AA Options History — November 2013

In November 2013, AA traded between $21.43 and $23.84. ATM implied volatility averaged 30.2%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 15.6% (HV 20d: 45.8%). Max pain ranged from $16.82 to $16.82. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.55.

Notable Days

  • 2013-11-04: Highest Volume — 56,742 contracts
  • 2013-11-04: Largest IV spike — 45.6% change
  • 2013-11-05: Highest IV Rank — 70.0%
  • 2013-11-08: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.30$21.43$23.84$22.28$23.09
Max Pain$16.82$16.82$16.82$16.82$16.82
ATM IV30.2%24.3%49.3%32.6%25.4%
Expected Move9.0%8.4%9.4%8.6%9.3%
HV 20d45.8%36.1%51.8%36.1%42.0%
HV 60d33.6%28.5%34.9%28.5%34.5%
IV Rank30.6%18.6%70.0%35.8%20.8%
IV Percentile78.5%52.0%98.8%90.9%61.5%
Term Structure1.2%-4.8%3.6%-4.8%3.6%
VWIV32.0%29.5%34.1%29.5%33.9%
Skew 25d0.7%-1.6%3.0%1.0%-1.6%
Skew 10d0.8%-8.2%8.6%0.7%-8.2%
Call IV 25d30.8%26.9%36.6%36.6%29.1%
Put IV 25d31.5%27.5%37.6%37.6%27.5%
Bid-Ask Spread %8.656.0912.008.808.63
Gamma HHI0.510.330.640.600.57
Net GEX4.5M2.3M7.1M4.5M6.4M
Net DEX-110.6M-243.6M-29.4M-127.1M-184.6M
Net VEX-1.5M-1.7M-1.4M-1.5M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.181.440.770.30
Total Volume17,543.15,81656,7427,8505,816
Total OI477,695.95447,919497,976483,994486,562

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$22.28$16.8232.6%8.6%36.1%35.8%29.5%1.0%-4.8%4.5M-127.1M-1.5M0.778.80N/AN/A4,4333,417276,572207,422
2013-11-04$23.84$16.8247.5%8.4%41.8%66.4%30.0%0.8%-0.3%6.3M-243.6M-1.6M0.2310.87N/AN/A46,06410,678275,336207,519
2013-11-05$23.50$16.8249.3%8.5%42.4%70.0%30.4%0.6%-0.3%7.0M-226.0M-1.6M0.408.62N/AN/A15,1445,981288,092209,884
2013-11-06$23.21$16.8235.8%8.4%43.0%42.3%29.5%2.2%0.6%7.1M-178.9M-1.6M0.187.80N/AN/A13,0172,404280,282213,295
2013-11-07$21.51$16.8234.1%8.8%51.7%38.7%31.1%0.1%1.1%2.4M-41.5M-1.6M0.7010.18N/AN/A29,36820,463277,738213,953
2013-11-08$21.77$16.8228.2%9.4%51.7%26.7%32.2%0.8%1.6%2.7M-64.8M-1.6M0.878.99N/AN/A5,8945,126279,015216,268
2013-11-11$21.70$16.8228.3%9.1%51.6%26.9%31.7%0.1%0.5%2.8M-54.6M-1.6M0.338.85N/AN/A12,4644,097276,506213,484
2013-11-12$21.43$16.8224.3%8.8%51.8%18.6%32.0%1.1%0.8%2.3M-29.4M-1.5M1.047.23N/AN/A6,8257,101275,624213,313
2013-11-13$21.60$16.8226.0%9.3%51.5%22.2%32.8%1.1%0.6%3.0M-55.4M-1.5M0.7010.77N/AN/A5,0893,543277,728214,371
2013-11-14$21.58$16.8228.4%9.0%51.5%27.1%33.4%1.1%0.9%3.7M-44.8M-1.5M1.4410.65N/AN/A2,6043,752277,371213,733
2013-11-15$21.70$16.8228.1%9.0%51.5%26.3%31.5%0.7%1.0%6.1M-67.0M-1.5M0.418.85N/AN/A7,2512,939278,104213,968
2013-11-18$21.51$16.8226.8%9.2%51.6%23.7%33.3%0.6%1.8%2.4M-48.9M-1.5M0.4710.13N/AN/A5,8282,754253,207194,712
2013-11-19$21.94$16.8226.9%9.1%42.1%23.8%32.0%1.6%2.1%3.5M-78.7M-1.4M0.596.79N/AN/A12,7107,487255,502195,335
2013-11-20$21.75$16.8226.1%9.1%42.1%22.2%32.9%0.3%2.4%3.0M-70.1M-1.5M0.5312.00N/AN/A4,5142,401258,335200,000
2013-11-21$21.92$16.8225.8%9.0%42.2%21.7%31.4%3.0%2.7%3.6M-78.5M-1.4M0.317.30N/AN/A6,1451,891259,233196,685
2013-11-22$22.20$16.8227.2%8.8%42.5%24.6%32.6%1.7%1.6%4.1M-94.9M-1.5M0.696.94N/AN/A5,6153,848261,895197,605
2013-11-25$23.04$16.8227.7%9.2%42.8%25.6%34.1%0.2%2.3%6.1M-160.1M-1.5M0.226.66N/AN/A30,9516,782260,467195,362
2013-11-26$23.19$16.8227.4%9.3%42.9%24.9%33.7%-0.5%3.0%6.6M-183.0M-1.6M0.676.09N/AN/A6,3484,258271,605198,197
2013-11-27$23.16$16.8227.2%9.3%42.7%24.6%32.6%-0.5%3.5%6.1M-179.6M-1.6M0.246.87N/AN/A20,8195,041269,931199,708
2013-11-29$23.09$16.8225.4%9.3%42.0%20.8%33.9%-1.6%3.6%6.4M-184.6M-1.7M0.308.63N/AN/A4,4641,352284,920201,642