AA Options History — September 2011

In September 2011, AA traded between $23.00 and $30.01. ATM implied volatility averaged 53.4%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded above realized volatility by 3.1% (HV 20d: 50.2%). Max pain ranged from $28.84 to $36.05. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.56.

Notable Days

  • 2011-09-16: Highest Volume — 39,154 contracts
  • 2011-09-06: Largest IV spike — 40.5% change
  • 2011-09-23: Highest IV Rank — 52.4%
  • 2011-09-30: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.94$23.00$30.01$30.01$23.00
Max Pain$33.87$28.84$36.05$28.84$33.64
ATM IV53.4%41.2%63.7%45.4%61.3%
Expected Move15.5%12.8%18.7%13.0%18.7%
HV 20d50.2%42.0%73.2%72.2%47.5%
HV 60d52.3%50.4%54.9%50.4%54.9%
IV Rank38.8%22.9%52.4%28.3%49.1%
IV Percentile93.3%87.3%98.8%89.7%96.0%
Term Structure-2.3%-5.1%3.8%1.5%-3.2%
VWIV54.5%45.0%66.7%45.0%66.7%
Skew 25d7.0%2.6%9.7%3.3%9.2%
Skew 10d13.5%5.8%18.0%8.1%17.3%
Call IV 25d52.8%45.4%65.3%45.4%65.3%
Put IV 25d59.7%48.7%74.5%48.7%74.5%
Bid-Ask Spread %3.922.567.223.442.79
Gamma HHI0.170.120.580.150.13
Net GEX2.1M194.1K11.0M3.5M194.1K
Net DEX228.4M154.0M268.8M154.0M268.8M
Net VEX-1.6M-2.0M-1.3M-2.0M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.131.530.190.48
Total Volume16,704.9526,86939,15410,01012,865
Total OI484,443.667450,507518,071488,563477,466

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$30.01$28.8445.4%13.0%72.2%28.3%45.0%3.3%1.5%3.5M154.0M-2.0M0.193.44N/AN/A8,4141,596277,719210,844
2011-09-02$28.93$28.8441.2%12.8%73.2%22.9%45.5%4.1%3.8%4.1M192.2M-1.9M0.353.44N/AN/A11,2073,979279,722211,046
2011-09-06$28.28$36.0557.9%15.0%59.1%44.7%54.3%7.8%-5.1%2.2M209.1M-1.9M0.727.22N/AN/A7,8615,639284,196211,305
2011-09-07$29.44$36.0546.4%14.2%54.1%29.7%48.2%7.1%-4.5%3.3M177.8M-1.9M1.534.30N/AN/A4,3876,710286,335213,034
2011-09-08$28.91$36.0547.4%14.3%50.8%31.0%49.6%7.4%-4.3%2.7M194.9M-1.9M0.575.49N/AN/A4,8842,763286,702213,199
2011-09-09$27.83$36.0555.6%15.8%48.6%41.7%56.5%8.3%-3.0%1.6M217.3M-1.8M0.534.08N/AN/A7,7324,071287,909213,467
2011-09-12$27.75$36.0556.0%16.0%48.6%42.3%57.3%8.9%-3.0%1.6M221.0M-1.8M0.573.32N/AN/A7,1714,096289,127213,362
2011-09-13$27.95$36.0547.7%14.8%47.7%31.4%54.4%9.7%-0.1%1.7M234.8M-1.7M0.673.39N/AN/A15,07210,031291,169213,524
2011-09-14$28.19$33.6445.6%15.1%47.3%28.6%53.6%9.3%-1.1%2.3M219.0M-1.8M0.294.18N/AN/A11,2073,303296,705216,452
2011-09-15$28.79$33.6449.6%14.2%48.0%33.8%49.1%8.6%-3.3%4.0M198.7M-1.8M0.424.03N/AN/A4,8402,029300,811216,473
2011-09-16$28.76$33.6449.1%14.1%42.0%33.2%48.8%5.8%-3.5%11.0M199.6M-1.8M0.133.68N/AN/A34,5684,586301,637216,434
2011-09-19$27.83$33.6447.9%13.7%42.7%31.5%49.6%5.6%-1.4%1.7M232.0M-1.6M0.152.61N/AN/A28,9684,241253,261202,186
2011-09-20$27.03$33.6449.8%14.3%44.0%34.1%47.8%5.2%-1.9%946.4K251.4M-1.5M0.742.56N/AN/A13,57710,002246,076204,431
2011-09-21$26.05$33.6449.4%14.2%43.4%33.6%50.9%2.6%-0.9%392.0K259.6M-1.5M0.784.89N/AN/A7,1915,612254,100205,039
2011-09-22$24.29$33.6462.3%17.8%48.6%50.4%62.4%4.8%-3.3%389.8K266.6M-1.3M0.774.01N/AN/A17,07713,132256,806203,844
2011-09-23$24.20$33.6463.7%18.3%48.2%52.4%63.5%7.5%-2.9%441.5K263.0M-1.3M1.073.84N/AN/A9,3259,950259,906205,888
2011-09-26$25.11$33.6461.8%17.7%49.6%49.8%60.3%7.6%-3.8%579.9K256.5M-1.4M0.533.34N/AN/A7,0993,790258,838205,634
2011-09-27$25.18$33.6459.7%17.1%45.8%47.0%57.0%8.0%-3.0%760.5K253.0M-1.4M0.373.17N/AN/A11,3604,167261,248206,387
2011-09-28$23.93$33.6461.7%17.7%48.1%49.7%62.2%6.9%-3.6%417.8K266.1M-1.3M0.423.90N/AN/A8,6733,668263,684206,372
2011-09-29$24.17$33.6461.7%17.7%45.7%49.6%61.9%9.2%-2.2%401.5K259.8M-1.3M0.474.62N/AN/A9,4884,473265,556205,423
2011-09-30$23.00$33.6461.3%18.7%47.5%49.1%66.7%9.2%-3.2%194.1K268.8M-1.3M0.482.79N/AN/A8,6994,166270,662206,804