AA Options History — December 2011 In December 2011, AA traded between $20.47 and $24.03. ATM implied volatility averaged 45.7%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 1.5% (HV 20d: 47.2%). Max pain ranged from $24.03 to $30.04. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.78.
Notable Days 2011-12-20 : Highest Volume — 24,371 contracts2011-12-12 : Largest IV spike — 32.1% change2011-12-12 : Highest IV Rank — 41.4%2011-12-08 : Largest Expected Move — 15.4%Monthly Statistics Metric Avg Min Max Open Close Price $21.99 $20.47 $24.03 $23.57 $20.79 Max Pain $29.47 $24.03 $30.04 $24.03 $30.04 ATM IV 45.7% 39.7% 55.7% 52.5% 41.8% Expected Move 13.2% 11.4% 15.4% 15.1% 13.1% HV 20d 47.2% 33.0% 51.1% 51.1% 33.0% HV 60d 56.4% 52.5% 58.2% 57.9% 52.5% IV Rank 28.5% 20.7% 41.4% 37.3% 23.4% IV Percentile 67.6% 56.3% 87.7% 84.1% 59.5% Term Structure 0.6% -2.3% 4.3% -0.0% -1.7% VWIV 46.8% 40.2% 53.2% 53.2% 48.9% Skew 25d 6.0% 2.8% 9.1% 2.9% 5.5% Skew 10d 10.4% 5.4% 18.2% 9.9% 9.6% Call IV 25d 45.9% 39.7% 52.1% 52.1% 47.8% Put IV 25d 51.9% 45.6% 57.9% 55.1% 53.3% Bid-Ask Spread % 2.78 1.50 4.76 3.04 1.93 Gamma HHI 0.24 0.18 0.35 0.34 0.20 Net GEX 1.5M 95.5K 3.0M 3.0M 956.0K Net DEX 151.2M 80.9M 212.1M 89.5M 169.1M Net VEX -1.3M -1.6M -1.1M -1.5M -1.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.78 0.21 2.85 0.70 0.21 Total Volume 14,845.81 5,986 24,371 15,904 13,442 Total OI 476,759.524 441,699 497,233 471,939 483,310
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 2011-12-01 $23.57 $24.03 52.5% 15.1% 51.1% 37.3% 53.2% 2.9% -0.0% 3.0M 89.5M -1.5M 0.70 3.04 N/A N/A 9,381 6,523 281,004 190,935 2011-12-02 $23.81 $24.03 44.9% 14.4% 50.8% 27.4% 50.4% 4.2% 0.2% 2.4M 80.9M -1.6M 0.44 4.33 N/A N/A 11,390 5,026 284,343 194,072 2011-12-05 $24.03 $30.04 47.2% 13.7% 50.9% 30.5% 48.0% 8.5% 0.5% 2.8M 85.2M -1.5M 0.76 2.80 N/A N/A 10,165 7,772 281,044 194,211 2011-12-06 $23.84 $30.04 47.4% 13.5% 50.7% 30.7% 47.2% 7.7% 0.5% 2.8M 94.8M -1.5M 0.73 4.07 N/A N/A 4,556 3,312 283,095 197,673 2011-12-07 $23.79 $30.04 46.7% 13.6% 50.7% 29.8% 47.8% 8.0% 0.7% 3.0M 97.0M -1.5M 0.41 2.91 N/A N/A 4,233 1,753 284,281 199,433 2011-12-08 $22.76 $30.04 53.9% 15.4% 49.4% 39.1% 51.5% 9.1% -2.0% 2.1M 142.4M -1.4M 0.53 4.03 N/A N/A 5,392 2,850 285,576 199,598 2011-12-09 $23.16 $30.04 42.1% 13.4% 49.9% 23.9% 48.8% 8.0% 0.4% 2.5M 125.8M -1.4M 0.81 3.40 N/A N/A 5,473 4,458 286,858 198,789 2011-12-12 $22.47 $30.04 55.7% 14.2% 48.8% 41.4% 48.8% 7.7% -0.3% 1.9M 159.5M -1.3M 1.96 2.68 N/A N/A 6,587 12,896 284,476 198,518 2011-12-13 $21.72 $30.04 45.6% 13.8% 49.5% 28.3% 47.9% 6.5% 0.6% 533.3K 193.1M -1.2M 2.85 3.06 N/A N/A 6,035 17,177 284,693 204,669 2011-12-14 $21.48 $30.04 54.0% 14.3% 49.5% 39.2% 52.6% 5.0% -0.3% 506.4K 192.0M -1.2M 0.86 2.11 N/A N/A 9,968 8,544 286,489 203,906 2011-12-15 $21.10 $30.04 48.0% 13.8% 48.3% 31.5% 50.1% 3.5% 0.9% 335.3K 212.1M -1.2M 1.37 2.03 N/A N/A 8,941 12,256 288,210 206,934 2011-12-16 $21.17 $30.04 44.1% 12.6% 47.2% 26.4% 45.2% 5.2% 4.3% 884.0K 209.0M -1.2M 0.60 1.80 N/A N/A 13,970 8,337 291,292 205,941 2011-12-19 $20.50 $30.04 44.8% 12.8% 47.9% 27.3% 46.6% 4.8% 0.5% 95.5K 185.6M -1.1M 0.34 2.73 N/A N/A 14,978 5,115 256,969 184,730 2011-12-20 $21.34 $30.04 40.9% 11.7% 50.2% 22.3% 41.5% 8.1% 3.0% 887.2K 165.2M -1.2M 0.30 4.76 N/A N/A 18,785 5,586 265,293 187,221 2011-12-21 $21.27 $30.04 40.1% 11.5% 49.7% 21.2% 40.2% 6.9% 2.4% 1.5M 155.7M -1.2M 0.82 1.84 N/A N/A 4,916 4,054 274,432 186,592 2011-12-22 $21.39 $30.04 40.6% 11.7% 47.5% 21.9% 40.7% 7.1% 1.5% 2.0M 152.9M -1.2M 0.58 1.91 N/A N/A 10,154 5,876 275,800 187,144 2011-12-23 $21.29 $30.04 39.7% 11.4% 47.4% 20.7% 41.3% 6.0% 1.4% 1.0M 158.5M -1.2M 0.59 1.93 N/A N/A 6,278 3,683 280,398 189,743 2011-12-27 $21.12 $30.04 39.9% 11.4% 42.6% 20.9% 41.2% 6.6% 2.0% 1.0M 162.5M -1.2M 0.53 2.54 N/A N/A 7,194 3,799 280,164 190,015 2011-12-28 $20.47 $30.04 44.2% 12.7% 43.5% 26.6% 45.4% 2.8% -0.4% 580.8K 175.1M -1.1M 0.58 3.01 N/A N/A 7,635 4,414 283,256 191,230 2011-12-29 $20.74 $30.04 45.4% 13.0% 33.2% 28.1% 46.1% 3.0% -2.3% 798.5K 169.6M -1.2M 0.33 1.50 N/A N/A 6,637 2,221 286,046 193,567 2011-12-30 $20.79 $30.04 41.8% 13.1% 33.0% 23.4% 48.9% 5.5% -1.7% 956.0K 169.1M -1.2M 0.21 1.93 N/A N/A 11,115 2,327 289,241 194,069
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