AA Options History — July 2013

In July 2013, AA traded between $18.53 and $19.73. ATM implied volatility averaged 23.9%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 5.1% (HV 20d: 18.9%). Max pain ranged from $19.22 to $19.22. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.54.

Notable Days

  • 2013-07-08: Highest Volume — 38,900 contracts
  • 2013-07-03: Largest IV spike — 160.1% change
  • 2013-07-08: Highest IV Rank — 76.9%
  • 2013-07-08: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.26$18.53$19.73$18.89$19.10
Max Pain$19.22$19.22$19.22$19.22$19.22
ATM IV23.9%15.3%60.8%22.6%23.0%
Expected Move6.3%5.0%8.9%8.2%5.5%
HV 20d18.9%15.4%20.8%20.0%15.6%
HV 60d19.6%18.1%20.5%20.4%18.1%
IV Rank15.2%0.0%76.9%10.9%14.9%
IV Percentile26.0%0.0%98.4%24.2%34.1%
Term Structure0.2%-4.1%2.9%-2.7%1.1%
VWIV22.3%17.7%32.5%29.2%19.2%
Skew 25d-0.9%-6.9%7.1%2.2%-0.2%
Skew 10d-1.9%-10.7%6.6%1.6%0.0%
Call IV 25d24.2%16.7%33.1%31.7%18.2%
Put IV 25d23.4%16.7%40.0%33.9%17.9%
Bid-Ask Spread %4.592.0214.752.244.85
Gamma HHI0.390.320.490.390.36
Net GEX-207.8K-1.7M2.1M-666.4K8.7K
Net DEX41.6M15.5M77.1M65.3M44.3M
Net VEX-1.0M-1.1M-943.2K-1.0M-978.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.161.150.160.34
Total Volume9,016.4554,34738,9007,8655,439
Total OI349,781.045309,257384,431342,768324,854

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$18.89$19.2222.6%8.2%20.0%10.9%29.2%2.2%-2.7%-666.4K65.3M-1.0M0.162.24N/AN/A6,7891,076196,558146,210
2013-07-02$18.74$19.2215.3%8.7%19.5%0.0%30.4%5.3%-3.8%-555.8K77.1M-950.1K1.152.71N/AN/A3,6944,253201,026146,487
2013-07-03$18.53$19.2239.8%8.8%18.6%41.4%32.4%7.1%-4.0%-694.7K75.4M-1.0M0.352.02N/AN/A4,6001,619202,301149,291
2013-07-05$18.77$19.2238.5%8.0%19.1%39.2%28.5%2.6%-1.1%-551.3K66.2M-1.0M0.783.31N/AN/A7,9636,247203,749150,001
2013-07-08$19.03$19.2260.8%8.9%19.6%76.9%32.5%3.8%-4.1%-255.3K51.4M-1.1M0.492.74N/AN/A26,17712,723207,111153,524
2013-07-09$19.01$19.2229.7%6.9%19.5%24.4%24.3%1.8%-0.7%688.8K60.4M-986.1K0.372.54N/AN/A13,1874,840222,452160,775
2013-07-10$19.03$19.2223.3%6.5%18.9%13.6%23.1%1.6%0.1%1.2M55.5M-1.0M0.522.46N/AN/A3,9242,035222,463161,021
2013-07-11$19.46$19.2220.5%5.9%20.7%8.7%20.4%0.9%1.3%2.1M22.0M-1.1M0.452.73N/AN/A9,9784,444222,895161,536
2013-07-12$19.46$19.2220.0%5.7%20.7%9.2%20.1%2.3%1.0%-548.4K24.3M-1.1M0.432.05N/AN/A5,7972,514220,718161,357
2013-07-15$19.63$19.2220.7%5.9%20.6%10.5%21.0%-2.7%0.9%-497.8K24.8M-1.0M0.612.21N/AN/A3,7372,295213,034157,326
2013-07-16$19.49$19.2220.2%5.8%20.8%9.5%20.4%-3.6%1.4%-920.7K32.6M-1.1M1.043.75N/AN/A2,9633,095213,896158,179
2013-07-17$19.68$19.2219.8%5.7%20.7%8.7%19.8%-2.5%1.4%-166.3K15.5M-1.1M0.327.98N/AN/A3,6141,154214,502159,521
2013-07-18$19.73$19.2220.7%5.9%20.2%10.4%20.7%-4.2%0.4%-389.8K15.7M-1.1M0.475.22N/AN/A3,6051,703213,341158,963
2013-07-19$19.39$19.2219.0%5.5%20.7%7.2%19.1%-5.8%1.4%-1.7M33.3M-988.8K0.375.72N/AN/A6,4872,416213,752158,840
2013-07-22$19.51$19.2218.6%5.3%20.7%6.4%18.9%-5.1%1.3%-152.5K31.4M-1.0M0.506.26N/AN/A4,7432,371176,473132,784
2013-07-23$19.56$19.2217.7%5.1%18.5%4.6%17.7%-5.1%1.9%-361.4K31.6M-985.8K0.645.69N/AN/A2,7691,764178,893134,400
2013-07-24$19.34$19.2218.4%5.3%18.3%6.1%18.4%-6.5%1.3%-603.5K40.7M-943.2K0.446.13N/AN/A4,8252,119180,030134,458
2013-07-25$19.30$19.2218.6%5.3%16.3%6.4%18.6%-6.9%1.8%-414.7K37.0M-977.6K0.506.16N/AN/A3,7741,893183,112135,365
2013-07-26$19.39$19.2216.7%5.0%15.6%2.7%17.9%-6.8%2.9%-29.5K34.8M-969.9K1.1214.75N/AN/A2,1692,433184,774136,167
2013-07-29$19.32$19.2221.8%5.4%15.4%12.6%18.8%1.4%1.7%-25.6K39.2M-969.2K0.504.81N/AN/A4,5112,276184,132135,860
2013-07-30$19.30$19.2220.9%5.4%15.4%10.9%19.0%1.3%1.8%-32.3K36.3M-998.9K0.274.71N/AN/A3,416931186,412136,640
2013-07-31$19.10$19.2223.0%5.5%15.6%14.9%19.2%-0.2%1.1%8.7K44.3M-978.9K0.344.85N/AN/A4,0511,388187,780137,074