AA Options History — September 2012

In September 2012, AA traded between $20.23 and $23.65. ATM implied volatility averaged 30.2%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 2.3% (HV 20d: 27.9%). Max pain ranged from $21.63 to $21.63. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.92.

Notable Days

  • 2012-09-10: Highest Volume — 35,746 contracts
  • 2012-09-05: Largest IV spike — 41.0% change
  • 2012-09-11: Highest IV Rank — 26.1%
  • 2012-09-18: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.95$20.23$23.65$20.23$21.29
Max Pain$21.63$21.63$21.63$21.63$21.63
ATM IV30.2%22.7%39.3%23.2%25.2%
Expected Move8.7%6.6%9.5%8.3%8.8%
HV 20d27.9%20.7%31.8%20.7%31.7%
HV 60d27.5%26.8%28.5%27.1%26.9%
IV Rank15.2%6.2%26.1%6.8%9.1%
IV Percentile25.2%1.6%59.5%4.4%7.5%
Term Structure0.6%-1.0%5.5%5.3%-0.7%
VWIV30.9%23.0%33.1%28.3%31.2%
Skew 25d2.5%0.4%4.8%0.7%0.4%
Skew 10d4.7%-0.4%8.8%1.0%-0.4%
Call IV 25d30.9%22.2%33.6%28.8%33.6%
Put IV 25d33.4%27.0%36.5%29.5%34.1%
Bid-Ask Spread %3.331.689.322.233.35
Gamma HHI0.310.260.410.270.28
Net GEX3.8M-1.5M6.6M2.3M2.9M
Net DEX-47.0M-185.7M51.7M51.7M23.9M
Net VEX-1.6M-1.7M-1.5M-1.5M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.323.051.620.65
Total Volume13,429.7893,22735,7463,7115,000
Total OI469,788.579445,620495,509452,018468,873

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$20.23$21.6323.2%8.3%20.7%6.8%28.3%0.7%5.3%2.3M51.7M-1.5M1.622.23N/AN/A1,4192,292279,477172,541
2012-09-05$20.47$21.6332.7%7.6%20.7%18.2%27.3%2.2%3.5%2.5M41.5M-1.5M0.321.93N/AN/A2,442785280,020172,760
2012-09-06$21.05$21.6322.7%6.6%21.5%6.2%23.0%4.8%5.5%3.6M8.0M-1.6M0.342.83N/AN/A4,2771,433281,052172,976
2012-09-07$21.87$21.6324.9%8.3%25.4%8.8%29.8%3.9%2.3%4.7M-50.1M-1.6M0.371.91N/AN/A10,6203,976282,519173,395
2012-09-10$21.75$21.6331.3%9.0%25.1%16.5%33.0%1.0%0.1%4.8M-38.9M-1.6M0.385.30N/AN/A25,9519,795285,693173,521
2012-09-11$22.42$21.6339.3%9.2%26.4%26.1%32.0%4.1%-0.1%5.4M-89.9M-1.7M0.403.89N/AN/A15,0426,062295,818176,573
2012-09-12$22.47$21.6333.1%9.3%25.4%18.7%33.1%2.1%-1.0%5.4M-97.6M-1.7M0.894.91N/AN/A6,2135,522297,803178,655
2012-09-13$23.14$21.6329.5%8.4%27.0%14.3%30.7%1.1%-0.3%6.2M-143.8M-1.7M0.455.03N/AN/A10,3124,657298,885181,471
2012-09-14$23.65$21.6330.1%8.6%27.7%15.0%31.2%0.7%-0.5%6.6M-185.7M-1.7M0.632.28N/AN/A11,0146,906297,933180,848
2012-09-17$23.02$21.6331.1%8.9%29.9%16.3%32.5%1.1%-0.9%5.7M-135.3M-1.7M3.052.38N/AN/A4,74714,493297,659181,017
2012-09-18$22.80$21.6333.1%9.5%30.3%18.7%32.5%1.4%-0.8%3.5M-112.2M-1.6M1.145.75N/AN/A7,5628,605298,478191,763
2012-09-19$22.76$21.6333.0%9.5%30.4%18.6%32.7%2.9%-0.7%3.3M-105.8M-1.7M1.451.87N/AN/A4,6726,788300,960193,227
2012-09-20$22.23$21.6331.9%9.1%31.8%17.2%33.1%4.3%0.4%3.6M-55.6M-1.6M1.012.32N/AN/A5,8995,971300,373195,061
2012-09-21$21.94$21.6330.5%8.7%30.4%15.5%30.9%2.8%1.1%3.5M-21.0M-1.6M0.652.88N/AN/A5,7573,722299,368196,141
2012-09-24$21.77$21.6330.0%8.6%30.6%14.9%30.3%4.0%-0.1%3.5M-15.0M-1.5M0.891.69N/AN/A5,4614,843271,498174,122
2012-09-25$21.24$21.6330.2%8.7%31.3%15.2%30.9%2.8%-0.1%2.6M18.0M-1.5M0.861.70N/AN/A9,7498,370273,599177,512
2012-09-26$21.36$21.6331.3%9.0%31.4%16.5%32.5%3.5%-0.9%2.7M12.1M-1.5M1.531.68N/AN/A6,2309,524278,457180,306
2012-09-27$21.60$21.6330.5%8.7%31.5%15.5%32.3%3.4%-0.9%-1.5M2.2M-1.5M0.899.32N/AN/A4,7954,260280,012185,617
2012-09-28$21.29$21.6325.2%8.8%31.7%9.1%31.2%0.4%-0.7%2.9M23.9M-1.5M0.653.35N/AN/A3,0301,970282,342186,531