AA Options History — March 2013

In March 2013, AA traded between $20.07 and $20.83. ATM implied volatility averaged 24.5%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 3.2% (HV 20d: 21.3%). Max pain ranged from $21.63 to $21.63. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.59.

Notable Days

  • 2013-03-18: Highest Volume — 12,482 contracts
  • 2013-03-14: Largest IV spike — 27.3% change
  • 2013-03-05: Highest IV Rank — 21.0%
  • 2013-03-01: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.46$20.07$20.83$20.28$20.47
Max Pain$21.63$21.63$21.63$21.63$21.63
ATM IV24.5%17.7%28.5%22.7%24.2%
Expected Move7.3%6.8%8.0%8.0%6.9%
HV 20d21.3%14.6%25.3%24.6%14.7%
HV 60d21.7%20.1%22.6%22.1%20.1%
IV Rank14.2%2.4%21.0%11.0%13.6%
IV Percentile24.7%1.2%41.7%13.5%23.4%
Term Structure-0.9%-2.9%0.4%-0.4%-1.8%
VWIV25.6%24.2%27.2%26.9%25.8%
Skew 25d1.6%-0.4%3.7%-0.4%2.4%
Skew 10d6.2%0.7%15.8%1.8%14.2%
Call IV 25d25.4%23.9%26.7%26.7%24.6%
Put IV 25d27.0%25.7%29.6%26.3%26.9%
Bid-Ask Spread %3.791.8110.413.983.30
Gamma HHI0.350.280.410.410.29
Net GEX-289.3K-1.3M410.3K-361.4K410.3K
Net DEX57.7M43.3M80.1M69.9M46.4M
Net VEX-1.1M-1.1M-1.0M-1.1M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.221.710.860.54
Total Volume7,224.053,99312,4827,2156,773
Total OI306,650.1291,744315,466306,671315,466

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$20.28$21.6322.7%8.0%24.6%11.0%26.9%-0.4%-0.4%-361.4K69.9M-1.1M0.863.98N/AN/A3,8743,341162,180144,491
2013-03-04$20.07$21.6326.2%7.9%23.5%17.1%27.2%3.7%-0.5%-961.2K80.1M-1.0M0.744.48N/AN/A5,6534,205155,172144,413
2013-03-05$20.07$21.6328.5%7.5%23.1%21.0%26.3%1.4%0.4%-1.2M74.4M-1.1M0.605.18N/AN/A4,5022,707156,126146,605
2013-03-06$20.59$21.6327.0%7.1%25.0%18.4%25.4%1.4%0.1%-452.7K53.7M-1.1M0.232.56N/AN/A6,7521,578157,899148,201
2013-03-07$20.76$21.6322.8%6.9%25.2%11.2%24.3%2.3%0.0%392.3K43.3M-1.1M0.223.06N/AN/A3,979884160,538148,371
2013-03-08$20.69$21.6317.7%7.0%25.2%2.4%25.3%1.3%-1.2%102.1K48.3M-1.1M0.302.18N/AN/A4,5781,370162,343148,737
2013-03-11$20.83$21.6320.3%6.9%25.3%7.0%24.2%1.4%-0.2%356.7K44.6M-1.1M0.372.23N/AN/A3,3401,241160,526146,964
2013-03-12$20.71$21.6321.6%6.8%25.2%9.1%25.9%1.8%-0.1%69.4K49.4M-1.1M0.603.28N/AN/A6,4983,878161,846147,502
2013-03-13$20.52$21.6318.7%7.0%24.3%4.2%25.5%1.1%-0.3%-364.1K60.3M-1.1M0.733.54N/AN/A2,3131,680163,180149,813
2013-03-14$20.55$21.6323.8%6.8%24.0%13.0%24.6%2.0%-0.3%-595.3K60.5M-1.1M1.712.33N/AN/A2,4004,099161,787148,081
2013-03-15$20.74$21.6324.4%7.0%22.8%14.0%24.8%2.3%-0.7%-54.9K54.4M-1.1M0.245.09N/AN/A7,7901,841162,393150,644
2013-03-18$20.57$21.6325.1%7.2%22.7%15.1%25.4%-0.2%-1.4%-108.0K48.8M-1.1M0.4110.41N/AN/A8,8553,627152,032139,712
2013-03-19$20.38$21.6327.3%7.8%21.0%19.0%26.3%1.5%-1.2%-509.8K56.2M-1.1M0.792.53N/AN/A4,4683,542156,688141,255
2013-03-20$20.52$21.6324.5%7.0%18.0%14.1%24.5%1.3%-1.8%-532.2K51.0M-1.1M0.503.37N/AN/A5,6422,814159,116142,924
2013-03-21$20.31$21.6327.1%7.8%17.9%18.7%25.1%2.0%-1.5%-1.3M62.5M-1.1M0.373.36N/AN/A3,0971,161159,542144,806
2013-03-22$20.31$21.6326.9%7.7%17.9%18.3%25.8%1.5%-0.5%-347.7K63.6M-1.1M0.333.22N/AN/A5,1051,694161,159145,156
2013-03-25$20.23$21.6327.5%7.9%15.4%19.3%26.6%1.8%-0.9%-227.3K60.4M-1.1M0.611.81N/AN/A2,7131,664162,798143,075
2013-03-26$20.23$21.6326.3%7.5%15.4%17.2%26.2%1.1%-2.1%-289.8K66.7M-1.1M0.826.28N/AN/A4,4963,693164,522144,212
2013-03-27$20.40$21.6327.7%7.9%14.6%19.6%26.4%2.4%-2.9%195.5K58.8M-1.1M0.773.56N/AN/A3,7452,889166,687146,040
2013-03-28$20.47$21.6324.2%6.9%14.7%13.6%25.8%2.4%-1.8%410.3K46.4M-1.1M0.543.30N/AN/A4,3902,383168,200147,266