AA Options History — October 2013

In October 2013, AA traded between $18.89 and $22.97. ATM implied volatility averaged 31.0%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 3.6% (HV 20d: 27.4%). Max pain ranged from $16.82 to $16.82. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.65.

Notable Days

2013-10-22: Highest Volume — 101,006 contracts
2013-10-22: Largest IV spike — 102.5% change
2013-10-08: Highest IV Rank — 59.3%
2013-10-08: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.77	$18.89	$22.97	$19.63	$22.28
Max Pain	$16.82	$16.82	$16.82	$16.82	$16.82
ATM IV	31.0%	20.2%	46.0%	20.2%	36.1%
Expected Move	8.5%	7.4%	9.0%	8.6%	8.4%
HV 20d	27.4%	20.4%	36.8%	21.1%	36.0%
HV 60d	23.6%	20.1%	28.6%	20.1%	28.6%
IV Rank	31.7%	9.4%	59.3%	9.4%	42.9%
IV Percentile	70.0%	11.9%	97.6%	11.9%	93.3%
Term Structure	-2.5%	-10.0%	0.1%	-2.2%	-4.1%
VWIV	29.9%	26.5%	34.4%	29.5%	29.0%
Skew 25d	1.1%	-3.3%	3.8%	1.1%	0.7%
Skew 10d	1.2%	-8.0%	21.4%	6.5%	-1.2%
Call IV 25d	30.6%	21.5%	45.3%	30.5%	35.5%
Put IV 25d	31.7%	22.8%	43.9%	31.6%	36.2%
Bid-Ask Spread %	12.09	6.57	64.33	8.74	6.57
Gamma HHI	0.36	0.25	0.58	0.27	0.58
Net GEX	2.6M	63.8K	5.8M	863.1K	4.5M
Net DEX	-63.8M	-185.6M	44.6M	4.7M	-134.3M
Net VEX	-1.3M	-1.6M	-1.1M	-1.2M	-1.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.27	1.22	0.33	0.31
Total Volume	19,027.304	5,123	101,006	5,123	9,764
Total OI	445,889.739	399,896	484,196	417,989	484,196

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2013-10-01	$19.63	$16.82	20.2%	8.6%	21.1%	9.4%	29.5%	1.1%	-2.2%	863.1K	4.7M	-1.2M	0.33	8.74	N/A	N/A	3,853	1,270	250,350	167,639
2013-10-02	$19.27	$16.82	24.0%	8.8%	21.9%	16.8%	27.3%	0.0%	-2.5%	686.6K	27.9M	-1.1M	1.12	6.72	N/A	N/A	5,668	6,370	252,841	168,278
2013-10-03	$18.89	$16.82	33.1%	8.7%	23.1%	34.3%	29.4%	3.3%	-2.3%	147.9K	44.6M	-1.1M	0.74	7.61	N/A	N/A	4,718	3,469	254,516	170,672
2013-10-04	$19.13	$16.82	35.0%	8.9%	23.4%	38.0%	30.0%	-0.2%	-1.2%	63.8K	35.4M	-1.1M	1.02	9.49	N/A	N/A	4,750	4,844	256,566	172,418
2013-10-07	$19.15	$16.82	40.3%	8.9%	22.3%	48.2%	30.3%	2.9%	-1.1%	193.7K	29.3M	-1.1M	0.53	13.15	N/A	N/A	14,458	7,654	255,584	170,946
2013-10-08	$19.08	$16.82	46.0%	9.0%	22.3%	59.3%	31.2%	0.8%	-1.9%	879.3K	24.6M	-1.2M	0.70	12.15	N/A	N/A	17,916	12,589	263,494	174,031
2013-10-09	$19.46	$16.82	22.2%	8.9%	22.7%	13.4%	31.1%	0.2%	-0.3%	1.3M	-797.1K	-1.2M	0.32	9.39	N/A	N/A	17,884	5,768	271,749	180,070
2013-10-10	$20.07	$16.82	25.0%	8.7%	25.2%	18.7%	30.0%	0.8%	-0.4%	1.8M	-41.6M	-1.2M	0.33	8.47	N/A	N/A	12,207	4,020	274,602	178,823
2013-10-11	$19.99	$16.82	24.5%	8.8%	24.9%	17.8%	29.2%	0.6%	-0.6%	1.1M	-37.0M	-1.2M	0.76	6.94	N/A	N/A	8,668	6,558	275,009	179,584
2013-10-14	$20.31	$16.82	25.5%	8.7%	25.4%	21.0%	30.9%	0.5%	-0.9%	1.8M	-39.7M	-1.2M	0.48	7.52	N/A	N/A	4,119	1,970	269,811	178,704
2013-10-15	$20.14	$16.82	24.8%	8.7%	24.8%	19.5%	30.8%	0.2%	0.1%	1.1M	-28.1M	-1.2M	0.62	8.83	N/A	N/A	3,980	2,453	270,370	179,095
2013-10-16	$20.50	$16.82	24.4%	8.2%	22.1%	18.8%	34.4%	0.6%	-0.1%	2.1M	-55.4M	-1.2M	0.91	7.87	N/A	N/A	5,433	4,956	271,034	180,537
2013-10-17	$20.64	$16.82	23.4%	8.1%	21.6%	16.7%	33.9%	1.1%	0.0%	2.1M	-58.8M	-1.2M	0.44	8.29	N/A	N/A	4,610	2,044	271,498	180,838
2013-10-18	$20.74	$16.82	22.3%	8.1%	20.4%	14.4%	28.3%	1.8%	0.0%	2.6M	-66.4M	-1.2M	0.83	8.58	N/A	N/A	6,725	5,581	271,307	176,574
2013-10-21	$20.67	$16.82	21.4%	8.1%	20.5%	12.5%	28.9%	1.3%	-0.3%	2.6M	-42.9M	-1.2M	0.27	7.74	N/A	N/A	7,001	1,873	242,695	157,201
2013-10-22	$22.49	$16.82	43.3%	7.4%	35.8%	57.7%	26.5%	-3.3%	-10.0%	4.1M	-153.3M	-1.5M	0.53	64.33	N/A	N/A	65,910	35,096	245,121	157,578
2013-10-23	$22.28	$16.82	32.5%	8.2%	36.3%	35.5%	27.8%	0.6%	-2.1%	5.3M	-155.9M	-1.5M	0.82	12.34	N/A	N/A	20,216	16,489	269,120	177,814
2013-10-24	$22.23	$16.82	34.0%	8.3%	36.1%	38.6%	28.9%	1.3%	-4.5%	5.1M	-146.5M	-1.5M	0.84	13.12	N/A	N/A	7,935	6,647	273,122	189,096
2013-10-25	$22.20	$16.82	36.3%	8.4%	35.8%	43.2%	30.2%	0.3%	-2.2%	4.3M	-139.5M	-1.5M	1.22	20.56	N/A	N/A	8,047	9,843	273,258	193,005
2013-10-28	$22.97	$16.82	40.3%	8.5%	36.6%	51.6%	29.5%	3.1%	-7.8%	5.0M	-185.4M	-1.6M	0.28	11.33	N/A	N/A	24,156	6,717	269,467	197,166
2013-10-29	$22.92	$16.82	40.3%	8.4%	36.8%	51.6%	30.6%	3.1%	-5.9%	5.8M	-185.6M	-1.6M	0.88	7.65	N/A	N/A	11,408	10,040	277,614	200,602
2013-10-30	$22.73	$16.82	39.5%	8.3%	36.0%	49.9%	29.2%	3.8%	-7.0%	5.3M	-161.7M	-1.6M	0.62	10.77	N/A	N/A	7,380	4,571	276,945	204,524
2013-10-31	$22.28	$16.82	36.1%	8.4%	36.0%	42.9%	29.0%	0.7%	-4.1%	4.5M	-134.3M	-1.5M	0.31	6.57	N/A	N/A	7,469	2,295	277,901	206,295