AA Options History — October 2011

In October 2011, AA traded between $21.39 and $27.80. ATM implied volatility averaged 60.9%, placing in the 48.3% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 0.4% (HV 20d: 60.5%). Max pain ranged from $24.03 to $33.64. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2011-10-12: Highest Volume — 76,218 contracts
  • 2011-10-31: Largest IV spike — 59.8% change
  • 2011-10-11: Highest IV Rank — 100.0%
  • 2011-10-03: Largest Expected Move — 21.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.28$21.39$27.80$21.39$25.86
Max Pain$25.63$24.03$33.64$33.64$24.03
ATM IV60.9%43.1%100.8%84.1%69.9%
Expected Move15.4%12.2%21.6%21.6%14.5%
HV 20d60.5%51.4%69.3%51.4%66.2%
HV 60d60.9%56.4%66.3%56.4%65.2%
IV Rank48.3%25.1%100.0%78.9%59.8%
IV Percentile88.6%75.0%100.0%99.6%96.8%
Term Structure-1.3%-5.4%1.5%-4.7%-2.5%
VWIV54.2%43.5%75.5%75.5%51.0%
Skew 25d6.2%-0.3%10.7%10.7%-0.3%
Skew 10d13.0%2.1%19.5%19.5%2.1%
Call IV 25d52.3%40.2%73.4%73.4%51.1%
Put IV 25d58.5%46.7%84.1%84.1%50.9%
Bid-Ask Spread %3.081.914.414.263.24
Gamma HHI0.200.120.370.120.23
Net GEX1.3M-38.1K2.3M-38.1K1.6M
Net DEX185.3M-6.0M273.2M273.2M84.4M
Net VEX-1.4M-1.7M-1.1M-1.1M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.151.840.381.08
Total Volume29,826.28610,16176,21829,38623,026
Total OI481,415.571367,192544,880473,679391,784

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$21.39$33.6484.1%21.6%51.4%78.9%75.5%10.7%-4.7%-38.1K273.2M-1.1M0.384.26N/AN/A21,3428,044269,352204,327
2011-10-04$21.92$33.6479.5%20.4%53.2%73.0%73.2%9.2%-3.5%37.7K267.2M-1.1M0.734.25N/AN/A18,46913,561277,016206,586
2011-10-05$22.52$31.2478.4%19.2%51.6%71.5%65.0%6.5%-3.1%227.7K260.4M-1.2M0.293.53N/AN/A9,8012,878282,687207,895
2011-10-06$23.74$31.2467.7%17.4%56.7%57.5%62.1%3.2%-1.8%1.1M229.2M-1.3M0.234.41N/AN/A60,02613,513278,434207,087
2011-10-07$23.33$24.0373.3%17.2%55.8%64.8%61.3%6.2%-1.8%897.9K226.1M-1.4M0.353.31N/AN/A16,4025,714300,187211,930
2011-10-10$24.25$24.0393.8%17.0%58.3%91.6%59.8%7.9%-2.5%1.2M216.2M-1.4M0.543.27N/AN/A16,9509,080299,637212,519
2011-10-11$24.75$24.03100.8%18.0%58.9%100.0%62.0%7.0%-5.4%1.3M204.3M-1.5M0.543.09N/AN/A40,52721,764304,795215,836
2011-10-12$24.15$24.0359.1%15.5%59.0%45.9%53.9%5.6%-1.7%576.9K236.8M-1.4M0.622.72N/AN/A46,97529,243313,804225,742
2011-10-13$24.27$24.0348.9%14.0%58.2%32.6%48.9%5.7%1.3%1.7M217.6M-1.4M1.191.91N/AN/A10,56212,554322,021221,296
2011-10-14$24.65$24.0346.5%13.3%58.8%29.5%46.3%6.1%1.5%1.8M198.9M-1.4M0.772.42N/AN/A13,60810,491323,171221,709
2011-10-17$23.02$24.0349.9%14.3%62.1%33.9%51.2%6.1%-0.6%852.9K257.3M-1.2M0.742.43N/AN/A10,0847,433312,385214,022
2011-10-18$24.37$24.0349.0%14.1%65.8%32.8%49.2%5.8%0.6%1.8M214.7M-1.4M0.342.36N/AN/A12,6904,268315,752216,161
2011-10-19$23.48$24.0350.8%14.6%65.8%35.1%50.9%6.7%0.3%1.4M240.9M-1.3M0.833.08N/AN/A5,5574,604317,843216,789
2011-10-20$23.91$24.0350.7%14.5%61.7%35.0%51.5%6.0%-0.1%2.2M232.1M-1.3M0.402.71N/AN/A9,9553,989319,439218,302
2011-10-21$24.58$24.0349.0%14.0%62.5%32.7%48.1%6.2%0.2%1.3M188.6M-1.4M0.382.12N/AN/A16,2116,185324,042218,528
2011-10-24$25.42$24.0343.9%12.6%62.2%26.2%44.7%5.9%-0.9%1.3M99.5M-1.4M0.152.71N/AN/A30,3574,423204,650162,542
2011-10-25$24.37$24.0346.9%13.4%64.1%30.0%47.0%5.9%-0.6%2.1M121.4M-1.4M0.613.06N/AN/A7,1264,333218,871164,135
2011-10-26$24.90$24.0349.2%14.1%61.8%33.0%48.8%6.9%-0.9%2.2M99.7M-1.4M1.843.10N/AN/A7,08613,026221,719165,986
2011-10-27$27.25$24.0343.1%12.4%69.3%25.1%43.5%6.5%-0.4%2.1M29.7M-1.6M0.523.89N/AN/A22,92911,960223,787174,999
2011-10-28$27.80$24.0343.7%12.2%66.2%25.9%44.1%6.2%-1.6%2.3M-6.0M-1.7M0.472.83N/AN/A26,89812,708228,227173,733
2011-10-31$25.86$24.0369.9%14.5%66.2%59.8%51.0%-0.3%-2.5%1.6M84.4M-1.5M1.083.24N/AN/A11,04711,979220,799170,985