AA Options History — January 2013

In January 2013, AA traded between $21.15 and $22.25. ATM implied volatility averaged 25.0%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.4% (HV 20d: 23.6%). 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 17 of 21 days. Put/call ratio averaged 0.74.

Notable Days

2013-01-08: Highest Volume — 50,199 contracts
2013-01-09: Largest IV drop — 66.5% change
2013-01-08: Highest IV Rank — 68.4%
2013-01-08: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.63	$21.15	$22.25	$21.60	$21.24
Max Pain	$21.63	$21.63	$21.63	$21.63	$21.63
ATM IV	25.0%	16.3%	61.4%	21.2%	21.6%
Expected Move	6.3%	5.1%	8.4%	7.7%	5.3%
HV 20d	23.6%	16.5%	25.9%	24.5%	16.5%
HV 60d	22.7%	20.6%	25.4%	25.4%	20.6%
IV Rank	12.5%	0.0%	68.4%	5.7%	9.2%
IV Percentile	18.0%	0.0%	97.6%	1.2%	6.0%
Term Structure	1.9%	-1.8%	5.3%	-0.6%	2.1%
VWIV	22.2%	17.8%	29.8%	26.8%	18.8%
Skew 25d	-0.7%	-5.6%	7.1%	-4.5%	-2.7%
Skew 10d	-0.9%	-8.9%	13.9%	-7.2%	-2.9%
Call IV 25d	23.6%	17.5%	31.5%	31.2%	18.2%
Put IV 25d	22.9%	15.2%	38.6%	26.7%	15.6%
Bid-Ask Spread %	4.41	2.11	10.70	9.95	4.14
Gamma HHI	0.41	0.27	0.82	0.39	0.28
Net GEX	4.2M	832.9K	20.8M	3.6M	913.2K
Net DEX	30.9M	-11.4M	83.9M	18.1M	30.7M
Net VEX	-1.0M	-1.1M	-985.0K	-1.1M	-1.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.24	2.23	0.59	1.18
Total Volume	18,209.714	6,282	50,199	13,799	8,150
Total OI	366,347.048	225,761	464,965	413,406	257,041

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2013-01-02	$21.60	$21.63	21.2%	7.7%	24.5%	5.7%	26.8%	-4.5%	-0.6%	3.6M	18.1M	-1.1M	0.59	9.95	N/A	N/A	8,662	5,137	250,391	163,015
2013-01-03	$21.80	$21.63	31.9%	8.2%	24.6%	22.3%	28.5%	7.1%	-1.8%	4.5M	3.3M	-1.1M	0.44	4.06	N/A	N/A	18,906	8,406	252,150	164,573
2013-01-04	$22.25	$21.63	38.4%	7.9%	24.8%	32.5%	27.4%	2.7%	0.5%	4.3M	-11.4M	-1.1M	1.70	4.37	N/A	N/A	10,665	18,146	248,277	169,116
2013-01-07	$21.87	$21.63	46.0%	8.2%	25.9%	44.5%	29.8%	-0.2%	-0.6%	3.6M	21.4M	-1.1M	0.49	2.39	N/A	N/A	20,803	10,265	250,529	181,913
2013-01-08	$21.87	$21.63	61.4%	8.4%	25.6%	68.4%	29.8%	0.7%	-1.1%	3.8M	21.4M	-1.1M	0.93	2.45	N/A	N/A	26,074	24,125	260,383	187,512
2013-01-09	$21.82	$21.63	20.5%	6.7%	25.6%	4.7%	23.9%	1.0%	2.5%	3.7M	29.7M	-1.0M	0.47	3.57	N/A	N/A	17,139	8,022	269,963	195,002
2013-01-10	$21.55	$21.63	22.5%	6.4%	25.9%	7.7%	22.8%	-0.1%	3.3%	4.6M	62.2M	-1.0M	0.73	2.16	N/A	N/A	11,949	8,745	271,820	191,397
2013-01-11	$21.48	$21.63	21.8%	6.2%	25.9%	7.4%	21.9%	-0.0%	3.6%	4.9M	70.6M	-1.0M	0.63	3.27	N/A	N/A	11,792	7,372	273,566	188,213
2013-01-14	$21.43	$21.63	22.0%	6.3%	25.7%	7.8%	22.1%	1.4%	3.6%	5.5M	62.4M	-998.1K	1.21	4.21	N/A	N/A	7,059	8,539	262,401	179,803
2013-01-15	$21.43	$21.63	20.8%	6.0%	25.1%	5.6%	20.8%	1.4%	3.8%	5.9M	68.3M	-985.0K	0.24	5.37	N/A	N/A	5,054	1,228	263,305	185,167
2013-01-16	$21.34	$21.63	20.3%	5.8%	25.1%	4.9%	20.4%	1.1%	5.0%	5.5M	83.9M	-996.2K	2.23	2.11	N/A	N/A	3,554	7,926	263,657	181,561
2013-01-17	$21.48	$21.63	20.6%	5.9%	24.4%	5.4%	20.7%	1.2%	4.5%	7.8M	62.2M	-1.0M	0.29	6.72	N/A	N/A	25,795	7,383	264,523	183,735
2013-01-18	$21.63	$21.63	17.9%	5.1%	21.6%	0.7%	18.1%	2.9%	5.3%	20.8M	37.4M	-1.0M	0.33	5.88	N/A	N/A	13,637	4,523	258,426	183,298
2013-01-22	$22.11	$21.63	19.0%	5.4%	22.7%	2.6%	19.1%	-4.0%	1.3%	1.0M	-3.8M	-1.0M	0.29	10.70	N/A	N/A	13,573	3,941	114,342	111,419
2013-01-23	$21.99	$21.63	18.5%	5.3%	21.9%	1.7%	19.2%	-3.3%	1.6%	1.4M	-1.9M	-1.0M	0.69	3.42	N/A	N/A	6,049	4,165	120,988	113,511
2013-01-24	$21.72	$21.63	18.2%	5.2%	22.5%	1.1%	18.3%	-5.2%	1.9%	2.1M	9.4M	-1.0M	0.36	4.14	N/A	N/A	7,554	2,737	124,894	116,056
2013-01-25	$21.70	$21.63	16.3%	5.1%	22.2%	0.0%	17.8%	-5.6%	2.1%	1.2M	8.6M	-1.0M	0.51	3.33	N/A	N/A	7,025	3,553	127,026	116,612
2013-01-28	$21.39	$21.63	20.3%	5.4%	22.4%	6.9%	18.9%	-2.0%	2.0%	852.5K	23.2M	-1.0M	0.60	4.31	N/A	N/A	5,546	3,342	127,797	117,459
2013-01-29	$21.34	$21.63	22.6%	5.8%	21.7%	10.8%	20.3%	-2.2%	0.4%	832.9K	22.8M	-1.0M	0.76	2.72	N/A	N/A	3,684	2,816	130,466	119,055
2013-01-30	$21.15	$21.63	23.1%	5.7%	20.8%	11.6%	20.0%	-4.2%	1.1%	859.5K	31.3M	-1.0M	0.78	3.30	N/A	N/A	5,262	4,101	132,303	120,623
2013-01-31	$21.24	$21.63	21.6%	5.3%	16.5%	9.2%	18.8%	-2.7%	2.1%	913.2K	30.7M	-1.0M	1.18	4.14	N/A	N/A	3,738	4,412	134,473	122,568