AA Options History — May 2012

In May 2012, AA traded between $20.26 and $23.96. ATM implied volatility averaged 36.0%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 10.3% (HV 20d: 25.7%). Max pain ranged from $21.63 to $24.03. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.94.

Notable Days

2012-05-16: Highest Volume — 22,610 contracts
2012-05-30: Largest IV spike — 35.4% change
2012-05-17: Highest IV Rank — 27.6%
2012-05-17: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.47	$20.26	$23.96	$23.96	$20.55
Max Pain	$22.61	$21.63	$24.03	$24.03	$21.63
ATM IV	36.0%	28.6%	44.6%	30.3%	36.8%
Expected Move	10.1%	8.2%	12.8%	8.2%	11.0%
HV 20d	25.7%	19.7%	35.4%	34.6%	24.8%
HV 60d	30.2%	29.7%	30.9%	30.0%	29.7%
IV Rank	16.5%	7.0%	27.6%	9.1%	17.6%
IV Percentile	39.0%	4.8%	61.1%	11.5%	48.0%
Term Structure	1.1%	-2.2%	4.6%	-0.2%	0.6%
VWIV	36.2%	29.0%	45.2%	29.0%	40.4%
Skew 25d	5.7%	0.6%	10.3%	2.4%	8.0%
Skew 10d	12.3%	3.4%	25.0%	6.2%	17.5%
Call IV 25d	34.7%	30.3%	39.7%	30.3%	39.4%
Put IV 25d	40.4%	31.7%	47.9%	32.7%	47.4%
Bid-Ask Spread %	3.70	3.00	5.16	3.60	4.06
Gamma HHI	0.23	0.17	0.34	0.34	0.18
Net GEX	1.2M	-271.0K	5.9M	5.9M	73.0K
Net DEX	79.8M	-47.1M	140.1M	-47.1M	102.9M
Net VEX	-1.6M	-1.8M	-1.5M	-1.8M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.27	2.23	0.75	0.54
Total Volume	11,849.773	3,648	22,610	16,667	5,042
Total OI	443,298.273	411,189	477,163	431,819	443,047

Daily Data (22 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
2012-05-01	$23.96	$24.03	30.3%	8.2%	34.6%	9.1%	29.0%	2.4%	-0.2%	5.9M	-47.1M	-1.8M	0.75	3.60	N/A	N/A	9,512	7,155	265,365	166,454
2012-05-02	$23.38	$24.03	35.2%	8.6%	35.4%	15.5%	30.1%	0.6%	-1.1%	5.1M	-5.3M	-1.8M	0.63	3.97	N/A	N/A	5,438	3,426	267,186	168,584
2012-05-03	$23.02	$24.03	28.6%	9.0%	34.7%	7.0%	31.9%	2.7%	-2.2%	3.9M	12.6M	-1.7M	0.32	3.13	N/A	N/A	8,816	2,863	269,488	169,340
2012-05-04	$22.52	$24.03	32.2%	9.1%	35.0%	11.7%	31.6%	3.0%	1.1%	3.0M	39.4M	-1.7M	0.84	3.54	N/A	N/A	6,417	5,382	273,227	169,990
2012-05-07	$22.42	$21.63	37.0%	9.4%	35.0%	17.8%	32.3%	2.3%	1.3%	2.6M	48.5M	-1.7M	1.38	3.78	N/A	N/A	5,433	7,487	271,062	171,037
2012-05-08	$22.13	$24.03	40.8%	9.6%	33.7%	22.7%	33.7%	4.5%	1.1%	1.7M	65.6M	-1.6M	0.96	3.00	N/A	N/A	7,032	6,743	271,804	174,189
2012-05-09	$21.99	$24.03	35.1%	9.9%	24.9%	15.4%	34.8%	3.4%	0.6%	1.5M	72.3M	-1.6M	0.62	3.50	N/A	N/A	4,859	3,021	273,116	174,205
2012-05-10	$21.87	$24.03	33.5%	9.6%	22.0%	13.4%	33.7%	3.9%	1.5%	1.1M	80.6M	-1.6M	0.59	3.44	N/A	N/A	7,302	4,275	274,568	173,764
2012-05-11	$21.77	$24.03	32.8%	9.4%	19.7%	12.4%	33.3%	2.2%	1.7%	668.0K	82.9M	-1.5M	1.06	3.07	N/A	N/A	3,662	3,885	273,900	173,818
2012-05-14	$21.43	$24.03	34.8%	10.0%	20.0%	14.9%	36.0%	3.2%	1.6%	336.5K	96.7M	-1.5M	1.23	4.36	N/A	N/A	5,588	6,854	278,116	174,464
2012-05-15	$20.93	$21.63	36.8%	10.5%	19.9%	17.5%	41.0%	3.0%	-0.5%	83.0K	115.1M	-1.5M	2.23	4.63	N/A	N/A	4,423	9,858	279,213	179,160
2012-05-16	$20.40	$21.63	43.2%	12.4%	20.9%	25.8%	45.2%	6.5%	-1.2%	-114.5K	139.3M	-1.5M	0.82	5.16	N/A	N/A	12,408	10,202	280,881	184,739
2012-05-17	$20.43	$21.63	44.6%	12.8%	20.7%	27.6%	45.1%	7.8%	-1.3%	43.3K	134.1M	-1.5M	1.49	4.18	N/A	N/A	4,989	7,439	283,875	188,640
2012-05-18	$20.26	$21.63	43.8%	12.5%	20.7%	26.5%	39.3%	9.0%	-0.2%	-25.9K	140.1M	-1.5M	1.90	3.46	N/A	N/A	3,909	7,433	286,074	191,089
2012-05-21	$20.67	$21.63	32.2%	9.2%	22.8%	11.7%	35.7%	10.3%	3.7%	-271.0K	106.8M	-1.5M	0.46	3.60	N/A	N/A	10,891	4,999	239,077	172,112
2012-05-22	$20.40	$21.63	41.3%	11.8%	22.7%	23.3%	38.6%	9.7%	0.8%	-30.4K	104.9M	-1.5M	1.10	3.54	N/A	N/A	9,931	10,904	243,648	172,172
2012-05-23	$20.69	$21.63	34.0%	9.7%	22.4%	13.9%	40.3%	8.4%	3.7%	188.2K	95.3M	-1.6M	0.85	3.59	N/A	N/A	5,382	4,583	248,715	178,056
2012-05-24	$20.74	$21.63	34.7%	10.0%	22.3%	14.9%	35.5%	7.8%	3.2%	168.1K	94.7M	-1.6M	1.46	3.31	N/A	N/A	4,740	6,940	250,705	182,159
2012-05-25	$20.74	$21.63	29.8%	9.8%	22.3%	8.5%	36.3%	7.7%	3.0%	32.3K	95.3M	-1.7M	0.27	3.32	N/A	N/A	2,879	769	252,270	186,225
2012-05-29	$21.36	$21.63	31.6%	9.2%	25.7%	10.8%	33.0%	10.3%	4.6%	410.6K	79.4M	-1.6M	0.71	3.15	N/A	N/A	6,519	4,649	252,012	184,603
2012-05-30	$20.62	$21.63	42.7%	10.4%	25.5%	25.2%	39.3%	8.9%	1.9%	164.3K	100.9M	-1.6M	0.47	4.11	N/A	N/A	4,541	2,115	255,749	184,664
2012-05-31	$20.55	$21.63	36.8%	11.0%	24.8%	17.6%	40.4%	8.0%	0.6%	73.0K	102.9M	-1.6M	0.54	4.06	N/A	N/A	3,267	1,775	257,300	185,747