AA Options History — August 2013

In August 2013, AA traded between $18.50 and $19.85. ATM implied volatility averaged 21.7%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 2.2% (HV 20d: 19.5%). Max pain ranged from $19.22 to $19.22. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.14.

Notable Days

  • 2013-08-15: Highest Volume — 19,580 contracts
  • 2013-08-12: Largest IV spike — 50.2% change
  • 2013-08-12: Highest IV Rank — 24.9%
  • 2013-08-30: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.21$18.50$19.85$19.10$18.50
Max Pain$19.22$19.22$19.22$19.22$19.22
ATM IV21.7%17.3%28.2%20.1%23.6%
Expected Move6.3%5.0%6.9%5.3%6.9%
HV 20d19.5%13.5%24.6%14.9%24.6%
HV 60d18.7%16.9%20.0%18.1%19.6%
IV Rank12.4%3.9%24.9%9.2%16.0%
IV Percentile26.7%1.6%75.4%9.9%42.5%
Term Structure2.5%1.5%3.3%1.6%2.4%
VWIV22.2%17.4%24.9%18.4%24.2%
Skew 25d-0.2%-8.0%3.0%0.3%3.0%
Skew 10d-0.6%-12.8%4.0%0.7%-3.2%
Call IV 25d24.9%17.5%27.5%18.1%25.4%
Put IV 25d24.7%17.9%28.4%18.4%28.4%
Bid-Ask Spread %2.962.163.863.862.45
Gamma HHI0.300.260.360.360.29
Net GEX-12.7K-746.7K682.4K6.0K-746.7K
Net DEX38.6M7.8M73.2M46.9M73.2M
Net VEX-1.1M-1.2M-951.0K-951.0K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.164.720.330.70
Total Volume9,430.9094,90519,58016,82410,038
Total OI353,420.864327,206376,835327,206376,835

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$19.10$19.2220.1%5.3%14.9%9.2%18.4%0.3%1.6%6.0K46.9M-951.0K0.333.86N/AN/A12,6174,207189,547137,659
2013-08-02$19.15$19.2218.4%5.0%14.2%6.1%17.4%0.4%3.3%330.5K44.5M-994.8K0.333.27N/AN/A3,8011,267194,492138,429
2013-08-05$19.22$19.2219.9%5.9%13.5%8.9%20.5%-0.0%2.8%124.5K38.5M-991.9K0.192.69N/AN/A4,583869195,040137,386
2013-08-06$19.01$19.2220.3%5.9%14.1%9.7%20.7%1.5%2.6%265.1K48.4M-969.6K2.623.00N/AN/A2,1325,588197,749137,647
2013-08-07$18.72$19.2220.6%6.4%15.1%10.2%22.4%0.0%1.9%52.3K57.7M-1.0M2.182.24N/AN/A4,5429,901198,192141,498
2013-08-08$19.01$19.2220.4%6.0%13.8%9.8%21.3%1.8%2.6%301.9K49.3M-1.1M0.222.86N/AN/A4,260958200,154149,899
2013-08-09$19.75$19.2218.8%6.4%19.7%6.7%22.1%1.8%1.5%497.8K7.8M-1.1M0.162.90N/AN/A13,3512,112202,884149,529
2013-08-12$19.85$19.2228.2%6.3%19.5%24.9%22.8%-0.6%2.6%682.4K8.9M-1.1M0.233.28N/AN/A7,2861,663200,286148,928
2013-08-13$19.58$19.2217.3%6.5%20.0%3.9%22.9%0.8%2.4%328.7K15.9M-1.1M0.942.85N/AN/A3,3213,130203,032149,144
2013-08-14$19.61$19.2218.8%6.2%19.7%6.8%21.6%-0.5%3.1%324.5K16.2M-1.1M0.383.06N/AN/A3,5771,358203,216150,635
2013-08-15$19.61$19.2224.2%6.9%19.6%17.2%24.9%-0.4%2.1%221.9K14.1M-1.2M2.373.56N/AN/A5,81113,769202,482149,699
2013-08-16$19.51$19.2222.6%6.5%18.7%14.0%23.7%-2.4%2.1%-261.0K23.4M-1.2M0.802.66N/AN/A8,9587,169204,135159,075
2013-08-19$19.08$19.2222.9%6.6%20.2%14.7%22.9%-2.2%2.3%-266.9K44.4M-1.1M0.853.27N/AN/A4,4983,825194,960151,402
2013-08-20$19.22$19.2222.2%6.4%20.4%13.4%22.2%-0.8%3.0%-179.9K39.0M-1.1M3.303.69N/AN/A2,8249,307197,456153,479
2013-08-21$18.84$19.2222.9%6.6%21.2%14.8%22.9%-2.5%2.6%-292.4K53.9M-1.1M1.702.16N/AN/A3,2025,453199,338155,891
2013-08-22$19.30$19.2222.3%6.4%23.0%13.5%22.3%-8.0%3.1%285.9K34.4M-1.2M0.453.21N/AN/A3,3811,524201,079162,095
2013-08-23$19.34$19.2222.5%6.5%23.0%14.0%22.9%-1.1%2.6%-108.8K29.4M-1.2M0.402.62N/AN/A5,2002,067202,297162,301
2013-08-26$19.37$19.2222.9%6.6%23.0%14.6%23.0%0.5%2.3%-199.6K35.2M-1.2M4.723.27N/AN/A1,9659,270201,851162,127
2013-08-27$19.03$19.2223.4%6.7%23.8%15.7%23.5%0.7%2.7%-455.5K52.6M-1.2M0.772.96N/AN/A3,2012,459203,159165,719
2013-08-28$19.06$19.2222.4%6.4%23.5%13.8%22.5%1.2%2.9%-574.2K51.7M-1.1M0.662.81N/AN/A3,5612,356204,538166,815
2013-08-29$18.77$19.2222.8%6.5%24.1%14.5%23.1%1.6%2.8%-616.2K63.3M-1.1M0.782.52N/AN/A4,0103,109206,036167,144
2013-08-30$18.50$19.2223.6%6.9%24.6%16.0%24.2%3.0%2.4%-746.7K73.2M-1.1M0.702.45N/AN/A5,8984,140208,313168,522