AA Options History — November 2011 In November 2011, AA traded between $21.34 and $26.26. ATM implied volatility averaged 52.5%, placing in the 37.3% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded below realized volatility by 7.7% (HV 20d: 60.3%). Max pain ranged from $24.03 to $26.43. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.65.
Notable Days 2011-11-30 : Highest Volume — 39,170 contracts2011-11-09 : Largest IV spike — 26.9% change2011-11-01 : Highest IV Rank — 62.5%2011-11-01 : Largest Expected Move — 16.6%Monthly Statistics Metric Avg Min Max Open Close Price $24.13 $21.34 $26.26 $24.99 $24.08 Max Pain $25.40 $24.03 $26.43 $24.03 $24.03 ATM IV 52.5% 41.8% 71.9% 71.9% 57.2% Expected Move 14.6% 13.0% 16.6% 16.6% 14.6% HV 20d 60.3% 44.8% 67.8% 67.7% 51.9% HV 60d 57.0% 55.5% 60.7% 60.7% 58.4% IV Rank 37.3% 23.4% 62.5% 62.5% 43.4% IV Percentile 84.4% 71.8% 96.8% 96.8% 88.9% Term Structure 1.6% -2.4% 4.2% -2.4% 1.3% VWIV 51.1% 47.4% 56.2% 56.2% 51.7% Skew 25d 6.9% 0.8% 10.9% 6.7% 8.5% Skew 10d 14.1% 5.5% 20.3% 13.4% 18.3% Call IV 25d 48.6% 43.3% 54.6% 54.6% 48.7% Put IV 25d 55.6% 51.4% 61.3% 61.3% 57.2% Bid-Ask Spread % 3.91 2.68 6.31 2.68 6.31 Gamma HHI 0.20 0.12 0.35 0.16 0.21 Net GEX 1.0M -177.7K 2.2M 1.0M 1.8M Net DEX 125.7M 68.7M 180.1M 115.4M 85.1M Net VEX -1.4M -1.6M -1.2M -1.6M -1.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.20 1.52 0.48 0.21 Total Volume 17,552.238 8,760 39,170 18,144 39,170 Total OI 428,349.952 400,180 455,350 412,088 455,350
Daily Data (21 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 2011-11-01 $24.99 $24.03 71.9% 16.6% 67.7% 62.5% 56.2% 6.7% -2.4% 1.0M 115.4M -1.6M 0.48 2.68 N/A N/A 12,263 5,881 231,109 180,979 2011-11-02 $25.71 $24.03 64.8% 14.2% 67.8% 53.3% 50.5% 7.0% -0.4% 1.0M 90.8M -1.6M 0.48 3.12 N/A N/A 5,914 2,846 232,529 182,778 2011-11-03 $26.12 $24.03 47.9% 13.4% 65.6% 31.3% 47.4% 9.4% 0.3% 1.1M 77.3M -1.6M 0.32 2.97 N/A N/A 9,795 3,087 234,429 180,915 2011-11-04 $26.26 $26.43 47.2% 13.8% 65.1% 30.4% 48.9% 8.9% 0.3% 2.2M 68.7M -1.6M 1.52 4.13 N/A N/A 5,775 8,783 236,110 181,725 2011-11-07 $25.83 $26.43 49.4% 13.5% 64.4% 33.3% 48.1% 9.3% 1.2% 2.2M 77.4M -1.6M 0.78 3.78 N/A N/A 6,710 5,206 234,021 177,734 2011-11-08 $25.90 $26.43 41.8% 13.0% 64.1% 23.4% 47.6% 8.2% 2.1% 2.2M 84.6M -1.6M 0.63 3.76 N/A N/A 6,943 4,404 236,141 180,790 2011-11-09 $24.51 $26.43 53.0% 15.2% 66.7% 38.0% 54.6% 6.9% 0.2% 943.3K 133.1M -1.4M 1.22 4.82 N/A N/A 6,752 8,257 238,378 182,830 2011-11-10 $24.63 $26.43 51.1% 14.6% 66.7% 35.5% 52.9% 7.7% 0.3% 944.4K 125.3M -1.5M 0.79 3.93 N/A N/A 5,257 4,170 239,722 184,482 2011-11-11 $25.47 $26.43 48.6% 13.9% 67.5% 32.2% 51.1% 10.9% 1.2% 1.9M 93.5M -1.6M 0.20 3.24 N/A N/A 23,135 4,678 240,100 186,320 2011-11-14 $24.94 $26.43 51.2% 14.7% 62.9% 35.6% 49.8% 8.6% 0.4% 2.1M 105.5M -1.5M 1.01 3.81 N/A N/A 6,909 7,007 250,135 185,431 2011-11-15 $24.90 $26.43 49.3% 14.1% 59.7% 33.2% 48.9% 7.0% 1.9% 1.7M 114.6M -1.4M 0.97 4.01 N/A N/A 4,885 4,734 252,100 186,203 2011-11-16 $23.96 $26.43 49.5% 14.2% 59.8% 33.4% 50.0% 4.4% 2.7% 89.3K 150.5M -1.4M 0.79 3.56 N/A N/A 11,439 8,998 252,514 187,067 2011-11-17 $23.12 $26.43 51.0% 14.6% 60.8% 35.4% 51.6% 6.6% 2.1% -162.5K 178.6M -1.3M 0.87 3.53 N/A N/A 10,454 9,084 256,115 191,181 2011-11-18 $23.29 $26.43 48.4% 13.9% 59.9% 32.0% 49.9% 6.1% 3.1% -177.7K 180.1M -1.3M 1.15 4.46 N/A N/A 7,396 8,539 259,690 194,383 2011-11-21 $22.76 $26.43 53.4% 15.3% 58.7% 38.4% 52.1% 6.2% 3.1% -104.8K 161.6M -1.3M 0.35 4.06 N/A N/A 21,899 7,576 221,667 178,513 2011-11-22 $22.25 $24.03 51.0% 14.6% 57.5% 35.3% 50.5% 5.5% 3.7% 212.5K 173.4M -1.3M 0.31 3.27 N/A N/A 12,186 3,753 239,799 181,554 2011-11-23 $21.34 $24.03 52.0% 14.9% 58.1% 36.7% 52.4% 0.8% 4.2% 134.6K 179.4M -1.2M 0.40 3.87 N/A N/A 13,104 5,233 244,697 183,243 2011-11-25 $21.51 $24.03 53.3% 15.6% 45.6% 38.3% 54.5% 4.5% 2.4% 443.0K 168.6M -1.3M 0.33 4.81 N/A N/A 10,778 3,574 249,136 184,881 2011-11-28 $22.73 $24.03 56.9% 15.6% 50.4% 43.0% 52.1% 6.0% 2.1% 932.2K 132.4M -1.4M 0.39 3.98 N/A N/A 16,607 6,528 251,355 184,780 2011-11-29 $22.37 $24.03 53.9% 15.1% 44.8% 39.1% 52.1% 6.6% 3.7% 1.2M 144.6M -1.4M 0.35 4.06 N/A N/A 14,007 4,881 258,859 185,604 2011-11-30 $24.08 $24.03 57.2% 14.6% 51.9% 43.4% 51.7% 8.5% 1.3% 1.8M 85.1M -1.6M 0.21 6.31 N/A N/A 32,352 6,818 266,732 188,618
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