AA Options History — February 2014

In February 2014, AA traded between $26.53 and $28.96. ATM implied volatility averaged 35.6%, placing in the 41.9% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 5.0% (HV 20d: 40.7%). Max pain ranged from $24.03 to $24.03. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.61.

Notable Days

  • 2014-02-05: Highest Volume — 27,359 contracts
  • 2014-02-12: Largest IV drop — 18.9% change
  • 2014-02-03: Highest IV Rank — 72.2%
  • 2014-02-10: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.61$26.53$28.96$26.99$28.21
Max Pain$24.03$24.03$24.03$24.03$24.03
ATM IV35.6%28.2%50.3%50.3%32.7%
Expected Move9.6%9.4%9.9%9.6%9.4%
HV 20d40.7%29.1%50.8%48.4%32.2%
HV 60d33.4%32.5%35.8%35.8%33.8%
IV Rank41.9%26.7%72.2%72.2%35.8%
IV Percentile84.9%68.3%98.4%98.4%81.3%
Term Structure1.9%-0.3%4.0%-0.3%3.7%
VWIV34.1%33.1%36.0%33.8%33.9%
Skew 25d0.8%-1.4%3.6%0.1%1.2%
Skew 10d1.8%-6.5%7.3%-4.1%6.5%
Call IV 25d35.0%30.6%41.0%41.0%31.0%
Put IV 25d35.8%31.1%41.1%41.1%32.2%
Bid-Ask Spread %10.107.1614.398.7112.94
Gamma HHI0.220.190.250.220.22
Net GEX6.8M4.8M8.7M5.8M7.7M
Net DEX-338.7M-416.6M-258.3M-307.4M-368.7M
Net VEX-2.4M-2.5M-2.3M-2.4M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.211.290.490.48
Total Volume13,470.1056,64127,35916,05612,344
Total OI444,757.684411,684467,875433,131429,300

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-02-03$26.99$24.0350.3%9.6%48.4%72.2%33.8%0.1%-0.3%5.8M-307.4M-2.4M0.498.71N/AN/A10,7795,277285,980147,151
2014-02-04$27.51$24.0342.0%9.7%48.7%55.0%34.0%1.8%1.5%6.7M-343.0M-2.4M0.569.90N/AN/A7,4764,206290,468149,278
2014-02-05$26.53$24.0347.3%9.5%50.8%65.9%35.7%-1.4%1.1%5.8M-267.4M-2.4M1.259.84N/AN/A12,16415,195287,820150,704
2014-02-06$26.55$24.0339.4%9.7%50.0%49.7%36.0%1.1%1.8%4.8M-258.3M-2.5M0.6210.36N/AN/A7,7124,775288,854159,345
2014-02-07$26.89$24.0335.5%9.4%49.8%41.6%33.7%2.0%0.8%5.6M-281.5M-2.5M1.017.71N/AN/A4,7894,833291,960162,027
2014-02-10$26.58$24.0338.7%9.9%45.3%48.2%34.4%1.9%1.2%5.6M-260.9M-2.4M1.2910.16N/AN/A6,2538,097290,022159,418
2014-02-11$27.23$24.0339.2%9.6%45.7%49.2%34.2%-0.5%2.1%6.2M-315.1M-2.4M0.557.16N/AN/A9,9045,478291,441163,919
2014-02-12$27.08$24.0331.8%9.4%45.5%34.0%33.1%0.6%1.2%6.2M-303.6M-2.4M0.3812.55N/AN/A5,5322,117293,699164,924
2014-02-13$27.39$24.0333.5%9.5%44.9%37.5%34.0%2.2%1.4%7.3M-329.6M-2.4M0.377.35N/AN/A6,3772,336295,104165,346
2014-02-14$27.32$24.0332.7%9.6%42.6%36.0%33.7%1.9%1.8%6.5M-323.6M-2.4M0.7910.34N/AN/A3,7182,923297,257165,416
2014-02-18$27.39$24.0332.7%9.6%41.4%36.0%33.7%1.4%1.9%6.8M-331.9M-2.3M0.4414.39N/AN/A9,6654,271295,321163,256
2014-02-19$28.26$24.0334.1%9.6%35.6%38.8%34.3%-1.2%1.7%8.6M-409.4M-2.4M0.367.55N/AN/A16,5815,949299,926162,659
2014-02-20$28.31$24.0334.0%9.6%35.4%38.5%34.3%-0.7%1.7%8.4M-405.0M-2.4M0.888.59N/AN/A4,8114,250299,753163,914
2014-02-21$28.19$24.0332.4%9.6%35.2%35.3%33.9%-1.4%2.9%6.9M-395.6M-2.4M0.4810.09N/AN/A7,9913,854301,256166,619
2014-02-24$28.28$24.0330.6%9.7%29.4%31.4%34.1%0.2%2.5%6.7M-363.9M-2.3M0.3212.76N/AN/A7,1572,275269,434142,250
2014-02-25$27.92$24.0328.2%9.4%29.1%26.7%33.7%0.6%4.0%6.7M-341.6M-2.3M0.338.44N/AN/A7,1872,338271,494143,348
2014-02-26$28.96$24.0331.4%9.6%31.3%33.2%33.8%2.1%2.3%7.7M-411.6M-2.3M0.2110.25N/AN/A21,9234,513272,779144,051
2014-02-27$28.91$24.0330.7%9.6%31.0%31.8%33.6%3.6%2.7%8.7M-416.6M-2.3M0.7812.73N/AN/A6,1294,753279,834145,069
2014-02-28$28.21$24.0332.7%9.4%32.2%35.8%33.9%1.2%3.7%7.7M-368.7M-2.3M0.4812.94N/AN/A8,3274,017282,180147,120