AA Options History — June 2013

In June 2013, AA traded between $18.62 and $20.47. ATM implied volatility averaged 25.0%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 7.3% (HV 20d: 17.8%). Max pain ranged from $19.22 to $21.63. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.71.

Notable Days

  • 2013-06-24: Highest Volume — 14,321 contracts
  • 2013-06-28: Largest IV drop — 34.2% change
  • 2013-06-24: Highest IV Rank — 22.6%
  • 2013-06-24: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.51$18.62$20.47$20.47$18.79
Max Pain$21.15$19.22$21.63$19.22$21.63
ATM IV25.0%17.8%29.4%22.4%17.8%
Expected Move7.6%6.6%8.4%6.6%7.6%
HV 20d17.8%15.6%20.3%18.5%19.9%
HV 60d19.1%17.9%20.4%17.9%20.4%
IV Rank15.1%2.7%22.6%10.4%2.7%
IV Percentile42.2%2.4%73.4%19.4%2.4%
Term Structure-0.2%-2.5%1.6%1.5%-0.6%
VWIV27.0%25.0%31.9%25.0%26.9%
Skew 25d1.9%-4.9%4.7%3.6%4.7%
Skew 10d2.7%-7.3%7.2%5.2%4.8%
Call IV 25d28.0%23.5%32.1%23.5%29.5%
Put IV 25d29.9%25.0%35.0%27.1%34.3%
Bid-Ask Spread %2.621.943.972.372.75
Gamma HHI0.370.270.520.270.41
Net GEX-300.7K-2.0M1.1M1.1M-722.2K
Net DEX43.7M3.8M76.4M3.8M67.5M
Net VEX-1.1M-1.2M-1.0M-1.2M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.281.741.570.45
Total Volume6,730.32,77414,3218,0573,973
Total OI344,404.5328,170357,487330,471344,481

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$20.47$19.2222.4%6.6%18.5%10.4%25.0%3.6%1.5%1.1M3.8M-1.2M1.572.37N/AN/A3,1364,921192,203138,268
2013-06-04$20.14$19.2225.9%8.0%19.1%16.5%27.9%2.0%-0.8%690.0K19.7M-1.2M0.721.94N/AN/A4,6233,310193,640141,662
2013-06-05$19.70$19.2224.8%7.3%20.3%14.7%25.4%-4.9%1.6%134.6K37.7M-1.2M0.462.24N/AN/A6,6383,059195,705143,935
2013-06-06$19.85$19.2224.2%7.7%17.7%13.6%25.4%-3.2%0.5%375.6K33.8M-1.2M0.502.61N/AN/A1,858936198,567144,700
2013-06-07$20.02$21.6321.2%7.4%18.0%8.4%25.7%1.7%0.4%510.8K26.6M-1.2M0.362.76N/AN/A3,6351,301199,151144,693
2013-06-10$20.09$21.6321.6%7.5%17.9%9.2%26.0%1.9%-0.3%865.0K20.5M-1.2M0.282.87N/AN/A6,2821,789198,171142,925
2013-06-11$19.78$21.6322.2%7.8%17.4%10.2%27.3%2.4%-0.2%223.4K32.6M-1.2M1.742.26N/AN/A2,3074,014203,142143,338
2013-06-12$19.66$21.6323.6%7.7%17.4%12.7%27.1%2.6%-0.1%-310.2K36.3M-1.2M0.413.97N/AN/A1,968806203,462146,149
2013-06-13$19.70$21.6326.4%7.6%17.4%17.4%26.4%3.0%0.6%-423.8K33.3M-1.2M0.312.89N/AN/A2,584792204,457146,424
2013-06-14$19.51$21.6326.6%7.6%17.6%17.8%26.9%2.1%-0.8%-642.2K43.7M-1.2M0.432.18N/AN/A3,2671,396205,070146,372
2013-06-17$19.49$21.6326.1%7.5%16.7%16.9%26.1%2.8%0.7%-797.4K43.2M-1.1M1.012.64N/AN/A2,9052,930204,408145,655
2013-06-18$19.73$21.6325.9%7.4%15.9%16.5%25.9%2.5%0.2%-468.4K36.7M-1.1M1.492.83N/AN/A3,4615,169205,363147,878
2013-06-19$19.49$21.6326.1%7.5%16.2%16.8%26.0%1.0%-1.4%-1.1M44.9M-1.1M0.952.54N/AN/A1,8931,804206,999150,488
2013-06-20$19.27$21.6327.8%8.0%16.3%19.8%28.0%1.5%0.2%-2.0M60.6M-1.1M0.432.28N/AN/A6,6052,854201,533150,285
2013-06-21$19.18$21.6326.6%7.6%15.6%17.8%26.7%1.9%-0.3%-675.1K58.5M-1.1M0.942.84N/AN/A6,0825,719204,700151,238
2013-06-24$18.72$21.6329.4%8.4%17.2%22.6%31.9%2.9%-2.4%-843.9K71.3M-1.0M0.612.58N/AN/A8,8785,443186,172141,998
2013-06-25$19.03$21.6326.5%7.6%17.7%17.6%26.6%2.6%0.1%-689.2K62.0M-1.1M0.312.77N/AN/A4,7341,461190,052144,898
2013-06-26$18.62$21.6328.6%8.2%18.7%21.1%28.7%3.0%-2.5%-809.0K76.4M-1.0M0.512.54N/AN/A4,6822,406192,904145,243
2013-06-27$18.91$21.6327.1%7.8%19.9%18.6%29.3%4.5%-0.8%-414.1K65.1M-1.0M0.622.54N/AN/A3,0811,904195,831145,930
2013-06-28$18.79$21.6317.8%7.6%19.9%2.7%26.9%4.7%-0.6%-722.2K67.5M-1.0M0.452.75N/AN/A2,7371,236197,637146,844