AA Options History — April 2012

In April 2012, AA traded between $22.40 and $24.44. ATM implied volatility averaged 36.8%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 3.2% (HV 20d: 33.6%). 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 5 of 20 days. Put/call ratio averaged 0.63.

Notable Days

  • 2012-04-12: Highest Volume — 81,992 contracts
  • 2012-04-11: Largest IV drop — 57.5% change
  • 2012-04-10: Highest IV Rank — 65.4%
  • 2012-04-10: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.58$22.40$24.44$24.44$23.38
Max Pain$24.03$24.03$24.03$24.03$24.03
ATM IV36.8%27.7%74.0%32.7%33.1%
Expected Move9.7%7.9%11.7%10.1%8.6%
HV 20d33.6%27.5%37.1%31.4%33.8%
HV 60d29.7%27.4%30.9%27.9%30.3%
IV Rank17.6%5.9%65.4%12.3%12.7%
IV Percentile35.5%4.8%96.8%27.8%29.0%
Term Structure-1.1%-5.7%1.7%-1.7%-0.1%
VWIV34.5%28.3%41.2%36.0%30.3%
Skew 25d2.2%0.8%4.7%2.2%3.1%
Skew 10d4.9%0.8%7.8%1.4%7.6%
Call IV 25d34.7%28.9%42.0%36.6%30.4%
Put IV 25d36.9%31.4%43.8%38.7%33.5%
Bid-Ask Spread %3.702.009.962.003.81
Gamma HHI0.310.230.480.390.27
Net GEX3.9M1.5M8.8M3.6M3.1M
Net DEX9.7M-73.4M84.1M-39.9M24.8M
Net VEX-1.6M-1.7M-1.5M-1.6M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.132.040.780.17
Total Volume25,9189,00681,99211,59232,000
Total OI450,675.55362,701518,663443,236385,403

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$24.44$24.0332.7%10.1%31.4%12.3%36.0%2.2%-1.7%3.6M-39.9M-1.6M0.782.00N/AN/A6,5135,079257,913185,323
2012-04-03$24.17$24.0330.5%10.4%27.5%9.4%36.8%4.7%-2.4%3.4M-18.4M-1.6M0.602.87N/AN/A7,9734,800258,824186,376
2012-04-04$23.57$24.0339.0%10.7%29.1%20.3%38.4%2.9%-3.1%2.2M28.0M-1.5M0.842.28N/AN/A6,2525,227260,157188,881
2012-04-05$23.14$24.0343.8%11.6%28.8%26.5%41.2%0.8%-5.7%1.8M54.2M-1.5M0.492.83N/AN/A14,2976,979261,441190,526
2012-04-09$23.07$24.0364.8%10.7%28.7%53.5%37.7%2.5%-2.1%2.0M48.0M-1.5M0.553.61N/AN/A21,31711,779265,327189,185
2012-04-10$22.40$24.0374.0%11.7%30.3%65.4%40.1%3.9%-3.4%1.5M84.1M-1.5M0.739.96N/AN/A32,60923,966272,090195,322
2012-04-11$23.79$24.0331.4%9.4%34.1%10.6%33.5%2.5%1.2%4.5M-15.9M-1.6M0.443.14N/AN/A32,02114,141277,712199,587
2012-04-12$24.44$24.0338.4%11.0%35.6%19.6%38.9%2.5%-2.2%5.8M-73.4M-1.6M0.152.86N/AN/A71,17610,816274,777198,292
2012-04-13$23.67$24.0335.9%10.3%37.1%16.4%37.2%1.0%-0.8%5.7M-25.4M-1.6M0.954.53N/AN/A19,59118,563309,542200,787
2012-04-16$23.69$24.0335.4%10.2%36.4%15.8%36.1%2.4%-1.2%5.5M-16.3M-1.7M2.043.54N/AN/A9,06018,491307,221200,132
2012-04-17$24.01$24.0334.0%9.7%36.7%13.9%34.5%1.1%0.0%6.9M-35.0M-1.7M0.773.39N/AN/A6,3674,930307,516206,820
2012-04-18$23.91$24.0333.5%9.6%36.4%13.3%34.4%1.9%-0.1%8.8M-21.2M-1.7M0.853.22N/AN/A6,0245,107309,016206,185
2012-04-19$23.45$24.0332.7%9.4%36.6%12.3%33.2%1.7%0.6%6.1M28.9M-1.6M0.644.47N/AN/A6,3224,019311,131206,728
2012-04-20$23.31$24.0330.5%8.7%35.6%9.4%32.0%1.6%1.7%3.3M56.2M-1.5M0.863.61N/AN/A13,36111,521311,759206,904
2012-04-23$23.14$24.0332.0%9.2%35.4%11.3%32.4%1.1%-1.0%1.9M36.6M-1.5M0.644.71N/AN/A10,4676,655208,856153,845
2012-04-24$23.21$24.0330.2%8.7%35.1%9.0%30.3%1.7%-0.2%2.0M33.2M-1.5M0.352.72N/AN/A10,5593,650213,596158,181
2012-04-25$23.60$24.0327.7%7.9%35.4%5.9%28.3%2.8%0.5%3.2M10.8M-1.6M0.283.18N/AN/A7,0211,985219,296159,764
2012-04-26$23.69$24.0329.1%8.3%34.4%7.6%30.2%2.4%-1.2%3.8M8.2M-1.6M0.433.54N/AN/A9,7294,142222,210159,950
2012-04-27$23.43$24.0328.1%8.1%33.8%6.3%29.2%1.4%-0.4%3.1M26.6M-1.5M0.133.77N/AN/A29,9783,873224,926162,010
2012-04-30$23.38$24.0333.1%8.6%33.8%12.7%30.3%3.1%-0.1%3.1M24.8M-1.5M0.173.81N/AN/A27,2564,744223,081162,322