AA Options History — December 2013

In December 2013, AA traded between $22.44 and $25.69. ATM implied volatility averaged 29.2%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 6.1% (HV 20d: 23.1%). Max pain ranged from $16.82 to $16.82. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.47.

Notable Days

2013-12-27: Highest Volume — 25,943 contracts
2013-12-27: Largest IV drop — 27.3% change
2013-12-17: Highest IV Rank — 38.5%
2013-12-18: Largest Expected Move — 9.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.58	$22.44	$25.69	$22.95	$25.54
Max Pain	$16.82	$16.82	$16.82	$16.82	$16.82
ATM IV	29.2%	22.9%	34.0%	30.3%	26.1%
Expected Move	9.4%	9.3%	9.7%	9.4%	9.5%
HV 20d	23.1%	18.2%	42.1%	42.1%	20.3%
HV 60d	34.1%	33.7%	34.7%	34.6%	33.8%
IV Rank	28.7%	15.6%	38.5%	30.9%	22.2%
IV Percentile	79.5%	39.3%	90.9%	88.5%	64.7%
Term Structure	-1.3%	-8.2%	3.2%	3.2%	-6.9%
VWIV	33.7%	31.9%	35.9%	33.7%	33.5%
Skew 25d	-0.3%	-7.2%	3.2%	3.2%	-5.1%
Skew 10d	-0.4%	-8.9%	8.2%	4.9%	-5.7%
Call IV 25d	32.9%	27.8%	41.9%	27.8%	41.2%
Put IV 25d	32.5%	29.4%	36.1%	31.0%	36.1%
Bid-Ask Spread %	12.48	6.14	18.29	6.14	7.72
Gamma HHI	0.58	0.45	0.80	0.56	0.45
Net GEX	9.2M	5.7M	19.2M	5.9M	10.3M
Net DEX	-221.9M	-381.9M	-128.9M	-166.0M	-369.7M
Net VEX	-1.7M	-1.7M	-1.6M	-1.7M	-1.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.47	0.08	2.54	0.16	1.37
Total Volume	11,870.857	3,944	25,943	18,541	18,897
Total OI	502,839.81	480,235	518,574	484,729	503,032

Daily Data (21 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
2013-12-02	$22.95	$16.82	30.3%	9.4%	42.1%	30.9%	33.7%	3.2%	3.2%	5.9M	-166.0M	-1.7M	0.16	6.14	N/A	N/A	15,941	2,600	283,295	201,434
2013-12-03	$22.64	$16.82	31.7%	9.5%	34.3%	33.9%	35.9%	2.2%	-0.5%	6.1M	-141.4M	-1.7M	2.54	10.50	N/A	N/A	4,677	11,903	293,315	203,055
2013-12-04	$22.49	$16.82	30.1%	9.4%	34.1%	30.6%	32.7%	-1.2%	1.5%	5.8M	-128.9M	-1.7M	0.29	13.87	N/A	N/A	3,187	914	295,401	206,496
2013-12-05	$22.47	$16.82	29.9%	9.4%	33.9%	30.2%	33.8%	0.8%	1.2%	5.7M	-131.6M	-1.7M	0.08	13.27	N/A	N/A	8,685	693	296,459	203,782
2013-12-06	$22.49	$16.82	26.1%	9.3%	19.2%	22.3%	33.5%	1.0%	0.5%	6.3M	-135.6M	-1.7M	0.75	15.79	N/A	N/A	2,363	1,767	303,707	202,001
2013-12-09	$22.78	$16.82	26.9%	9.4%	19.3%	24.0%	33.2%	1.0%	-0.5%	7.5M	-162.7M	-1.7M	0.30	14.21	N/A	N/A	3,029	915	303,493	201,591
2013-12-10	$22.97	$16.82	26.8%	9.4%	19.3%	23.6%	33.7%	-1.1%	-0.1%	8.4M	-180.2M	-1.7M	0.32	13.88	N/A	N/A	4,052	1,288	303,926	201,569
2013-12-11	$22.44	$16.82	28.8%	9.5%	20.8%	27.9%	33.3%	1.1%	-0.7%	6.4M	-133.4M	-1.6M	0.19	10.66	N/A	N/A	7,859	1,504	304,325	201,478
2013-12-12	$22.52	$16.82	31.8%	9.4%	20.7%	34.0%	34.0%	0.3%	-1.2%	6.7M	-143.9M	-1.6M	0.26	14.54	N/A	N/A	3,281	843	308,566	201,824
2013-12-13	$22.85	$16.82	30.9%	9.4%	21.1%	32.2%	35.9%	0.4%	-0.7%	8.0M	-172.8M	-1.6M	0.65	14.66	N/A	N/A	2,954	1,921	309,664	201,900
2013-12-16	$23.00	$16.82	31.4%	9.4%	21.1%	33.2%	34.6%	-1.1%	-1.2%	8.6M	-183.0M	-1.6M	0.31	18.29	N/A	N/A	3,630	1,112	308,961	201,774
2013-12-17	$23.31	$16.82	34.0%	9.6%	21.0%	38.5%	33.6%	-2.9%	-2.7%	9.8M	-216.3M	-1.7M	0.36	13.97	N/A	N/A	11,182	4,072	310,082	202,362
2013-12-18	$23.62	$16.82	30.9%	9.7%	20.4%	32.1%	34.0%	1.0%	-0.3%	12.2M	-231.3M	-1.7M	0.54	14.06	N/A	N/A	6,513	3,546	314,647	203,322
2013-12-19	$23.96	$16.82	31.3%	9.5%	20.2%	32.9%	32.9%	0.9%	-1.7%	16.1M	-272.5M	-1.7M	0.25	12.67	N/A	N/A	19,010	4,697	313,788	204,211
2013-12-20	$23.89	$16.82	28.8%	9.4%	20.3%	27.9%	31.9%	0.2%	-0.1%	19.2M	-252.8M	-1.6M	0.20	10.63	N/A	N/A	13,233	2,639	313,618	204,956
2013-12-23	$24.34	$16.82	28.2%	9.4%	20.8%	26.5%	32.7%	0.7%	-0.2%	10.6M	-267.9M	-1.7M	0.22	10.22	N/A	N/A	9,477	2,041	291,414	188,821
2013-12-24	$24.90	$16.82	30.3%	9.5%	18.2%	31.0%	35.6%	1.2%	-1.3%	10.1M	-306.2M	-1.7M	0.20	11.91	N/A	N/A	15,980	3,171	294,172	189,996
2013-12-26	$25.06	$16.82	31.4%	9.4%	18.2%	33.3%	33.2%	1.2%	-2.4%	10.2M	-325.1M	-1.7M	0.26	12.00	N/A	N/A	8,387	2,156	300,030	191,345
2013-12-27	$25.69	$16.82	22.9%	9.5%	19.5%	15.6%	34.0%	-3.9%	-4.7%	9.6M	-381.9M	-1.7M	0.13	10.24	N/A	N/A	22,881	3,062	303,347	192,227
2013-12-30	$25.30	$16.82	24.9%	9.3%	20.6%	19.7%	32.4%	-7.2%	-8.2%	10.8M	-356.3M	-1.7M	0.59	12.85	N/A	N/A	8,298	4,928	308,292	191,958
2013-12-31	$25.54	$16.82	26.1%	9.5%	20.3%	22.2%	33.5%	-5.1%	-6.9%	10.3M	-369.7M	-1.7M	1.37	7.72	N/A	N/A	7,963	10,934	308,594	194,438