AA Options History — March 2012

In March 2012, AA traded between $22.76 and $25.47. ATM implied volatility averaged 31.1%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 1.0% (HV 20d: 30.1%). Max pain ranged from $24.03 to $24.03. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.79.

Notable Days

  • 2012-03-15: Highest Volume — 29,000 contracts
  • 2012-03-05: Largest IV spike — 32.7% change
  • 2012-03-29: Highest IV Rank — 16.3%
  • 2012-03-06: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.24$22.76$25.47$24.68$24.08
Max Pain$24.03$24.03$24.03$24.03$24.03
ATM IV31.1%23.2%35.8%26.9%29.7%
Expected Move9.4%7.6%10.6%8.0%10.1%
HV 20d30.1%23.7%33.7%25.0%33.7%
HV 60d31.0%27.9%33.4%31.5%27.9%
IV Rank10.1%0.0%16.3%4.1%8.4%
IV Percentile22.2%0.0%46.8%5.2%12.7%
Term Structure0.3%-2.0%6.0%5.3%-1.6%
VWIV33.7%27.0%38.2%28.0%36.4%
Skew 25d1.1%-1.2%3.3%0.6%0.1%
Skew 10d2.8%-2.0%5.1%2.5%-2.0%
Call IV 25d34.2%29.3%38.0%29.3%37.8%
Put IV 25d35.3%29.1%39.6%29.9%37.9%
Bid-Ask Spread %2.751.934.062.742.09
Gamma HHI0.360.270.460.410.30
Net GEX3.2M1.7M5.7M4.0M5.7M
Net DEX-16.8M-90.0M60.9M-40.7M-21.5M
Net VEX-1.6M-1.6M-1.5M-1.6M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.322.310.440.41
Total Volume14,787.7275,30829,0008,6199,462
Total OI414,894.091390,701445,908400,438445,908

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$24.68$24.0326.9%8.0%25.0%4.1%28.0%0.6%5.3%4.0M-40.7M-1.6M0.442.74N/AN/A5,9862,633239,291161,147
2012-03-02$24.61$24.0323.2%7.6%23.8%0.0%27.0%-1.2%6.0%3.7M-35.8M-1.6M0.713.21N/AN/A3,1052,203241,527162,732
2012-03-05$23.72$24.0330.7%9.6%23.7%9.7%34.3%0.1%0.9%2.4M13.7M-1.5M0.983.22N/AN/A8,1127,940241,567161,533
2012-03-06$22.76$24.0331.9%10.6%27.1%11.3%38.2%1.7%0.4%1.7M60.9M-1.5M0.723.37N/AN/A12,7179,116242,542164,380
2012-03-07$22.95$24.0333.6%10.0%27.6%13.4%35.8%2.1%0.8%1.8M53.2M-1.5M0.754.06N/AN/A4,6743,521243,754167,327
2012-03-08$23.48$24.0328.8%9.7%29.3%7.2%34.5%1.3%0.7%1.7M31.5M-1.5M0.662.53N/AN/A5,3263,512245,352168,233
2012-03-09$23.57$24.0327.8%9.3%29.4%5.9%33.5%1.1%1.1%2.0M27.0M-1.5M0.602.83N/AN/A6,7574,062245,517168,829
2012-03-12$23.72$24.0329.8%9.1%27.5%8.5%32.6%1.9%1.8%2.1M16.1M-1.5M0.772.82N/AN/A3,2932,532245,508167,238
2012-03-13$24.77$24.0328.7%9.1%31.9%7.2%32.1%1.8%0.8%3.4M-52.7M-1.5M0.323.32N/AN/A15,4494,954245,966167,316
2012-03-14$24.70$24.0326.2%9.7%31.6%3.9%34.1%0.6%0.3%3.2M-53.8M-1.6M0.652.52N/AN/A14,2589,267249,056167,166
2012-03-15$24.87$24.0333.3%9.5%31.4%13.1%33.7%1.9%0.4%3.4M-60.4M-1.6M0.322.97N/AN/A21,9807,020255,782169,855
2012-03-16$25.33$24.0333.0%9.5%31.5%12.7%33.8%0.8%-1.0%4.6M-90.0M-1.6M0.392.39N/AN/A15,3055,940258,488173,142
2012-03-19$25.47$24.0331.2%8.9%31.1%10.4%31.8%-0.9%-0.9%5.0M-88.3M-1.6M0.912.47N/AN/A9,0468,205233,838156,863
2012-03-20$25.09$24.0333.3%9.6%30.4%13.1%33.9%2.6%-1.0%4.3M-57.7M-1.6M1.352.78N/AN/A4,8196,514236,350161,858
2012-03-21$24.68$24.0332.0%9.2%30.9%11.3%34.0%1.7%0.6%3.3M-37.7M-1.6M2.312.30N/AN/A3,3567,742237,767164,378
2012-03-22$24.05$24.0334.5%9.9%32.0%14.6%35.7%1.3%-1.5%1.7M-745.4K-1.5M0.912.30N/AN/A13,67212,502239,335167,792
2012-03-23$24.29$24.0333.5%9.6%32.3%13.3%33.9%0.4%-0.8%3.4M-20.9M-1.6M0.753.42N/AN/A6,5344,901246,020175,941
2012-03-26$24.56$24.0333.3%9.5%32.4%13.0%34.2%3.3%-2.0%3.7M-29.4M-1.6M1.302.57N/AN/A4,3165,628244,483173,071
2012-03-27$24.17$24.0331.6%9.1%32.8%10.8%32.2%1.3%-0.4%3.1M-5.4M-1.5M1.232.04N/AN/A6,7258,285245,945178,429
2012-03-28$23.62$24.0334.8%10.0%33.0%14.9%35.5%0.1%-1.9%2.2M30.3M-1.5M0.501.93N/AN/A11,4125,660247,095181,293
2012-03-29$24.10$24.0335.8%10.3%33.7%16.3%37.1%1.6%-1.2%3.1M-7.0M-1.6M0.372.50N/AN/A12,3404,549253,286184,770
2012-03-30$24.08$24.0329.7%10.1%33.7%8.4%36.4%0.1%-1.6%5.7M-21.5M-1.6M0.412.09N/AN/A6,7302,732259,797186,111