AA Options History — February 2012

In February 2012, AA traded between $24.27 and $25.86. ATM implied volatility averaged 32.2%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 7.5% (HV 20d: 24.7%). Max pain ranged from $24.03 to $24.03. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.58.

Notable Days

  • 2012-02-03: Highest Volume — 52,300 contracts
  • 2012-02-27: Largest IV spike — 20.5% change
  • 2012-02-10: Highest IV Rank — 17.0%
  • 2012-02-10: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.99$24.27$25.86$24.51$24.44
Max Pain$24.03$24.03$24.03$24.03$24.03
ATM IV32.2%25.1%36.9%34.1%28.7%
Expected Move9.3%8.1%10.6%8.8%8.1%
HV 20d24.7%23.4%26.6%25.6%24.8%
HV 60d37.8%31.5%41.1%40.5%31.5%
IV Rank10.9%1.7%17.0%13.4%6.5%
IV Percentile26.8%2.4%48.4%37.7%9.1%
Term Structure2.8%0.4%5.1%3.1%5.1%
VWIV33.1%29.9%37.9%32.1%30.5%
Skew 25d1.8%-1.8%6.9%1.0%-1.1%
Skew 10d4.5%-0.8%13.7%1.4%-0.8%
Call IV 25d32.8%29.4%36.3%33.4%31.9%
Put IV 25d34.6%30.1%40.3%34.4%30.7%
Bid-Ask Spread %3.751.517.782.633.06
Gamma HHI0.350.300.430.330.40
Net GEX5.7M3.7M7.9M5.0M3.7M
Net DEX-88.3M-156.8M-25.7M-60.7M-25.7M
Net VEX-1.7M-1.8M-1.6M-1.6M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.211.220.540.46
Total Volume16,004.356,76552,30011,69910,887
Total OI396,289.7366,164420,465366,164400,286

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$24.51$24.0334.1%8.8%25.6%13.4%32.1%1.0%3.1%5.0M-60.7M-1.6M0.542.63N/AN/A7,5974,102219,029147,135
2012-02-02$25.04$24.0330.1%8.9%25.4%8.2%31.6%-0.2%2.1%5.5M-92.2M-1.6M0.473.12N/AN/A11,4775,338222,793147,401
2012-02-03$25.86$24.0330.9%9.4%26.6%9.2%33.7%2.9%2.2%5.9M-147.0M-1.7M0.283.08N/AN/A40,82111,479228,039148,331
2012-02-06$25.78$24.0336.2%9.4%24.7%16.1%33.5%2.1%2.0%6.8M-156.8M-1.8M0.386.89N/AN/A7,1822,763245,825151,208
2012-02-07$25.64$24.0332.0%9.3%23.8%10.7%32.9%1.6%2.4%7.0M-145.2M-1.8M0.403.79N/AN/A9,1623,633248,174151,537
2012-02-08$25.64$24.0334.5%10.1%23.8%14.0%35.2%-0.5%0.4%7.1M-154.5M-1.8M0.213.13N/AN/A20,9704,507251,945152,542
2012-02-09$25.57$24.0333.7%9.7%23.4%12.9%34.0%1.1%1.7%7.9M-150.0M-1.8M0.491.51N/AN/A9,3574,589257,317154,331
2012-02-10$24.73$24.0336.9%10.6%25.1%17.0%37.9%3.1%1.7%6.5M-88.4M-1.8M0.884.72N/AN/A6,8606,034256,915154,652
2012-02-13$24.82$24.0335.1%10.1%24.5%14.7%35.5%3.3%2.1%6.6M-91.7M-1.7M0.884.20N/AN/A3,6743,240257,016156,305
2012-02-14$24.53$24.0334.6%9.9%24.9%14.1%35.0%3.8%2.5%6.4M-77.4M-1.7M0.305.84N/AN/A13,0873,913257,253156,994
2012-02-15$24.27$24.0335.5%10.2%23.6%15.2%37.7%3.0%1.7%6.2M-55.8M-1.7M1.223.43N/AN/A5,2166,363252,810158,568
2012-02-16$24.70$24.0335.5%10.2%23.8%15.2%36.1%6.9%1.6%5.5M-79.9M-1.7M0.487.78N/AN/A10,4515,046254,434162,045
2012-02-17$24.39$24.0332.2%9.2%24.2%11.0%32.7%4.3%3.6%6.6M-59.2M-1.7M0.393.33N/AN/A16,2526,381256,541163,924
2012-02-21$25.02$24.0331.6%9.0%25.7%10.1%31.2%1.9%3.0%4.1M-59.7M-1.7M0.693.80N/AN/A11,0767,679225,177147,757
2012-02-22$24.94$24.0330.7%8.8%25.7%9.0%30.7%2.6%4.2%4.2M-60.4M-1.6M1.103.40N/AN/A4,1024,504229,105150,407
2012-02-23$25.14$24.0330.3%8.7%24.8%8.5%30.1%1.6%3.9%4.5M-69.8M-1.7M0.742.69N/AN/A3,8892,876230,687152,615
2012-02-24$25.06$24.0325.1%8.4%24.5%1.7%31.4%-1.8%4.8%4.4M-72.3M-1.7M0.222.44N/AN/A19,7284,395231,876154,273
2012-02-27$24.80$24.0330.2%8.7%24.7%8.4%31.3%-0.2%3.0%4.8M-58.1M-1.7M0.453.18N/AN/A6,5772,941239,511155,036
2012-02-28$24.92$24.0325.8%8.5%24.4%2.7%29.9%0.7%4.3%5.0M-61.5M-1.7M1.012.96N/AN/A5,9405,999239,719156,281
2012-02-29$24.44$24.0328.7%8.1%24.8%6.5%30.5%-1.1%5.1%3.7M-25.7M-1.6M0.463.06N/AN/A7,4733,414239,931160,355