AA Options History — August 2012

In August 2012, AA traded between $19.66 and $21.58. ATM implied volatility averaged 24.6%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 0.1% (HV 20d: 24.7%). Max pain ranged from $19.22 to $21.63. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.87.

Notable Days

  • 2012-08-02: Highest Volume — 20,248 contracts
  • 2012-08-31: Largest IV drop — 37.9% change
  • 2012-08-15: Highest IV Rank — 15.4%
  • 2012-08-06: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.77$19.66$21.58$20.26$20.57
Max Pain$21.42$19.22$21.63$21.63$21.63
ATM IV24.6%17.5%30.5%28.9%17.5%
Expected Move7.4%6.5%8.5%8.5%6.9%
HV 20d24.7%20.6%28.2%24.9%20.6%
HV 60d28.4%26.9%29.6%28.1%26.9%
IV Rank7.4%0.0%15.4%7.4%0.0%
IV Percentile4.4%0.0%17.1%5.6%0.0%
Term Structure3.6%0.2%5.5%1.2%5.0%
VWIV26.0%22.9%30.5%30.5%25.3%
Skew 25d2.1%-1.1%4.1%-1.1%3.1%
Skew 10d8.1%-0.6%72.4%3.7%72.4%
Call IV 25d26.1%22.6%32.6%31.1%24.3%
Put IV 25d28.3%25.9%34.2%30.0%27.4%
Bid-Ask Spread %2.861.585.073.191.99
Gamma HHI0.310.210.400.230.29
Net GEX3.3M1.2M5.2M1.8M2.6M
Net DEX15.0M-39.8M71.7M44.4M37.0M
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 Ratio0.870.222.820.251.25
Total Volume8,764.4353,73820,24814,9594,677
Total OI449,873.435431,135464,666431,135450,441

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$20.26$21.6328.9%8.5%24.9%7.4%30.5%-1.1%1.2%1.8M44.4M-1.6M0.253.19N/AN/A11,9782,981260,522170,613
2012-08-02$19.66$21.6330.5%8.5%26.7%9.4%29.7%1.7%1.6%1.2M71.7M-1.5M0.223.86N/AN/A16,6523,596267,649171,343
2012-08-03$20.11$21.6326.9%8.5%27.5%4.8%29.3%0.6%0.2%2.1M40.1M-1.6M0.512.65N/AN/A6,2753,218280,372172,400
2012-08-06$20.43$19.2221.3%8.5%28.2%0.0%28.1%2.4%2.9%2.7M30.8M-1.6M0.763.05N/AN/A3,8632,930280,288172,321
2012-08-07$20.67$19.2217.7%7.5%24.1%0.0%27.6%2.1%3.1%3.2M14.4M-1.6M0.663.17N/AN/A3,4182,272281,483171,340
2012-08-08$21.15$21.6323.2%7.5%25.1%6.5%27.9%3.3%2.8%3.9M-11.6M-1.7M0.792.59N/AN/A6,7685,317282,164171,280
2012-08-09$21.29$21.6323.1%7.3%24.9%6.5%26.1%3.3%2.9%4.3M-22.0M-1.7M0.802.68N/AN/A8,7586,966283,918172,164
2012-08-10$21.58$21.6322.4%7.1%24.9%5.6%25.4%3.1%3.8%4.2M-39.8M-1.7M0.345.07N/AN/A6,4092,203286,273172,082
2012-08-13$21.22$21.6322.8%7.1%25.4%6.1%25.3%1.9%4.0%5.2M-18.2M-1.7M0.442.93N/AN/A4,6652,055287,675170,184
2012-08-14$20.88$21.6328.0%6.8%26.1%12.4%25.1%2.5%4.5%4.2M6.7M-1.6M1.553.95N/AN/A2,0153,125289,332170,281
2012-08-15$20.98$21.6330.5%7.3%26.1%15.4%25.7%1.9%2.9%4.5M-1.7M-1.6M0.783.03N/AN/A4,9313,849289,551170,638
2012-08-16$21.07$21.6325.6%7.3%26.1%9.5%25.8%0.3%3.4%4.6M-3.1M-1.6M1.022.98N/AN/A6,4386,596287,406172,998
2012-08-17$21.03$21.6323.8%6.8%25.4%7.3%24.3%1.1%4.5%4.2M7.1M-1.6M0.264.19N/AN/A6,4481,678289,094175,572
2012-08-20$21.15$21.6322.8%6.5%24.5%6.1%23.0%2.8%4.7%3.2M-2.6M-1.6M0.612.46N/AN/A4,9303,012271,602164,122
2012-08-21$21.19$21.6323.4%6.7%23.5%6.8%23.5%0.3%4.3%3.6M-5.0M-1.6M0.932.26N/AN/A7,1276,645273,598164,176
2012-08-22$21.31$21.6322.9%6.6%23.5%6.3%22.9%2.3%4.7%3.8M-4.9M-1.6M0.612.16N/AN/A4,5592,793275,956167,531
2012-08-23$20.74$21.6324.1%6.9%25.3%7.7%24.8%2.1%4.2%2.8M19.2M-1.6M2.082.21N/AN/A1,9444,045277,351168,215
2012-08-24$20.74$21.6323.9%6.9%23.0%7.5%25.0%4.1%4.5%2.8M27.6M-1.5M1.921.73N/AN/A2,5394,884277,383168,799
2012-08-27$20.38$21.6327.9%8.0%23.9%12.2%26.4%1.9%3.8%2.5M41.3M-1.5M0.473.76N/AN/A3,4221,620275,816168,743
2012-08-28$20.43$21.6328.0%8.0%23.9%12.4%24.5%3.6%3.9%2.6M35.1M-1.5M0.261.58N/AN/A2,965773277,059168,784
2012-08-29$20.52$21.6323.1%6.6%23.9%6.5%24.8%3.5%5.5%2.7M33.4M-1.5M2.822.10N/AN/A1,6374,609278,870168,918
2012-08-30$20.28$21.6328.3%8.1%21.5%12.7%27.3%2.6%4.3%2.3M45.5M-1.5M0.622.15N/AN/A2,4711,526279,169171,613
2012-08-31$20.57$21.6317.5%6.9%20.6%0.0%25.3%3.1%5.0%2.6M37.0M-1.5M1.251.99N/AN/A2,0792,598278,989171,452