58.5%	10.1%	-2.7%	956.7K	234.0M	-1.8M	0.66	3.57	N/A	N/A	13,446	8,900	254,559	203,303
2011-08-23	$28.07	$28.84	51.1%	14.7%	75.2%	35.8%	52.1%	8.2%	-1.5%	1.6M	219.5M	-1.9M	0.41	3.48	N/A	N/A	10,396	4,248	262,453	208,129
2011-08-24	$28.52	$28.84	48.9%	14.0%	75.5%	32.9%	50.9%	9.2%	-1.2%	2.2M	211.2M	-1.9M	0.44	4.43	N/A	N/A	6,639	2,893	267,609	207,250
2011-08-25	$27.85	$28.84	52.6%	15.1%	75.6%	37.8%	54.4%	8.7%	-2.8%	2.0M	212.2M	-1.9M	0.51	3.72	N/A	N/A	3,734	1,916	270,975	208,101
2011-08-26	$28.50	$28.84	45.6%	13.1%	76.6%	28.6%	48.3%	7.9%	1.1%	2.0M	204.1M	-2.0M	0.47	3.84	N/A	N/A	7,774	3,679	271,605	208,697
2011-08-29	$29.85	$28.84	50.3%	13.0%	79.1%	34.8%	43.8%	5.9%	0.0%	3.0M	171.5M	-2.0M	0.29	3.87	N/A	N/A	11,002	3,172	273,091	209,481
2011-08-30	$29.70	$28.84	51.5%	13.0%	78.2%	36.3%	45.2%	5.7%	0.9%	3.2M	173.8M	-2.0M	0.49	4.59	N/A	N/A	6,584	3,211	275,157	210,075
2011-08-31	$30.76	$28.84	52.5%	12.5%	79.5%	37.6%	45.6%	3.6%	0.3%	3.9M	123.8M	-2.2M	0.34	3.78	N/A	N/A	10,833	3,643	276,546	210,698