AA Options History — December 2012

In December 2012, AA traded between $20.21 and $21.41. ATM implied volatility averaged 27.1%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 9.0% (HV 20d: 18.1%). Max pain ranged from $19.22 to $21.63. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.50.

Notable Days

  • 2012-12-18: Highest Volume — 22,971 contracts
  • 2012-12-10: Largest IV spike — 22.0% change
  • 2012-12-31: Highest IV Rank — 18.8%
  • 2012-12-28: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.72$20.21$21.41$20.21$20.86
Max Pain$21.15$19.22$21.63$19.22$21.63
ATM IV27.1%20.7%29.6%26.8%29.6%
Expected Move8.0%6.7%9.0%6.9%8.7%
HV 20d18.1%14.3%21.4%20.4%21.4%
HV 60d24.6%23.4%27.4%27.4%24.4%
IV Rank14.9%4.9%18.8%14.5%18.8%
IV Percentile21.5%0.8%36.9%15.1%36.9%
Term Structure1.4%-1.6%6.1%5.5%-1.6%
VWIV28.2%24.3%31.7%24.6%30.4%
Skew 25d4.2%-1.7%8.6%-1.7%8.6%
Skew 10d5.3%-3.1%10.4%-3.1%6.7%
Call IV 25d28.9%23.6%32.5%26.0%32.5%
Put IV 25d33.1%24.4%41.2%24.4%41.2%
Bid-Ask Spread %7.651.8516.228.972.75
Gamma HHI0.330.240.500.300.30
Net GEX3.0M1.2M6.4M2.3M2.0M
Net DEX49.7M7.9M72.3M69.1M57.0M
Net VEX-1.1M-1.2M-1.0M-1.2M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.110.990.310.41
Total Volume8,626.152,78822,9712,7889,312
Total OI429,089.7406,022444,473436,134409,462

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$20.21$19.2226.8%6.9%20.4%14.5%24.6%-1.7%5.5%2.3M69.1M-1.2M0.318.97N/AN/A2,126662268,546167,588
2012-12-04$20.23$19.2226.2%7.1%20.4%13.5%24.3%0.0%4.2%2.6M68.3M-1.2M0.8416.22N/AN/A4,0553,397269,685167,331
2012-12-05$20.59$19.2225.3%7.1%20.7%12.1%25.1%0.9%3.7%3.6M53.4M-1.2M0.538.67N/AN/A4,4982,391269,623166,120
2012-12-06$20.59$19.2224.1%6.7%17.5%10.3%24.9%2.4%6.1%3.8M51.0M-1.2M0.967.59N/AN/A1,8851,815270,801166,885
2012-12-07$20.43$21.6320.7%8.4%17.4%4.9%29.9%4.0%1.9%2.7M62.0M-1.2M0.6810.42N/AN/A3,0242,042271,246167,685
2012-12-10$20.59$21.6325.3%8.3%17.5%12.0%30.3%3.4%0.5%3.2M56.3M-1.1M0.597.09N/AN/A5,2913,131270,778167,844
2012-12-11$20.86$21.6325.2%8.6%18.0%11.9%29.9%3.3%-0.2%4.2M28.1M-1.2M0.296.42N/AN/A6,5721,878274,016167,715
2012-12-12$20.79$21.6326.8%8.4%17.1%14.4%29.8%3.5%0.0%4.1M40.2M-1.2M0.5810.67N/AN/A4,4972,602277,798166,675
2012-12-13$20.64$21.6329.4%8.4%15.1%18.5%29.6%2.3%0.5%3.8M44.4M-1.1M0.516.52N/AN/A2,3181,192274,710168,407
2012-12-14$21.00$21.6329.1%8.4%15.1%18.1%29.3%2.9%0.5%4.4M24.5M-1.2M0.2210.80N/AN/A6,2001,336275,111169,252
2012-12-17$21.03$21.6328.9%8.3%14.5%17.7%28.9%3.6%0.8%4.9M28.6M-1.2M0.1612.98N/AN/A15,9452,491272,768168,815
2012-12-18$21.41$21.6326.4%7.6%14.3%13.9%26.4%6.3%2.4%6.4M7.9M-1.2M0.114.99N/AN/A20,7652,206268,230168,620
2012-12-19$20.76$21.6328.1%8.1%18.1%16.5%28.4%5.8%1.1%2.4M51.4M-1.1M0.286.50N/AN/A5,4221,496257,523165,625
2012-12-20$20.91$21.6328.9%8.3%18.2%17.7%29.0%6.3%0.6%2.4M46.7M-1.1M0.725.87N/AN/A3,6252,604254,566164,819
2012-12-21$20.59$21.6329.6%8.5%19.0%18.8%29.8%5.0%0.0%1.2M62.4M-1.1M0.576.01N/AN/A3,4091,949255,855165,694
2012-12-24$20.71$21.6326.5%7.6%19.0%14.0%26.5%5.5%0.7%1.9M59.5M-1.0M0.141.85N/AN/A16,3912,330247,428158,594
2012-12-26$20.98$21.6327.0%7.7%19.2%14.7%27.0%6.8%0.7%2.3M47.2M-1.1M0.995.47N/AN/A5,3885,321247,222159,422
2012-12-27$20.71$21.6329.0%8.3%19.4%17.9%29.0%7.5%-0.3%1.4M63.9M-1.0M0.666.99N/AN/A4,8953,243247,054161,758
2012-12-28$20.43$21.6329.2%9.0%20.2%18.1%31.7%7.8%0.8%1.2M72.3M-1.0M0.466.20N/AN/A3,3101,509247,702162,821
2012-12-31$20.86$21.6329.6%8.7%21.4%18.8%30.4%8.6%-1.6%2.0M57.0M-1.0M0.412.75N/AN/A6,6172,695248,019161,443