AA Options History — April 2013

In April 2013, AA traded between $19.13 and $20.43. ATM implied volatility averaged 28.2%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 12.2% (HV 20d: 16.0%). Max pain ranged from $19.22 to $21.63. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2013-04-08: Highest Volume — 36,352 contracts
  • 2013-04-09: Largest IV drop — 55.3% change
  • 2013-04-08: Highest IV Rank — 81.7%
  • 2013-04-04: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.82$19.13$20.43$20.16$20.43
Max Pain$20.32$19.22$21.63$21.63$19.22
ATM IV28.2%21.4%63.8%25.3%22.6%
Expected Move7.4%6.0%9.5%8.2%6.9%
HV 20d16.0%11.4%21.5%15.3%21.3%
HV 60d19.1%18.1%20.5%19.0%20.3%
IV Rank20.5%8.8%81.7%15.5%10.9%
IV Percentile36.9%11.1%98.4%29.8%15.1%
Term Structure-1.0%-4.9%2.1%-3.1%-1.6%
VWIV25.9%20.8%33.4%28.7%23.1%
Skew 25d1.5%-4.8%4.4%1.1%-1.1%
Skew 10d3.4%-11.0%15.2%0.7%0.3%
Call IV 25d26.6%21.8%34.8%27.6%23.2%
Put IV 25d28.0%20.8%36.0%28.7%22.2%
Bid-Ask Spread %5.911.9917.376.474.23
Gamma HHI0.420.270.710.390.27
Net GEX-1.2M-5.7M892.9K-476.5K855.1K
Net DEX59.5M10.9M103.2M67.4M10.9M
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 Ratio0.870.232.761.100.57
Total Volume11,807.8185,63236,35210,1397,644
Total OI334,841292,348370,287314,854305,378

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$20.16$21.6325.3%8.2%15.3%15.5%28.7%1.1%-3.1%-476.5K67.4M-1.0M1.106.47N/AN/A4,8315,308168,121146,733
2013-04-02$19.94$21.6329.6%7.9%15.3%23.0%27.7%-2.9%-2.1%-934.8K80.6M-1.0M1.084.93N/AN/A2,8233,046170,340149,831
2013-04-03$19.87$21.6326.3%8.9%15.4%17.3%31.0%-2.1%-4.9%-842.1K72.2M-1.1M0.512.52N/AN/A8,5714,331171,321150,362
2013-04-04$19.75$21.6339.4%9.5%11.9%39.8%33.4%-4.8%-3.7%-661.1K69.0M-1.1M1.144.89N/AN/A6,4247,336176,208151,412
2013-04-05$19.80$21.6343.8%8.5%11.4%47.3%29.6%4.3%-3.1%-642.3K72.2M-1.1M0.513.32N/AN/A14,2267,275180,024154,562
2013-04-08$20.16$21.6363.8%9.4%13.5%81.7%32.4%4.4%-3.9%744.7K44.3M-1.2M0.675.10N/AN/A21,75214,600192,853158,037
2013-04-09$20.16$21.6328.5%7.4%13.1%21.1%25.4%1.9%-0.4%892.9K51.3M-1.1M0.7417.37N/AN/A12,4979,283198,633163,194
2013-04-10$19.97$21.6326.1%7.3%13.4%16.9%25.4%2.8%-1.0%28.8K66.0M-1.1M0.853.77N/AN/A8,1616,906200,559164,207
2013-04-11$19.99$21.6324.6%7.0%13.1%14.3%24.7%1.9%0.1%-258.8K66.9M-1.1M0.9911.04N/AN/A3,3583,311202,844166,025
2013-04-12$19.75$19.2223.9%6.9%13.6%13.2%24.0%1.7%0.6%-2.2M72.9M-1.1M0.861.99N/AN/A3,9633,412204,001166,286
2013-04-15$19.32$19.2226.4%7.6%14.7%17.4%26.8%3.6%-0.2%-3.2M93.8M-1.0M1.044.13N/AN/A6,6826,920197,523163,260
2013-04-16$19.46$19.2225.2%7.2%15.1%15.3%27.0%3.6%0.1%-3.7M85.1M-1.1M0.876.69N/AN/A3,5343,091200,630167,137
2013-04-17$19.13$19.2226.2%7.5%15.8%17.1%25.4%2.9%-0.0%-4.8M103.2M-1.1M2.767.27N/AN/A3,3169,152202,561167,710
2013-04-18$19.30$21.6326.1%7.5%15.9%16.9%26.0%3.9%-0.2%-5.7M90.7M-1.1M1.567.35N/AN/A3,4695,401198,667167,171
2013-04-19$19.42$19.2223.8%6.8%16.0%13.0%23.8%4.0%1.0%-4.4M69.8M-1.0M1.166.60N/AN/A6,1817,141199,994167,617
2013-04-22$19.49$19.2222.6%6.5%16.1%10.9%22.7%4.2%0.8%-662.8K50.8M-1.1M0.5311.43N/AN/A6,0843,236158,619133,729
2013-04-23$19.51$19.2221.4%6.1%16.2%8.8%21.5%2.2%1.4%-730.1K49.7M-1.0M0.853.34N/AN/A3,6153,084160,875135,758
2013-04-24$20.21$19.2224.5%7.0%20.8%14.1%24.4%2.2%-1.7%308.3K19.9M-1.1M0.239.57N/AN/A9,2752,152162,368135,945
2013-04-25$20.16$19.2223.2%6.6%20.6%11.8%23.2%0.3%-0.7%526.8K21.5M-1.1M0.282.32N/AN/A4,3861,246165,146135,886
2013-04-26$19.87$19.2224.0%6.0%21.1%13.4%20.8%-3.9%2.1%-146.3K31.0M-1.1M0.402.80N/AN/A4,3751,764166,559136,156
2013-04-29$20.23$19.2222.7%6.7%21.5%11.0%23.9%1.9%-0.4%367.2K19.7M-1.1M0.482.90N/AN/A4,4582,152166,391135,869
2013-04-30$20.43$19.2222.6%6.9%21.3%10.9%23.1%-1.1%-1.6%855.1K10.9M-1.1M0.574.23N/AN/A4,8842,760168,189137,189