AA Options History — January 2014 In January 2014, AA traded between $24.27 and $29.36. ATM implied volatility averaged 36.2%, placing in the 43.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 2.8% (HV 20d: 33.4%). Max pain ranged from $16.82 to $24.03. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.59.
Notable Days 2014-01-21 : Highest Volume — 92,595 contracts2014-01-10 : Largest IV drop — 43.4% change2014-01-07 : Highest IV Rank — 91.1%2014-01-29 : Largest Expected Move — 9.4%Monthly Statistics Metric Avg Min Max Open Close Price $26.78 $24.27 $29.36 $25.30 $27.66 Max Pain $19.91 $16.82 $24.03 $16.82 $24.03 ATM IV 36.2% 23.3% 59.5% 43.0% 40.4% Expected Move 9.1% 7.4% 9.4% 9.2% 9.4% HV 20d 33.4% 19.3% 47.3% 19.8% 47.3% HV 60d 35.4% 33.3% 37.3% 33.9% 35.5% IV Rank 43.2% 16.5% 91.1% 57.0% 51.8% IV Percentile 84.5% 41.3% 98.8% 96.4% 94.8% Term Structure -0.6% -9.6% 1.8% -8.1% -0.3% VWIV 32.4% 28.8% 34.4% 32.4% 33.5% Skew 25d -0.9% -6.6% 1.4% -6.6% -1.9% Skew 10d -1.4% -8.4% 4.1% -8.4% -4.6% Call IV 25d 34.7% 27.6% 43.4% 42.5% 39.8% Put IV 25d 33.9% 28.4% 39.6% 36.0% 37.9% Bid-Ask Spread % 14.99 3.53 88.44 10.16 13.46 Gamma HHI 0.37 0.18 0.71 0.46 0.22 Net GEX 9.3M 5.2M 17.4M 10.6M 6.7M Net DEX -392.6M -570.8M -245.0M -348.3M -345.5M Net VEX -2.0M -2.4M -1.7M -1.7M -2.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.59 0.10 1.33 0.74 0.98 Total Volume 38,999.952 9,326 92,595 9,326 21,659 Total OI 496,154.524 355,218 594,875 508,672 444,481
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 2014-01-02 $25.30 $16.82 43.0% 9.2% 19.8% 57.0% 32.4% -6.6% -8.1% 10.6M -348.3M -1.7M 0.74 10.16 N/A N/A 5,358 3,968 310,687 197,985 2014-01-03 $25.40 $16.82 43.5% 9.2% 19.3% 58.1% 32.5% -3.9% -9.6% 10.5M -357.7M -1.7M 0.41 11.77 N/A N/A 8,916 3,620 311,687 198,305 2014-01-06 $25.30 $16.82 52.7% 9.2% 19.5% 77.2% 32.2% 0.4% -0.7% 11.1M -353.1M -1.7M 1.33 10.76 N/A N/A 6,780 9,015 314,210 198,819 2014-01-07 $25.33 $16.82 59.5% 9.3% 19.5% 91.1% 33.1% -0.8% -0.9% 10.2M -345.2M -1.7M 0.64 7.71 N/A N/A 11,861 7,552 312,212 206,070 2014-01-08 $26.02 $16.82 43.9% 9.3% 20.8% 59.0% 31.9% 0.9% -0.4% 10.0M -393.4M -1.8M 0.29 18.84 N/A N/A 30,054 8,794 318,468 210,994 2014-01-09 $25.69 $16.82 44.8% 7.4% 21.9% 60.7% 28.8% 1.4% -1.3% 10.8M -397.0M -1.8M 0.73 88.44 N/A N/A 35,995 26,105 332,230 213,970 2014-01-10 $24.29 $16.82 25.3% 9.3% 29.3% 20.6% 32.7% 0.8% 1.1% 14.0M -245.0M -1.8M 0.40 11.04 N/A N/A 48,417 19,482 347,383 226,963 2014-01-13 $24.27 $16.82 26.9% 9.1% 29.4% 24.0% 31.6% 0.5% 1.3% 15.5M -251.2M -1.8M 0.10 10.41 N/A N/A 48,267 4,823 353,149 222,172 2014-01-14 $24.80 $16.82 23.3% 9.0% 29.8% 16.5% 31.7% 0.9% 1.7% 12.4M -356.8M -2.0M 0.28 10.75 N/A N/A 10,124 2,866 371,936 222,939 2014-01-15 $25.45 $16.82 25.4% 9.2% 30.8% 20.9% 32.2% 1.4% 1.8% 8.2M -411.5M -2.0M 0.33 12.12 N/A N/A 13,814 4,494 366,767 221,211 2014-01-16 $26.53 $16.82 27.9% 9.2% 33.3% 25.9% 34.4% -2.0% 1.3% 17.4M -518.4M -2.0M 0.17 12.33 N/A N/A 33,373 5,744 367,724 223,499 2014-01-17 $27.30 $16.82 28.4% 8.8% 34.2% 27.1% 30.9% -1.1% 1.4% 7.2M -570.8M -2.0M 0.42 7.61 N/A N/A 33,627 14,032 365,041 224,954 2014-01-21 $29.15 $24.03 30.2% 8.7% 40.0% 30.7% 31.6% 1.2% 0.6% 6.5M -448.5M -2.0M 0.33 13.11 N/A N/A 69,481 23,114 243,328 111,890 2014-01-22 $29.36 $24.03 38.8% 9.2% 39.7% 48.4% 32.4% -2.1% -2.6% 7.2M -470.0M -2.1M 0.26 3.53 N/A N/A 70,896 18,742 265,869 123,613 2014-01-23 $29.00 $24.03 31.4% 9.0% 40.3% 33.2% 32.8% -0.9% 0.9% 6.8M -455.3M -2.1M 0.36 6.10 N/A N/A 46,620 16,605 290,984 131,921 2014-01-24 $27.49 $24.03 34.9% 9.1% 45.6% 40.4% 33.4% -1.4% -0.4% 6.9M -334.6M -2.3M 1.15 9.10 N/A N/A 22,200 25,630 301,507 141,944 2014-01-27 $27.97 $24.03 33.7% 9.3% 45.8% 37.9% 32.8% 0.2% 1.1% 5.5M -378.4M -2.2M 0.60 19.53 N/A N/A 13,863 8,318 274,929 142,943 2014-01-28 $28.48 $24.03 33.5% 9.3% 45.5% 37.5% 33.3% 0.5% -0.5% 5.9M -413.5M -2.3M 1.31 16.01 N/A N/A 8,102 10,592 279,036 147,418 2014-01-29 $28.81 $24.03 37.9% 9.4% 44.9% 46.5% 32.7% -3.0% 1.1% 5.2M -426.7M -2.4M 0.61 11.88 N/A N/A 31,519 19,255 281,305 154,499 2014-01-30 $28.72 $24.03 35.5% 9.4% 45.0% 41.7% 32.7% -2.9% 0.4% 6.2M -423.4M -2.4M 0.97 10.05 N/A N/A 7,760 7,562 287,780 156,423 2014-01-31 $27.66 $24.03 40.4% 9.4% 47.3% 51.8% 33.5% -1.9% -0.3% 6.7M -345.5M -2.4M 0.98 13.46 N/A N/A 10,950 10,709 289,295 155,186
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