AA Options History — May 2014

In May 2014, AA traded between $31.53 and $33.19. ATM implied volatility averaged 24.5%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 0.4% (HV 20d: 24.1%). 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 21 of 21 days. Put/call ratio averaged 0.56.

Notable Days

  • 2014-05-12: Highest Volume — 11,625 contracts
  • 2014-05-15: Largest IV spike — 20.2% change
  • 2014-05-06: Highest IV Rank — 28.3%
  • 2014-05-20: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.33$31.53$33.19$32.78$32.70
Max Pain$24.03$24.03$24.03$24.03$24.03
ATM IV24.5%20.9%31.1%27.3%20.9%
Expected Move8.4%8.1%8.6%8.3%8.1%
HV 20d24.1%20.7%25.8%25.4%24.5%
HV 60d27.2%26.4%28.2%27.7%26.5%
IV Rank16.5%10.2%28.3%21.6%10.2%
IV Percentile31.6%11.1%66.7%51.6%11.1%
Term Structure2.3%1.2%3.5%1.2%3.3%
VWIV29.4%27.7%30.4%30.2%29.2%
Skew 25d1.5%0.8%2.0%1.5%1.4%
Skew 10d3.5%0.7%6.4%6.3%5.5%
Call IV 25d24.5%21.4%27.2%26.1%21.9%
Put IV 25d26.0%23.3%28.7%27.6%23.3%
Bid-Ask Spread %5.264.006.396.084.33
Gamma HHI0.220.180.250.200.24
Net GEX7.6M6.7M8.8M7.8M8.1M
Net DEX-460.5M-564.3M-377.0M-544.5M-474.0M
Net VEX-2.2M-2.3M-2.1M-2.3M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.161.720.730.41
Total Volume6,261.2383,04211,6255,1565,107
Total OI422,000.476395,970450,007444,004408,988

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$32.78$24.0327.3%8.3%25.4%21.6%30.2%1.5%1.2%7.8M-544.5M-2.3M0.736.08N/AN/A2,9762,180279,813164,191
2014-05-02$32.97$24.0325.7%8.3%25.0%18.6%29.9%1.7%2.1%7.5M-564.3M-2.3M0.484.44N/AN/A7,5293,623280,271165,171
2014-05-05$32.51$24.0330.1%8.2%25.4%26.5%30.4%1.5%1.4%7.5M-528.6M-2.3M1.305.61N/AN/A2,5873,352281,874164,042
2014-05-06$31.98$24.0331.1%8.6%25.8%28.3%29.8%1.5%1.4%7.0M-487.5M-2.3M0.755.62N/AN/A3,3822,527282,858165,576
2014-05-07$32.01$24.0327.1%8.6%25.8%21.1%29.1%1.9%1.7%6.9M-496.6M-2.3M0.356.27N/AN/A5,2631,851283,863166,144
2014-05-08$31.91$24.0324.8%8.6%22.5%17.1%29.2%1.1%1.8%6.7M-420.2M-2.3M1.725.45N/AN/A2,2783,921261,065166,152
2014-05-09$31.84$24.0323.7%8.6%20.7%15.0%29.7%1.8%2.2%6.9M-411.4M-2.2M0.165.66N/AN/A4,743772261,336168,948
2014-05-12$33.19$24.0324.2%8.2%24.2%16.0%29.3%1.2%1.8%8.5M-513.1M-2.2M0.444.00N/AN/A8,0923,533259,290167,561
2014-05-13$33.14$24.0323.4%8.2%23.0%14.6%29.7%0.8%1.9%8.8M-509.5M-2.1M0.335.14N/AN/A4,7681,594260,182168,311
2014-05-14$32.58$24.0321.3%8.1%23.7%10.8%29.8%0.8%2.2%7.9M-471.7M-2.2M0.725.37N/AN/A3,3502,408261,326169,115
2014-05-15$32.01$24.0325.6%8.6%22.5%18.5%28.8%1.6%2.5%6.9M-427.4M-2.2M0.474.66N/AN/A4,2972,026260,164168,180
2014-05-16$32.32$24.0325.6%8.6%22.5%18.5%29.9%1.6%2.2%7.6M-452.4M-2.2M0.454.59N/AN/A4,2101,890261,863168,486
2014-05-19$32.46$24.0323.3%8.2%22.5%14.4%30.0%1.1%2.5%7.3M-438.6M-2.1M0.645.73N/AN/A3,1151,979246,293149,677
2014-05-20$31.60$24.0324.1%8.6%24.4%15.7%28.9%1.7%2.9%7.4M-381.2M-2.1M0.386.33N/AN/A4,9661,874247,245150,266
2014-05-21$31.53$24.0323.4%8.4%24.2%14.6%28.9%2.0%2.7%7.3M-377.0M-2.1M0.646.39N/AN/A1,8581,184248,115151,238
2014-05-22$31.79$24.0322.6%8.4%24.4%13.1%27.7%1.9%3.2%7.8M-391.7M-2.1M0.275.20N/AN/A5,4941,467248,392151,663
2014-05-23$32.49$24.0321.4%8.1%24.8%10.9%28.0%2.0%3.5%7.9M-448.1M-2.2M0.344.85N/AN/A4,1821,424252,888151,950
2014-05-27$32.39$24.0323.6%8.5%24.7%15.0%29.3%2.0%2.6%8.1M-444.5M-2.1M0.645.00N/AN/A3,2252,054253,016151,619
2014-05-28$32.13$24.0323.3%8.5%24.3%14.3%29.6%1.9%2.9%7.8M-424.5M-2.1M0.165.22N/AN/A5,567884254,007152,682
2014-05-29$32.63$24.0321.9%8.1%24.9%11.9%29.2%1.2%3.2%8.3M-463.9M-2.1M0.344.45N/AN/A2,958996255,283152,906
2014-05-30$32.70$24.0320.9%8.1%24.5%10.2%29.2%1.4%3.3%8.1M-474.0M-2.1M0.414.33N/AN/A3,6341,473255,775153,213