AA Options History — January 2012

In January 2012, AA traded between $22.01 and $25.18. ATM implied volatility averaged 40.9%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 3.3% (HV 20d: 37.6%). Max pain ranged from $21.63 to $26.43. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.74.

Notable Days

2012-01-09: Highest Volume — 93,462 contracts
2012-01-10: Largest IV drop — 58.3% change
2012-01-09: Highest IV Rank — 75.1%
2012-01-03: Largest Expected Move — 13.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.77	$22.01	$25.18	$22.18	$24.41
Max Pain	$23.31	$21.63	$26.43	$26.43	$24.03
ATM IV	40.9%	31.3%	81.6%	45.3%	31.3%
Expected Move	10.7%	9.0%	13.9%	13.9%	9.0%
HV 20d	37.6%	31.4%	42.7%	41.3%	33.3%
HV 60d	48.7%	40.6%	53.2%	53.0%	40.6%
IV Rank	22.2%	9.8%	75.1%	27.9%	9.8%
IV Percentile	51.3%	24.6%	98.4%	63.5%	24.6%
Term Structure	1.5%	-5.1%	4.6%	-5.1%	2.4%
VWIV	37.8%	31.6%	49.1%	49.1%	32.4%
Skew 25d	3.8%	-0.4%	11.2%	11.2%	-0.4%
Skew 10d	7.4%	-0.7%	14.3%	14.3%	-0.7%
Call IV 25d	37.0%	30.5%	46.7%	46.6%	34.3%
Put IV 25d	40.9%	33.6%	57.8%	57.8%	34.0%
Bid-Ask Spread %	5.22	2.52	12.63	4.62	3.80
Gamma HHI	0.43	0.23	0.74	0.23	0.34
Net GEX	4.5M	1.9M	7.9M	2.3M	4.9M
Net DEX	3.5M	-96.0M	123.4M	118.3M	-52.0M
Net VEX	-1.5M	-1.6M	-1.3M	-1.3M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.29	1.68	0.29	0.58
Total Volume	27,777.8	9,263	93,462	30,001	9,816
Total OI	461,738.3	312,202	559,927	487,872	362,583

Daily Data (20 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
2012-01-03	$22.18	$26.43	45.3%	13.9%	41.3%	27.9%	49.1%	11.2%	-5.1%	2.3M	118.3M	-1.3M	0.29	4.62	N/A	N/A	23,180	6,821	293,290	194,582
2012-01-04	$22.71	$26.43	57.6%	13.3%	42.2%	43.9%	46.7%	3.4%	-2.7%	2.9M	90.6M	-1.4M	0.35	5.42	N/A	N/A	14,682	5,205	298,835	195,541
2012-01-05	$22.49	$26.43	53.7%	13.4%	42.2%	38.8%	45.6%	6.5%	-2.5%	2.8M	101.9M	-1.3M	0.61	8.32	N/A	N/A	12,308	7,478	303,205	197,114
2012-01-06	$22.01	$21.63	62.1%	12.2%	42.7%	49.8%	42.4%	5.1%	2.6%	1.9M	123.4M	-1.3M	0.86	7.44	N/A	N/A	12,834	11,072	304,335	199,748
2012-01-09	$22.66	$21.63	81.6%	12.8%	41.4%	75.1%	45.1%	6.6%	0.7%	2.4M	104.4M	-1.4M	0.99	11.19	N/A	N/A	46,909	46,553	304,928	200,282
2012-01-10	$22.68	$21.63	34.1%	11.0%	40.9%	13.4%	36.9%	4.6%	2.4%	2.1M	107.3M	-1.3M	0.89	6.29	N/A	N/A	25,684	22,925	320,167	222,604
2012-01-11	$23.14	$21.63	35.7%	10.1%	40.0%	15.5%	38.5%	4.6%	4.6%	4.1M	45.6M	-1.4M	0.63	4.65	N/A	N/A	9,547	5,988	324,579	212,074
2012-01-12	$23.86	$21.63	35.4%	10.1%	39.0%	15.1%	36.9%	4.7%	4.0%	6.9M	-2.8M	-1.4M	0.54	5.46	N/A	N/A	15,865	8,618	325,742	212,328
2012-01-13	$23.55	$21.63	36.7%	10.5%	39.1%	16.8%	37.0%	2.9%	3.5%	4.8M	27.1M	-1.4M	0.61	3.29	N/A	N/A	21,352	13,025	327,050	213,322
2012-01-17	$23.45	$21.63	36.5%	10.5%	38.3%	16.5%	37.3%	1.9%	3.4%	5.4M	35.8M	-1.4M	0.67	2.54	N/A	N/A	11,856	7,918	329,206	207,648
2012-01-18	$24.08	$21.63	36.5%	10.5%	39.0%	16.5%	37.2%	3.8%	3.0%	7.9M	-16.0M	-1.5M	0.72	2.89	N/A	N/A	14,792	10,652	330,137	207,463
2012-01-19	$24.46	$21.63	38.1%	10.9%	36.4%	18.6%	39.2%	0.5%	2.1%	7.6M	-60.9M	-1.5M	0.61	2.68	N/A	N/A	29,612	18,111	332,813	208,632
2012-01-20	$24.44	$24.03	34.4%	9.9%	34.5%	13.9%	35.6%	3.8%	3.1%	5.4M	-67.9M	-1.5M	0.62	2.73	N/A	N/A	18,943	11,768	342,029	217,898
2012-01-23	$24.63	$24.03	32.8%	9.4%	34.3%	11.8%	34.2%	4.2%	0.7%	4.6M	-84.1M	-1.5M	1.47	4.11	N/A	N/A	12,758	18,813	190,799	121,403
2012-01-24	$24.68	$24.03	31.3%	9.0%	34.4%	9.8%	31.6%	3.8%	1.2%	4.6M	-64.0M	-1.5M	1.68	2.52	N/A	N/A	4,494	7,536	196,418	133,531
2012-01-25	$25.18	$24.03	32.0%	9.2%	34.4%	10.7%	31.7%	2.4%	1.1%	4.4M	-80.8M	-1.5M	0.36	3.85	N/A	N/A	19,238	6,918	197,978	137,799
2012-01-26	$24.90	$24.03	32.6%	9.3%	34.6%	11.4%	32.8%	1.8%	1.5%	5.0M	-85.9M	-1.6M	0.48	4.39	N/A	N/A	15,597	7,472	212,338	137,988
2012-01-27	$25.06	$24.03	32.6%	9.3%	31.4%	11.4%	32.6%	2.5%	2.2%	5.0M	-96.0M	-1.6M	0.38	5.64	N/A	N/A	7,226	2,727	218,533	141,597
2012-01-30	$24.80	$24.03	37.5%	9.6%	32.2%	17.9%	34.2%	2.6%	0.8%	5.2M	-73.1M	-1.6M	1.37	12.63	N/A	N/A	3,901	5,362	216,673	141,574
2012-01-31	$24.41	$24.03	31.3%	9.0%	33.3%	9.8%	32.4%	-0.4%	2.4%	4.9M	-52.0M	-1.6M	0.58	3.80	N/A	N/A	6,223	3,593	218,087	144,496