AA Options History — October 2012

In October 2012, AA traded between $20.59 and $22.13. ATM implied volatility averaged 32.7%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 3.6% (HV 20d: 29.1%). 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 13 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2012-10-09: Highest Volume — 54,369 contracts
  • 2012-10-10: Largest IV drop — 59.3% change
  • 2012-10-09: Highest IV Rank — 59.4%
  • 2012-10-04: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.37$20.59$22.13$21.41$20.59
Max Pain$21.63$21.63$21.63$21.63$21.63
ATM IV32.7%25.6%67.1%25.8%32.4%
Expected Move8.3%7.4%10.2%9.1%7.5%
HV 20d29.1%26.0%31.4%31.4%29.8%
HV 60d27.1%25.2%28.3%26.6%27.3%
IV Rank20.4%9.9%59.4%9.9%23.2%
IV Percentile30.1%8.7%97.2%8.7%44.0%
Term Structure1.0%-3.5%4.6%-1.5%2.2%
VWIV29.6%25.8%35.7%32.1%27.1%
Skew 25d2.5%-0.2%5.8%-0.1%4.0%
Skew 10d4.3%-4.4%9.8%-0.8%8.1%
Call IV 25d29.8%25.0%36.2%35.1%26.6%
Put IV 25d32.3%29.0%40.7%35.0%30.6%
Bid-Ask Spread %5.961.9420.366.0913.26
Gamma HHI0.320.260.460.280.29
Net GEX3.9M2.6M6.6M3.2M2.6M
Net DEX6.9M-67.7M58.8M7.3M54.3M
Net VEX-1.5M-1.6M-1.3M-1.5M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.271.050.780.67
Total Volume16,941.9055,55354,3698,6355,553
Total OI476,518.095422,948517,389461,674437,619

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$21.41$21.6325.8%9.1%31.4%9.9%32.1%-0.1%-1.5%3.2M7.3M-1.5M0.786.09N/AN/A4,8413,794280,589181,085
2012-10-02$21.27$21.6331.2%9.1%30.9%16.4%31.9%4.6%-1.6%3.1M16.6M-1.5M0.7211.37N/AN/A5,0603,620282,973183,027
2012-10-03$21.10$21.6335.8%9.0%30.9%21.9%31.9%3.1%-1.5%2.9M30.8M-1.4M0.833.09N/AN/A4,5443,752284,375184,526
2012-10-04$21.80$21.6340.8%10.2%31.4%27.9%35.7%4.5%-3.5%4.0M-21.6M-1.5M0.278.57N/AN/A21,5065,830285,941184,448
2012-10-05$21.84$21.6340.9%9.1%28.4%28.0%32.8%0.5%-0.2%4.9M-42.8M-1.5M0.437.46N/AN/A10,7054,612298,012185,811
2012-10-08$21.92$21.6357.9%9.4%28.3%48.5%34.1%-0.2%-0.8%4.7M-43.6M-1.6M0.782.37N/AN/A15,72412,206296,119186,628
2012-10-09$21.94$21.6367.1%9.8%26.0%59.4%34.4%1.5%-1.8%4.8M-46.3M-1.6M0.6720.36N/AN/A32,52321,846303,365191,733
2012-10-10$20.93$21.6327.3%8.3%30.6%11.7%29.7%1.0%2.2%2.7M58.8M-1.4M0.972.03N/AN/A19,13418,635315,975201,414
2012-10-11$21.07$21.6327.9%8.0%28.4%16.1%28.4%0.9%2.9%3.8M40.2M-1.4M0.821.94N/AN/A9,2607,578316,280199,524
2012-10-12$20.88$21.6328.0%8.0%26.7%16.3%28.5%0.8%2.6%3.8M53.4M-1.4M1.052.20N/AN/A4,0974,315316,150196,265
2012-10-15$21.15$21.6326.7%7.7%26.3%14.3%27.5%1.9%3.3%4.9M35.6M-1.4M0.761.98N/AN/A11,3508,639306,407192,020
2012-10-16$21.48$21.6326.4%7.6%27.1%13.8%27.8%2.3%3.5%6.6M4.8M-1.5M0.843.77N/AN/A5,7654,819311,680196,351
2012-10-17$22.06$21.6326.4%7.6%29.1%13.8%26.5%3.4%3.8%6.5M-64.7M-1.5M0.422.10N/AN/A17,8417,541312,044196,592
2012-10-18$22.13$21.6326.9%7.7%27.9%14.5%27.3%2.4%3.6%5.2M-67.7M-1.5M0.443.65N/AN/A7,2363,200308,963198,169
2012-10-19$21.65$21.6325.6%7.4%28.6%12.6%25.8%1.4%4.6%3.3M-5.9M-1.5M0.483.86N/AN/A18,7198,918307,936198,975
2012-10-22$21.87$21.6326.8%7.7%28.8%14.5%27.0%5.0%0.5%3.8M-12.6M-1.5M0.972.28N/AN/A5,3655,192259,896163,052
2012-10-23$21.10$21.6328.4%8.1%30.3%16.9%28.7%3.0%-0.2%3.0M25.9M-1.5M0.603.69N/AN/A7,8544,710262,684166,499
2012-10-24$20.91$21.6327.8%8.0%30.3%15.9%28.9%5.8%0.4%3.1M41.2M-1.4M0.8515.47N/AN/A3,8693,308266,514168,479
2012-10-25$20.98$21.6327.8%8.0%30.1%16.0%28.5%2.4%0.4%3.1M35.8M-1.4M1.015.78N/AN/A2,8742,889268,272169,834
2012-10-26$20.79$21.6328.0%7.8%29.8%16.4%27.5%5.0%1.1%2.8M46.2M-1.4M0.903.79N/AN/A3,4493,107269,437171,217
2012-10-31$20.59$21.6332.4%7.5%29.8%23.2%27.1%4.0%2.2%2.6M54.3M-1.3M0.6713.26N/AN/A3,3262,227267,542170,077