AA Options History — April 2014

In April 2014, AA traded between $29.97 and $32.75. ATM implied volatility averaged 35.2%, placing in the 37.7% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 4.1% (HV 20d: 31.1%). 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 5 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2014-04-09: Highest Volume — 125,286 contracts
  • 2014-04-09: Largest IV drop — 59.5% change
  • 2014-04-08: Highest IV Rank — 100.0%
  • 2014-04-07: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.48$29.97$32.75$31.34$32.37
Max Pain$24.03$24.03$24.03$24.03$24.03
ATM IV35.2%25.5%71.0%34.8%30.5%
Expected Move9.0%8.3%9.5%9.1%9.0%
HV 20d31.1%25.9%33.9%30.4%25.9%
HV 60d32.7%27.9%36.5%36.3%27.9%
IV Rank37.7%18.3%100.0%40.3%27.2%
IV Percentile68.8%40.9%100.0%81.3%64.7%
Term Structure-1.1%-6.6%0.7%-4.3%-0.2%
VWIV31.4%29.5%33.5%32.4%29.8%
Skew 25d2.2%1.2%3.0%1.4%2.4%
Skew 10d5.6%3.6%8.4%6.2%3.6%
Call IV 25d31.2%26.1%41.3%37.9%26.9%
Put IV 25d33.4%27.6%43.3%39.3%29.3%
Bid-Ask Spread %14.244.6228.657.846.92
Gamma HHI0.220.160.380.250.20
Net GEX9.2M6.6M16.4M9.9M7.2M
Net DEX-537.8M-725.2M-444.3M-569.9M-512.6M
Net VEX-2.4M-2.5M-2.2M-2.2M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.131.410.900.69
Total Volume25,333.0951,809125,28631,6401,809
Total OI488,804.333428,995561,110461,310443,316

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$31.34$24.0334.8%9.1%30.4%40.3%32.4%1.4%-4.3%9.9M-569.9M-2.2M0.907.84N/AN/A16,68014,960299,321161,989
2014-04-02$30.88$24.0338.0%9.3%30.2%46.8%32.7%2.4%-6.0%9.3M-528.9M-2.3M1.0011.52N/AN/A15,52615,478301,874166,592
2014-04-03$30.61$24.0348.5%9.1%30.4%68.5%31.2%1.8%-6.6%8.2M-498.3M-2.3M0.2716.75N/AN/A26,9937,320307,576178,869
2014-04-04$30.35$24.0347.5%9.5%30.6%66.4%31.5%1.8%-1.5%7.6M-474.8M-2.4M0.5520.80N/AN/A11,7526,439314,999183,260
2014-04-07$29.97$24.0362.6%9.5%30.2%97.6%33.5%2.6%-2.3%7.5M-444.3M-2.5M0.5427.41N/AN/A13,1057,079324,007182,021
2014-04-08$30.11$24.0371.0%9.1%29.4%100.0%32.8%1.8%-2.4%8.1M-463.5M-2.5M1.1727.82N/AN/A18,95122,208329,765185,800
2014-04-09$31.24$24.0328.8%9.0%31.9%24.2%31.5%2.8%-0.6%11.3M-574.4M-2.5M0.3823.94N/AN/A90,89534,391336,973200,722
2014-04-10$30.52$24.0331.1%9.2%31.6%28.3%32.3%1.2%-0.2%11.4M-514.4M-2.5M0.3923.64N/AN/A22,9699,027353,157207,953
2014-04-11$30.13$24.0331.2%9.2%32.1%28.6%30.9%2.3%-0.3%8.9M-472.3M-2.5M0.5827.91N/AN/A9,7305,652351,529206,057
2014-04-14$30.90$24.0330.1%9.1%33.1%26.6%32.6%2.8%-0.3%14.4M-552.0M-2.5M1.1628.65N/AN/A7,0208,135345,035195,931
2014-04-15$31.36$24.0330.2%9.1%33.3%26.7%32.2%2.8%-0.4%16.4M-606.8M-2.5M0.9311.76N/AN/A6,7896,301345,468197,986
2014-04-16$32.25$24.0329.4%9.1%33.6%25.3%31.8%2.2%0.1%12.1M-709.4M-2.4M0.557.74N/AN/A16,9449,383344,052199,031
2014-04-17$32.58$24.0327.5%8.4%33.6%21.9%30.6%2.9%-0.1%10.4M-725.2M-2.3M0.479.64N/AN/A21,25810,032343,199202,226
2014-04-21$32.42$24.0328.2%8.9%33.9%23.2%31.7%2.4%-0.0%8.4M-571.4M-2.4M1.4110.96N/AN/A4,2706,000290,619151,969
2014-04-22$32.46$24.0326.6%8.4%33.8%20.2%29.5%2.1%0.5%8.3M-584.8M-2.3M0.146.30N/AN/A37,8335,427292,238154,564
2014-04-23$32.75$24.0325.9%8.3%33.8%19.0%30.0%1.6%0.3%7.1M-530.4M-2.3M1.306.19N/AN/A3,6124,688270,806158,189
2014-04-24$32.63$24.0325.5%8.4%33.2%18.3%29.9%1.4%0.7%7.0M-523.1M-2.3M0.424.62N/AN/A4,7631,989271,444160,230
2014-04-25$32.03$24.0325.8%8.9%27.9%18.8%29.6%2.5%0.4%6.7M-475.6M-2.4M0.555.81N/AN/A5,1092,800273,187161,136
2014-04-28$31.82$24.0336.2%8.8%27.8%37.5%31.2%3.0%-0.3%6.7M-462.4M-2.3M0.725.60N/AN/A5,7534,116272,604161,169
2014-04-29$32.30$24.0329.8%8.8%26.2%26.1%30.6%2.9%-0.8%6.6M-498.1M-2.3M0.137.24N/AN/A7,7751,034274,507163,521
2014-04-30$32.37$24.0330.5%9.0%25.9%27.2%29.8%2.4%-0.2%7.2M-512.6M-2.3M0.696.92N/AN/A1,070739279,341163,975