AA Options History — March 2014

In March 2014, AA traded between $27.92 and $30.93. ATM implied volatility averaged 34.7%, placing in the 40.0% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 7.9% (HV 20d: 26.8%). Max pain ranged from $24.03 to $24.03. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2014-03-27: Highest Volume — 40,242 contracts
  • 2014-03-13: Largest IV spike — 16.9% change
  • 2014-03-14: Highest IV Rank — 46.3%
  • 2014-03-14: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.98$27.92$30.93$27.92$30.93
Max Pain$24.03$24.03$24.03$24.03$24.03
ATM IV34.7%29.9%37.8%37.1%36.0%
Expected Move9.4%9.1%9.6%9.5%9.2%
HV 20d26.8%21.9%30.7%29.5%30.5%
HV 60d34.5%33.8%36.2%33.8%36.2%
IV Rank40.0%30.1%46.3%44.9%42.6%
IV Percentile82.6%71.0%88.5%88.5%84.5%
Term Structure-0.5%-3.7%4.7%2.9%-3.7%
VWIV34.0%32.3%36.0%34.0%34.7%
Skew 25d1.2%-0.3%3.6%2.5%-0.3%
Skew 10d3.7%0.5%8.1%7.6%2.7%
Call IV 25d36.2%31.8%39.4%33.2%38.6%
Put IV 25d37.4%34.2%40.0%35.7%38.4%
Bid-Ask Spread %13.779.5019.3614.0315.93
Gamma HHI0.240.190.610.220.25
Net GEX9.8M7.4M27.2M7.4M9.8M
Net DEX-423.2M-558.1M-350.0M-350.0M-558.1M
Net VEX-2.4M-2.4M-2.2M-2.3M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.191.360.460.35
Total Volume15,872.6194,07140,24210,78019,702
Total OI452,200.19421,195470,104427,703450,230

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$27.92$24.0337.1%9.5%29.5%44.9%34.0%2.5%2.9%7.4M-350.0M-2.3M0.4614.03N/AN/A7,4003,380281,041146,662
2014-03-04$28.36$24.0334.1%9.5%28.3%38.7%34.0%1.2%3.5%7.6M-379.4M-2.3M0.2410.42N/AN/A14,1463,330282,175147,881
2014-03-05$29.08$24.0336.1%9.5%28.9%43.0%34.7%3.6%2.8%8.9M-436.9M-2.4M0.329.50N/AN/A15,6975,014290,322149,814
2014-03-06$28.98$24.0332.1%9.3%25.0%34.6%33.3%2.4%4.7%10.0M-444.0M-2.4M0.1911.34N/AN/A17,0003,165297,157152,506
2014-03-07$29.22$24.0329.9%9.3%25.0%30.1%33.3%0.4%-0.8%8.8M-454.9M-2.4M0.4111.90N/AN/A11,5274,752298,230153,422
2014-03-10$28.69$24.0334.6%9.4%26.1%39.9%33.9%0.2%-1.2%9.0M-414.0M-2.4M0.5715.52N/AN/A8,5064,846296,893153,891
2014-03-11$29.29$24.0337.1%9.4%26.2%44.9%33.6%0.7%-1.3%8.8M-456.5M-2.4M0.8014.87N/AN/A14,17711,342298,031156,286
2014-03-12$29.24$24.0331.8%9.3%25.3%34.0%33.8%1.8%-1.1%9.0M-444.1M-2.4M0.3714.65N/AN/A5,1471,890299,999162,532
2014-03-13$28.50$24.0337.1%9.5%27.2%45.0%34.0%1.2%-1.4%8.3M-389.6M-2.4M1.1511.19N/AN/A7,6678,853300,772163,011
2014-03-14$28.45$24.0337.8%9.6%27.0%46.3%32.9%0.5%-1.7%8.4M-381.7M-2.4M1.3610.31N/AN/A7,0279,584303,918165,968
2014-03-17$28.60$24.0337.0%9.6%27.0%44.8%33.2%0.9%-1.5%8.8M-394.3M-2.4M0.3913.52N/AN/A4,1061,584303,396164,835
2014-03-18$28.84$24.0336.0%9.5%27.1%42.7%34.5%1.0%-1.4%10.0M-413.5M-2.4M0.3110.52N/AN/A3,097974303,838165,283
2014-03-19$28.45$24.0336.3%9.3%25.4%43.3%34.3%-0.0%-1.8%9.6M-386.0M-2.4M0.2517.43N/AN/A6,2171,571304,070165,724
2014-03-20$28.62$24.0335.7%9.5%25.5%42.1%36.0%1.3%-1.3%11.9M-400.2M-2.4M0.5511.46N/AN/A5,7333,132304,427164,313
2014-03-21$28.86$24.0334.6%9.4%25.6%39.8%34.1%1.4%-0.9%27.2M-423.2M-2.4M0.2119.36N/AN/A12,1462,494304,856165,248
2014-03-24$28.86$24.0333.2%9.3%25.6%37.0%34.1%1.8%-1.2%7.8M-392.5M-2.3M0.4217.11N/AN/A16,5746,993278,020143,175
2014-03-25$28.88$24.0332.5%9.4%25.0%35.4%35.1%2.2%-0.5%7.8M-398.0M-2.3M0.3712.43N/AN/A5,3481,980290,004147,039
2014-03-26$28.50$24.0333.1%9.4%21.9%36.6%33.6%0.9%-0.9%7.6M-374.1M-2.3M0.4318.14N/AN/A5,3152,267292,494148,024
2014-03-27$30.25$24.0335.2%9.2%30.7%41.0%32.3%-0.0%-2.1%9.4M-510.2M-2.3M0.3412.50N/AN/A30,04010,202295,119148,905
2014-03-28$29.99$24.0331.8%9.1%29.4%34.0%34.0%1.8%-2.6%9.2M-486.8M-2.3M0.8017.11N/AN/A16,35513,045301,577155,116
2014-03-31$30.93$24.0336.0%9.2%30.5%42.6%34.7%-0.3%-3.7%9.8M-558.1M-2.2M0.3515.93N/AN/A14,5965,106298,332151,898