AA Options History — May 2013

In May 2013, AA traded between $20.26 and $21.31. ATM implied volatility averaged 22.2%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 0.6% (HV 20d: 21.6%). Max pain ranged from $19.22 to $19.22. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.63.

Notable Days

  • 2013-05-20: Highest Volume — 26,749 contracts
  • 2013-05-16: Largest IV spike — 24.0% change
  • 2013-05-01: Highest IV Rank — 21.9%
  • 2013-05-30: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.68$20.26$21.31$20.26$20.43
Max Pain$19.22$19.22$19.22$19.22$19.22
ATM IV22.2%18.6%29.0%29.0%19.7%
Expected Move6.4%5.9%7.1%6.7%7.0%
HV 20d21.6%19.6%23.4%21.5%19.7%
HV 60d19.6%18.0%21.1%20.1%18.0%
IV Rank10.2%4.0%21.9%21.9%5.8%
IV Percentile18.1%3.6%57.1%57.1%5.2%
Term Structure2.2%-2.2%3.6%0.7%2.1%
VWIV22.5%20.9%25.3%24.1%23.2%
Skew 25d1.5%-1.3%5.3%-0.6%1.6%
Skew 10d4.6%-6.2%64.9%-1.5%64.9%
Call IV 25d22.6%18.7%25.3%24.7%23.1%
Put IV 25d24.1%22.0%26.0%24.1%24.7%
Bid-Ask Spread %3.452.265.892.722.42
Gamma HHI0.290.240.330.250.29
Net GEX1.5M590.5K2.8M1.1M1.2M
Net DEX-3.8M-31.3M18.0M11.5M4.1M
Net VEX-1.2M-1.3M-1.1M-1.1M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.101.030.900.64
Total Volume7,573.3183,59226,7496,6894,342
Total OI316,604.909293,122331,591308,400331,591

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$20.26$19.2229.0%6.7%21.5%21.9%24.1%-0.6%0.7%1.1M11.5M-1.1M0.902.72N/AN/A3,5183,171170,722137,678
2013-05-02$20.33$19.2223.4%7.1%21.4%12.3%25.0%-0.4%-0.9%1.4M11.6M-1.1M0.673.31N/AN/A2,1551,437171,833138,820
2013-05-03$20.71$19.2221.5%6.6%22.2%8.9%25.3%0.8%-2.2%1.1M-10.4M-1.2M0.303.72N/AN/A8,6622,625172,501139,206
2013-05-06$20.88$19.2225.9%6.0%21.6%16.6%21.2%0.5%3.1%1.6M-13.7M-1.2M0.784.02N/AN/A3,5982,805171,365138,090
2013-05-07$20.76$19.2225.6%5.9%21.7%15.9%21.0%1.0%3.6%1.2M-3.8M-1.1M0.412.63N/AN/A4,9332,005173,216139,412
2013-05-08$21.31$19.2220.4%6.2%23.0%7.1%21.4%-0.1%2.5%2.8M-31.3M-1.2M0.283.92N/AN/A8,0312,232175,110140,029
2013-05-09$21.12$19.2221.3%6.2%23.4%8.7%21.9%0.6%3.3%2.5M-15.7M-1.2M0.653.68N/AN/A5,2823,422172,049140,835
2013-05-10$20.91$19.2220.5%6.1%23.3%7.3%21.8%0.6%3.5%2.0M-4.5M-1.1M0.722.26N/AN/A2,5831,850172,574141,094
2013-05-13$20.50$19.2220.4%6.5%22.9%7.1%22.8%1.1%2.3%750.9K14.8M-1.1M0.583.72N/AN/A2,9981,732173,471140,719
2013-05-14$20.57$19.2219.9%6.4%22.9%6.2%23.2%1.8%2.3%678.0K11.2M-1.1M0.463.94N/AN/A3,3831,559174,707141,687
2013-05-15$20.43$19.2218.6%6.6%21.9%4.0%22.6%1.1%3.4%590.5K18.0M-1.1M1.003.15N/AN/A2,7882,778176,643141,301
2013-05-16$20.43$19.2223.1%6.6%21.9%11.7%22.5%0.4%2.5%614.5K16.2M-1.1M0.363.21N/AN/A5,4341,984176,628141,280
2013-05-17$20.69$19.2221.3%6.1%22.1%8.7%22.6%3.0%2.8%1.2M2.7M-1.1M0.593.52N/AN/A4,6572,733178,201141,901
2013-05-20$21.05$19.2220.7%5.9%22.7%7.6%20.9%5.3%3.4%1.5M-15.1M-1.1M0.104.58N/AN/A24,2762,473164,884128,238
2013-05-21$21.05$19.2222.1%6.3%22.7%10.0%22.1%1.0%2.2%2.3M-30.7M-1.3M1.032.53N/AN/A3,3053,409185,876130,024
2013-05-22$20.88$19.2222.1%6.3%19.8%10.0%22.1%-1.3%2.3%2.2M-22.7M-1.3M0.503.75N/AN/A5,4242,692188,246130,698
2013-05-23$20.52$19.2222.2%6.4%20.9%10.2%22.7%1.6%2.5%1.6M-6.4M-1.3M0.545.89N/AN/A4,4872,431190,226131,367
2013-05-24$20.38$19.2224.0%6.9%20.3%13.2%23.4%2.2%3.0%1.6M-1.1M-1.3M0.783.56N/AN/A3,0052,345191,869131,780
2013-05-28$20.64$19.2221.1%6.0%19.9%8.2%21.5%4.2%3.0%1.8M-11.0M-1.2M1.032.42N/AN/A5,3325,498190,486131,860
2013-05-29$20.62$19.2221.1%6.1%19.6%8.3%21.4%4.7%2.6%2.0M-8.5M-1.3M0.814.61N/AN/A2,2571,824192,064135,831
2013-05-30$20.40$19.2224.8%7.1%19.8%14.6%21.5%2.8%0.9%1.7M1.4M-1.3M0.832.39N/AN/A2,8182,340192,508136,688
2013-05-31$20.43$19.2219.7%7.0%19.7%5.8%23.2%1.6%2.1%1.2M4.1M-1.3M0.642.42N/AN/A2,6491,693193,261138,330