AA Options History — June 2012

In June 2012, AA traded between $19.94 and $21.43. ATM implied volatility averaged 36.1%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 6.3% (HV 20d: 29.8%). Max pain ranged from $21.63 to $24.03. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2012-06-25: Highest Volume — 21,001 contracts
  • 2012-06-11: Largest IV spike — 30.6% change
  • 2012-06-04: Highest IV Rank — 37.8%
  • 2012-06-01: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.58$19.94$21.43$19.94$21.03
Max Pain$23.69$21.63$24.03$21.63$21.63
ATM IV36.1%25.2%52.5%46.6%25.2%
Expected Move10.4%8.5%13.6%13.6%8.8%
HV 20d29.8%25.9%34.7%25.9%30.5%
HV 60d29.8%28.8%30.8%30.2%30.8%
IV Rank16.6%2.6%37.8%30.2%2.6%
IV Percentile35.8%0.8%81.0%65.5%0.8%
Term Structure0.3%-1.7%2.1%-1.2%0.8%
VWIV37.1%30.9%45.2%45.2%32.9%
Skew 25d6.2%1.2%11.0%11.0%5.6%
Skew 10d12.3%3.2%19.5%16.7%11.1%
Call IV 25d35.6%32.1%42.3%42.3%32.9%
Put IV 25d41.8%33.4%53.3%53.3%38.4%
Bid-Ask Spread %4.152.5212.403.322.52
Gamma HHI0.200.160.260.170.26
Net GEX57.7K-530.3K1.2M29.6K503.7K
Net DEX112.2M82.2M134.7M115.7M93.0M
Net VEX-1.5M-1.6M-1.4M-1.5M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.181.601.370.38
Total Volume9,876.7144,75021,0018,58410,444
Total OI456,888.048430,108478,145445,272478,145

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$19.94$21.6346.6%13.6%25.9%30.2%45.2%11.0%-1.2%29.6K115.7M-1.5M1.373.32N/AN/A3,6154,969258,843186,429
2012-06-04$20.16$24.0352.5%13.2%26.1%37.8%43.7%10.5%-1.7%-54.4K118.8M-1.5M0.7312.40N/AN/A4,2133,082257,451189,542
2012-06-05$20.31$24.0338.4%12.6%26.4%19.6%39.6%9.5%-0.5%-6.8K113.9M-1.5M0.618.54N/AN/A3,6722,241259,403190,112
2012-06-06$20.76$24.0328.8%10.3%27.9%7.3%38.2%8.6%1.5%117.9K104.8M-1.5M1.357.88N/AN/A5,0256,793260,361190,336
2012-06-07$20.55$24.0331.0%10.2%28.0%10.1%38.6%8.5%1.3%-44.1K123.9M-1.4M0.582.97N/AN/A4,8382,784262,833192,014
2012-06-08$20.47$24.0331.4%10.1%28.0%10.6%40.0%6.9%1.3%-176.6K125.5M-1.4M0.493.40N/AN/A3,1861,564265,529192,140
2012-06-11$19.99$24.0341.0%11.7%29.0%23.0%39.6%6.1%-0.7%-530.3K134.7M-1.4M0.452.91N/AN/A4,2071,893264,428192,201
2012-06-12$20.47$24.0340.2%10.1%30.2%21.9%38.7%9.1%1.4%-152.2K120.4M-1.5M1.503.37N/AN/A3,6475,481265,682192,873
2012-06-13$20.38$24.0351.4%12.0%29.2%36.3%40.0%8.9%-0.7%-324.9K121.0M-1.5M1.012.98N/AN/A2,4932,522268,004196,200
2012-06-14$20.79$24.0336.5%10.5%28.6%17.2%38.3%8.1%0.3%243.1K109.0M-1.5M0.234.92N/AN/A11,0452,532268,893197,280
2012-06-15$21.19$24.0334.1%9.8%29.4%14.0%35.5%6.7%1.7%1.2M89.2M-1.6M0.403.76N/AN/A5,9362,356274,240198,006
2012-06-18$20.88$24.0331.0%8.9%29.8%10.1%33.9%7.1%1.9%218.7K99.0M-1.5M1.603.65N/AN/A5,3888,599249,056181,052
2012-06-19$21.39$24.0330.7%8.8%30.1%9.7%32.1%3.5%1.3%301.8K84.1M-1.6M0.362.55N/AN/A10,5573,839251,665187,959
2012-06-20$21.43$24.0329.5%8.5%29.6%8.2%30.9%1.2%2.1%847.3K82.2M-1.6M0.632.69N/AN/A6,8664,338255,645189,890
2012-06-21$20.55$24.0333.1%9.5%33.2%12.8%34.5%1.8%-0.3%-440.0K125.0M-1.4M0.272.73N/AN/A6,8431,868258,362190,815
2012-06-22$20.71$24.0332.5%9.3%33.4%12.0%33.4%2.7%-0.2%-508.2K120.1M-1.4M0.183.02N/AN/A14,6952,604258,797191,174
2012-06-25$20.16$24.0338.8%11.1%34.7%20.1%37.7%5.0%-1.6%-304.8K129.8M-1.4M0.422.82N/AN/A14,8366,165265,725191,702
2012-06-26$20.16$24.0336.8%10.6%32.7%17.5%36.6%2.3%1.1%-55.6K119.0M-1.5M0.902.74N/AN/A3,0752,779276,202195,067
2012-06-27$20.50$24.0334.1%9.8%31.0%14.0%35.9%4.6%-0.8%100.7K117.0M-1.5M0.234.10N/AN/A8,7591,986277,421195,347
2012-06-28$20.45$21.6334.2%9.8%31.0%14.1%34.7%3.3%-0.8%242.7K109.3M-1.5M0.353.83N/AN/A4,2001,476282,559195,266
2012-06-29$21.03$21.6325.2%8.8%30.5%2.6%32.9%5.6%0.8%503.7K93.0M-1.5M0.382.52N/AN/A7,5942,850282,783195,362