AA Options History — November 2012

In November 2012, AA traded between $19.34 and $21.03. ATM implied volatility averaged 28.2%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 2.5% (HV 20d: 25.7%). Max pain ranged from $19.22 to $21.63. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.90.

Notable Days

  • 2012-11-08: Highest Volume — 13,307 contracts
  • 2012-11-08: Largest IV drop — 16.6% change
  • 2012-11-06: Highest IV Rank — 30.8%
  • 2012-11-09: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.16$19.34$21.03$21.03$20.21
Max Pain$20.83$19.22$21.63$21.63$19.22
ATM IV28.2%22.6%37.3%30.9%22.6%
Expected Move7.8%7.0%8.9%7.2%7.3%
HV 20d25.7%20.7%31.0%30.8%20.7%
HV 60d27.7%27.1%28.4%27.5%27.6%
IV Rank16.7%7.9%30.8%20.8%7.9%
IV Percentile22.3%1.6%69.8%33.7%1.6%
Term Structure3.9%1.2%7.2%2.1%3.1%
VWIV27.2%24.5%30.2%25.8%24.5%
Skew 25d1.3%-3.7%8.9%8.9%0.2%
Skew 10d6.3%-7.8%87.7%15.0%87.7%
Call IV 25d27.1%23.5%30.6%23.5%25.1%
Put IV 25d28.4%22.8%32.5%32.4%25.3%
Bid-Ask Spread %7.822.4716.4213.665.00
Gamma HHI0.280.240.320.310.31
Net GEX2.1M239.7K3.4M3.2M2.2M
Net DEX69.7M31.7M108.9M31.7M71.6M
Net VEX-1.2M-1.4M-1.1M-1.4M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.223.860.490.31
Total Volume7,6213,07213,3077,9803,883
Total OI436,963.905416,754450,381437,060436,720

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$21.03$21.6330.9%7.2%30.8%20.8%25.8%8.9%2.1%3.2M31.7M-1.4M0.4913.66N/AN/A5,3402,640267,589169,471
2012-11-02$20.79$21.6331.6%7.6%31.0%21.9%27.2%3.1%1.2%3.0M42.0M-1.4M1.266.99N/AN/A3,1704,007270,074169,825
2012-11-05$20.69$21.6335.6%8.1%28.4%28.2%29.0%1.3%4.2%2.8M49.1M-1.3M0.3912.53N/AN/A3,8301,506270,537171,255
2012-11-06$21.00$21.6337.3%8.0%29.0%30.8%28.5%2.8%4.1%3.4M32.8M-1.4M0.225.92N/AN/A7,4671,639272,220171,935
2012-11-07$20.38$21.6334.3%8.7%30.6%26.2%29.7%2.0%1.7%2.6M67.0M-1.3M0.952.74N/AN/A5,9005,600276,236171,600
2012-11-08$20.16$21.6328.6%8.8%30.6%17.3%30.0%3.1%2.5%2.1M75.9M-1.2M1.362.47N/AN/A5,6437,664273,910171,810
2012-11-09$20.26$21.6327.4%8.9%26.2%15.4%30.2%3.7%2.0%2.2M72.6M-1.3M0.573.96N/AN/A4,1142,340276,627173,754
2012-11-12$20.26$19.2227.4%8.6%26.0%15.3%29.2%1.6%3.4%2.2M73.0M-1.3M0.265.08N/AN/A3,026784275,069173,102
2012-11-13$19.97$21.6328.3%8.4%26.3%16.8%29.2%1.7%3.2%1.8M86.2M-1.2M1.082.85N/AN/A2,3922,576275,342172,921
2012-11-14$19.54$19.2229.4%8.3%26.6%18.5%29.2%2.1%6.3%910.1K97.6M-1.1M0.884.14N/AN/A3,7243,277276,116169,119
2012-11-15$19.34$21.6329.6%8.5%25.6%18.8%29.8%1.1%5.2%239.7K108.9M-1.1M0.7614.99N/AN/A4,0503,082275,541168,291
2012-11-16$19.66$21.6328.8%8.2%24.1%17.5%29.0%1.0%5.7%967.9K90.9M-1.2M1.1610.99N/AN/A4,9985,775276,599168,840
2012-11-19$20.04$21.6326.2%7.5%25.5%13.4%25.9%1.8%4.2%1.8M65.9M-1.2M0.3812.51N/AN/A8,0293,017257,191159,563
2012-11-20$19.82$21.6325.7%7.4%24.8%12.7%25.2%-3.7%7.2%1.6M77.4M-1.1M1.1010.78N/AN/A4,3104,758261,559160,061
2012-11-21$19.87$19.2224.7%7.1%24.4%11.2%24.5%-1.7%4.1%1.7M75.9M-1.2M0.294.44N/AN/A5,9541,754262,050160,617
2012-11-23$20.07$19.2224.7%7.1%21.9%11.1%24.6%0.8%3.8%2.1M60.5M-1.2M0.512.58N/AN/A2,0311,041264,301161,001
2012-11-26$19.97$21.6324.8%7.1%21.8%11.3%24.8%-1.2%4.3%1.9M75.2M-1.1M0.6113.07N/AN/A3,1001,885263,552160,200
2012-11-27$19.90$21.6324.5%7.0%21.7%10.9%24.5%-2.3%6.3%1.9M74.3M-1.1M3.869.03N/AN/A2,1428,261264,948160,919
2012-11-28$20.19$19.2225.1%7.2%22.4%11.9%25.0%0.8%3.4%2.4M67.6M-1.2M1.9816.42N/AN/A3,0856,109265,836164,388
2012-11-29$20.19$19.2225.3%7.2%22.2%12.0%25.1%0.7%3.2%2.5M68.0M-1.2M0.423.96N/AN/A4,3121,826267,041168,512
2012-11-30$20.21$19.2222.6%7.3%20.7%7.9%24.5%0.2%3.1%2.2M71.6M-1.2M0.315.00N/AN/A2,954929268,740167,980