AA Options History — February 2013

In February 2013, AA traded between $20.21 and $22.40. ATM implied volatility averaged 22.2%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 2.7% (HV 20d: 19.5%). Max pain ranged from $21.63 to $21.63. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.68.

Notable Days

  • 2013-02-14: Highest Volume — 25,634 contracts
  • 2013-02-25: Largest IV spike — 36.2% change
  • 2013-02-26: Highest IV Rank — 24.3%
  • 2013-02-26: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.28$20.21$22.40$21.63$20.47
Max Pain$21.63$21.63$21.63$21.63$21.63
ATM IV22.2%17.1%30.4%17.1%23.8%
Expected Move6.4%5.7%8.2%5.7%7.1%
HV 20d19.5%15.5%24.7%17.5%24.6%
HV 60d20.6%19.2%22.1%20.9%22.1%
IV Rank10.3%1.4%24.3%1.4%12.9%
IV Percentile13.6%0.4%56.0%0.4%18.7%
Term Structure2.6%-0.5%3.8%3.5%-0.5%
VWIV22.8%20.1%28.1%20.2%25.6%
Skew 25d1.1%-4.0%5.5%1.9%2.1%
Skew 10d2.2%-6.5%10.9%3.0%4.0%
Call IV 25d23.6%20.8%27.9%21.3%25.3%
Put IV 25d24.6%18.4%28.6%23.2%27.4%
Bid-Ask Spread %4.562.2312.294.174.18
Gamma HHI0.330.280.410.290.37
Net GEX1.0M-701.5K3.5M1.2M-177.6K
Net DEX28.0M-27.6M73.4M12.9M61.7M
Net VEX-1.1M-1.2M-1.0M-1.0M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.231.390.320.23
Total Volume12,098.7374,02225,6348,92012,925
Total OI277,130.211259,904297,985261,761297,985

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$21.63$21.6317.1%5.7%17.5%1.4%20.2%1.9%3.5%1.2M12.9M-1.0M0.324.17N/AN/A6,7542,166136,165125,596
2013-02-04$21.29$21.6322.7%6.1%16.4%11.1%21.4%0.6%2.3%883.4K29.2M-1.0M0.722.61N/AN/A3,4622,484135,006124,898
2013-02-05$21.48$21.6319.4%5.7%15.8%5.5%20.1%1.2%3.8%1.6M19.6M-1.1M0.442.96N/AN/A5,2912,335136,652125,593
2013-02-06$21.53$21.6317.8%5.9%15.9%2.7%20.5%2.4%3.5%2.5M16.9M-1.1M1.234.77N/AN/A5,3426,571137,698126,256
2013-02-07$21.39$21.6320.8%6.0%16.0%7.8%20.9%1.5%3.6%1.8M22.3M-1.1M0.893.18N/AN/A4,0723,612136,592127,668
2013-02-08$21.48$21.6320.8%6.0%15.5%7.8%20.8%1.9%3.5%1.8M18.2M-1.1M0.652.25N/AN/A2,4311,591137,707128,091
2013-02-11$21.31$21.6321.0%6.0%15.8%8.1%21.3%1.5%3.1%1.9M24.3M-1.1M1.132.23N/AN/A3,2483,659137,105128,538
2013-02-12$21.70$21.6320.6%5.9%17.0%7.5%20.6%0.1%3.8%3.0M5.1M-1.1M0.752.32N/AN/A9,9217,419137,955129,774
2013-02-13$21.87$21.6320.8%6.0%17.2%7.8%21.0%-0.5%3.4%3.5M-4.1M-1.1M1.393.01N/AN/A5,7227,938143,336133,175
2013-02-14$22.32$21.6322.5%6.5%18.4%10.7%24.6%-1.5%2.3%1.5M-22.8M-1.2M0.314.42N/AN/A19,4976,137144,644135,448
2013-02-15$22.40$21.6322.2%6.4%18.3%10.2%22.9%-2.8%2.6%1.8M-27.6M-1.2M0.513.10N/AN/A10,4395,328153,228137,668
2013-02-19$21.77$21.6320.4%5.9%21.2%7.1%20.2%-4.0%3.8%487.2K14.8M-1.1M0.5512.29N/AN/A14,9788,277141,366132,202
2013-02-20$21.05$21.6322.9%6.6%22.8%11.3%22.9%2.5%2.2%-203.9K45.7M-1.1M0.6711.11N/AN/A10,7787,220144,503136,336
2013-02-21$20.81$21.6323.9%6.9%23.0%13.1%24.4%5.5%2.3%-157.9K55.2M-1.1M0.773.98N/AN/A6,5785,057149,182138,889
2013-02-22$20.76$21.6321.4%6.8%22.7%8.7%24.6%3.3%1.8%-255.8K59.8M-1.1M0.563.98N/AN/A4,4042,461150,708141,075
2013-02-25$20.23$21.6329.1%8.1%24.2%22.0%26.4%0.6%1.3%-519.7K68.7M-1.1M0.798.66N/AN/A8,4526,699147,071139,070
2013-02-26$20.21$21.6330.4%8.2%23.8%24.3%28.1%0.7%0.2%-701.5K73.4M-1.1M0.653.43N/AN/A5,3533,457149,358143,675
2013-02-27$20.52$21.6325.0%6.7%24.7%14.9%25.8%2.9%2.3%-209.0K58.4M-1.1M0.363.99N/AN/A5,7482,070152,151143,110
2013-02-28$20.47$21.6323.8%7.1%24.6%12.9%25.6%2.1%-0.5%-177.6K61.7M-1.1M0.234.18N/AN/A10,4692,456154,956143,029