AA Options History — September 2013

In September 2013, AA traded between $18.55 and $20.57. ATM implied volatility averaged 24.2%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 2.0% (HV 20d: 22.3%). Max pain ranged from $16.82 to $24.03. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.42.

Notable Days

  • 2013-09-18: Highest Volume — 33,537 contracts
  • 2013-09-09: Largest IV spike — 30.9% change
  • 2013-09-03: Highest IV Rank — 29.1%
  • 2013-09-17: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.59$18.55$20.57$18.55$19.51
Max Pain$18.72$16.82$24.03$19.22$16.82
ATM IV24.2%18.2%30.3%30.3%23.5%
Expected Move7.8%6.0%9.6%6.5%8.8%
HV 20d22.3%20.5%25.0%24.5%21.1%
HV 60d20.2%19.5%20.8%19.5%20.3%
IV Rank17.3%5.7%29.1%29.1%15.8%
IV Percentile47.0%4.4%86.5%86.5%42.9%
Term Structure-0.2%-2.6%3.8%2.7%-2.6%
VWIV27.4%20.9%32.6%23.1%30.8%
Skew 25d0.2%-6.0%8.4%4.7%1.7%
Skew 10d3.5%-14.2%74.6%8.2%5.6%
Call IV 25d27.1%21.0%31.0%22.8%31.0%
Put IV 25d27.4%20.9%32.7%27.5%32.7%
Bid-Ask Spread %16.232.35114.633.059.15
Gamma HHI0.270.240.300.290.27
Net GEX676.0K-881.3K2.2M-881.3K757.9K
Net DEX6.4M-51.9M77.0M77.0M9.2M
Net VEX-1.2M-1.2M-1.1M-1.1M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.130.770.410.35
Total Volume10,025.82,60533,53710,83910,649
Total OI399,791.55379,139417,010379,139409,788

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$18.55$19.2230.3%6.5%24.5%29.1%23.1%4.7%2.7%-881.3K77.0M-1.1M0.413.05N/AN/A7,6623,177209,150169,989
2013-09-04$18.84$19.2224.3%6.5%25.0%17.4%22.5%8.4%3.4%-609.2K60.1M-1.1M0.362.35N/AN/A5,7402,065214,199171,895
2013-09-05$18.91$19.2222.4%6.0%24.4%13.8%20.9%-0.1%3.8%-428.1K51.3M-1.2M0.462.86N/AN/A2,9651,358217,680172,844
2013-09-06$19.03$19.2218.2%6.9%23.9%5.7%25.3%2.2%1.0%-370.5K46.1M-1.2M0.262.57N/AN/A3,116799219,291173,054
2013-09-09$19.42$19.2223.9%7.3%20.6%16.6%26.1%2.3%-0.1%149.9K15.1M-1.2M0.212.35N/AN/A10,0262,072219,821172,838
2013-09-10$19.37$19.2221.9%7.4%20.5%12.8%26.0%1.8%-0.9%675.6K21.6M-1.2M0.452.65N/AN/A4,0121,811223,894172,325
2013-09-11$19.68$19.2221.0%7.3%20.8%11.0%25.7%2.0%-0.6%763.0K436.9K-1.2M0.372.59N/AN/A6,4612,404224,966172,677
2013-09-12$19.61$19.2225.6%7.3%20.9%19.9%26.0%0.4%-0.7%662.2K4.6M-1.2M0.142.77N/AN/A5,871806225,694172,647
2013-09-13$19.42$19.2224.3%7.0%21.2%17.4%24.4%1.6%0.1%391.0K14.6M-1.2M0.6478.25N/AN/A1,5841,021228,803172,985
2013-09-16$19.46$0.0023.9%6.5%21.1%16.6%24.5%0.8%0.0%410.1K6.6M-1.2M0.56114.63N/AN/A2,7581,551227,801173,097
2013-09-17$19.85$24.0325.3%9.6%20.5%19.4%28.0%1.6%-0.2%474.2K-10.2M-1.2M0.5519.24N/AN/A5,8283,215228,923173,271
2013-09-18$20.57$24.0327.1%7.4%23.7%22.8%32.6%0.0%-2.0%1.5M-51.9M-1.2M0.3329.85N/AN/A25,1718,366230,352173,777
2013-09-19$20.28$16.8225.8%8.8%23.0%20.3%29.7%-3.5%-0.7%2.2M-44.0M-1.2M0.449.92N/AN/A11,5265,120241,678170,237
2013-09-20$19.92$16.8224.9%8.9%22.9%18.7%29.6%-6.0%-0.5%1.3M-27.5M-1.2M0.529.74N/AN/A8,7604,528244,604172,406
2013-09-23$19.90$16.8225.6%8.7%22.9%19.8%31.4%-4.6%-1.0%1.1M-9.9M-1.2M0.667.00N/AN/A5,3463,544230,358163,383
2013-09-24$19.94$16.8225.0%8.9%22.9%18.7%29.9%-4.7%-1.1%1.3M-9.0M-1.2M0.137.13N/AN/A16,4962,195232,773163,798
2013-09-25$20.02$16.8224.9%8.8%21.8%18.6%29.7%-2.9%-0.8%1.7M-16.4M-1.2M0.346.96N/AN/A3,2971,135241,461164,253
2013-09-26$19.87$16.8226.1%8.8%22.1%20.9%30.9%-2.0%-1.7%1.3M-9.5M-1.2M0.776.33N/AN/A5,3814,155242,707164,684
2013-09-27$19.70$16.8220.6%8.8%21.5%10.2%30.3%0.7%-1.7%1.1M-121.9K-1.2M0.415.26N/AN/A6,0792,466245,929165,799
2013-09-30$19.51$16.8223.5%8.8%21.1%15.8%30.8%1.7%-2.6%757.9K9.2M-1.2M0.359.15N/AN/A7,8902,759244,388165,400