AA Options History — July 2012

In July 2012, AA traded between $19.27 and $21.43. ATM implied volatility averaged 37.0%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 6.2% (HV 20d: 30.8%). Max pain ranged from $21.63 to $21.63. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2012-07-09: Highest Volume — 60,891 contracts
  • 2012-07-05: Largest IV spike — 61.2% change
  • 2012-07-09: Highest IV Rank — 66.0%
  • 2012-07-05: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.22$19.27$21.43$20.74$20.35
Max Pain$21.63$21.63$21.63$21.63$21.63
ATM IV37.0%28.9%74.5%30.4%46.9%
Expected Move9.4%8.3%11.6%11.5%8.9%
HV 20d30.8%27.0%34.9%30.9%27.6%
HV 60d28.6%27.8%31.4%30.7%28.1%
IV Rank17.8%7.4%66.0%9.4%30.6%
IV Percentile32.5%5.6%96.8%12.3%64.7%
Term Structure0.6%-6.9%3.8%-6.2%-0.0%
VWIV33.1%29.5%42.3%40.0%30.2%
Skew 25d2.8%-1.9%6.3%-1.3%1.8%
Skew 10d6.7%-5.0%15.0%3.8%5.6%
Call IV 25d32.7%26.9%44.6%40.9%29.1%
Put IV 25d35.4%29.8%43.4%39.7%30.9%
Bid-Ask Spread %4.962.7120.644.073.40
Gamma HHI0.220.190.260.250.22
Net GEX951.4K104.8K2.0M736.2K1.6M
Net DEX95.9M42.8M136.6M99.8M54.6M
Net VEX-1.5M-1.7M-1.3M-1.5M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.172.360.750.60
Total Volume15,783.7144,38960,89112,2665,897
Total OI489,010.524406,588551,932480,251419,336

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$20.74$21.6330.4%11.5%30.9%9.4%40.0%-1.3%-6.2%736.2K99.8M-1.5M0.754.07N/AN/A6,9995,267284,447195,804
2012-07-03$21.39$21.6329.9%10.8%32.5%8.6%38.2%0.4%-4.9%1.5M63.2M-1.6M0.283.25N/AN/A10,5072,919286,951198,376
2012-07-05$21.43$21.6348.2%11.6%31.7%32.2%42.3%-1.9%-6.9%1.9M52.4M-1.7M0.684.13N/AN/A10,5767,242289,146198,617
2012-07-06$20.98$21.6353.0%9.9%32.5%38.4%36.4%3.9%-0.1%939.3K85.9M-1.6M0.3912.07N/AN/A26,02510,140293,238198,722
2012-07-09$21.05$21.6374.5%11.0%32.5%66.0%40.1%6.3%-2.6%2.0M57.5M-1.7M0.5320.64N/AN/A39,74721,144307,879201,117
2012-07-10$20.19$21.6349.8%9.8%34.9%34.2%33.7%2.1%2.1%486.6K128.7M-1.5M0.493.29N/AN/A32,13015,889324,629212,206
2012-07-11$20.07$21.6332.9%9.9%33.8%12.5%34.8%4.6%1.7%764.1K122.3M-1.5M1.354.87N/AN/A6,0668,185337,901209,588
2012-07-12$19.94$21.6332.6%9.3%33.9%12.1%33.0%3.2%3.1%189.7K130.1M-1.5M0.492.74N/AN/A6,6233,263339,825211,109
2012-07-13$20.23$21.6332.2%9.2%33.5%11.6%31.1%4.4%2.8%1.2M117.5M-1.5M0.663.87N/AN/A5,0453,318340,714211,218
2012-07-16$20.02$21.6332.4%9.3%32.7%11.9%31.4%4.6%2.8%472.6K120.8M-1.5M0.664.18N/AN/A2,6441,745328,733206,472
2012-07-17$19.90$21.6331.1%8.9%32.4%10.3%31.8%1.8%3.7%104.8K132.7M-1.4M2.364.09N/AN/A4,71911,145329,221206,002
2012-07-18$20.02$21.6330.0%8.6%31.1%8.9%30.7%2.3%3.4%422.9K128.9M-1.5M1.434.73N/AN/A2,4033,426330,061209,408
2012-07-19$20.14$21.6329.6%8.5%31.2%8.3%29.7%1.8%3.8%700.8K127.8M-1.5M0.784.35N/AN/A3,6452,828329,441209,815
2012-07-20$19.85$21.6329.3%8.4%27.9%7.9%29.6%2.8%3.4%347.4K136.6M-1.4M1.174.62N/AN/A3,9334,583330,452210,635
2012-07-23$19.56$21.6330.5%8.7%28.0%9.4%30.8%4.7%1.3%879.3K84.2M-1.4M0.794.46N/AN/A5,6624,474242,322164,266
2012-07-24$19.27$21.6330.8%8.8%27.0%9.8%31.2%3.9%1.2%713.8K94.9M-1.3M0.913.03N/AN/A4,0643,692244,868166,471
2012-07-25$19.27$21.6329.9%8.6%27.0%8.6%29.9%3.8%1.4%529.8K96.5M-1.4M0.172.71N/AN/A11,9101,976247,062169,241
2012-07-26$19.68$21.6328.9%8.3%27.4%7.4%30.7%5.3%2.3%820.9K87.0M-1.4M0.413.16N/AN/A7,4083,012249,049169,894
2012-07-27$20.31$21.6335.2%8.5%29.8%15.5%29.5%2.9%0.3%1.9M49.6M-1.5M0.193.36N/AN/A13,9962,594259,623170,010
2012-07-30$20.31$21.6338.8%8.6%27.9%20.1%30.0%0.7%1.1%1.8M42.8M-1.6M0.363.18N/AN/A3,3861,231266,156169,196
2012-07-31$20.35$21.6346.9%8.9%27.6%30.6%30.2%1.8%-0.0%1.6M54.6M-1.5M0.603.40N/AN/A3,6922,205250,201169,135