AA Options History — June 2014

In June 2014, AA traded between $32.80 and $35.90. ATM implied volatility averaged 24.9%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 1.4% (HV 20d: 23.6%). 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 0.57.

Notable Days

  • 2014-06-26: Highest Volume — 31,600 contracts
  • 2014-06-09: Largest IV spike — 25.0% change
  • 2014-06-16: Highest IV Rank — 23.3%
  • 2014-06-30: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.56$32.80$35.90$33.23$35.78
Max Pain$24.03$24.03$24.03$24.03$24.03
ATM IV24.9%20.3%28.3%22.9%23.2%
Expected Move8.3%8.1%8.4%8.1%8.4%
HV 20d23.6%21.5%26.0%25.1%23.6%
HV 60d26.1%24.2%27.4%26.6%24.3%
IV Rank17.3%8.9%23.3%13.6%14.3%
IV Percentile34.8%7.5%55.6%20.2%22.2%
Term Structure0.2%-1.7%4.4%3.3%-1.7%
VWIV29.6%28.7%30.9%28.8%29.3%
Skew 25d1.3%-0.9%2.9%1.4%0.6%
Skew 10d3.3%1.0%6.9%6.9%2.5%
Call IV 25d26.1%22.4%29.5%23.1%29.5%
Put IV 25d27.4%24.3%30.0%24.5%30.0%
Bid-Ask Spread %4.983.546.493.544.15
Gamma HHI0.260.220.300.230.25
Net GEX7.4M5.8M8.9M8.0M5.9M
Net DEX-562.4M-666.8M-461.0M-506.1M-518.5M
Net VEX-2.1M-2.2M-2.0M-2.0M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.241.690.390.50
Total Volume11,138.815,74031,6006,1707,808
Total OI420,899387,260454,658409,735407,964

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$33.23$24.0322.9%8.1%25.1%13.6%28.8%1.4%3.3%8.0M-506.1M-2.0M0.393.54N/AN/A4,4261,744256,419153,316
2014-06-03$32.80$24.0325.2%8.3%25.1%17.8%29.5%1.3%3.5%8.2M-479.4M-2.1M0.514.17N/AN/A4,0452,054257,538153,818
2014-06-04$33.21$24.0325.8%8.3%24.6%18.9%29.9%2.9%4.4%8.3M-511.7M-2.1M0.245.65N/AN/A7,1841,697259,119154,868
2014-06-05$33.64$24.0321.7%8.2%24.9%11.5%30.2%2.2%4.4%8.9M-549.7M-2.1M0.515.33N/AN/A7,0893,630262,451155,502
2014-06-06$34.48$24.0320.4%8.3%26.0%9.1%29.3%2.0%-0.1%7.9M-610.0M-2.0M0.405.49N/AN/A12,0374,804264,375156,370
2014-06-09$34.48$24.0325.5%8.4%25.9%18.2%30.3%1.6%-0.7%8.1M-602.1M-2.0M0.475.95N/AN/A8,9544,185265,291157,904
2014-06-10$34.19$24.0324.3%8.3%22.2%16.1%29.7%1.7%-0.4%8.4M-586.8M-2.0M0.395.48N/AN/A5,5492,175267,397159,939
2014-06-11$34.07$24.0321.5%8.3%22.2%11.2%29.2%1.3%-0.2%8.2M-583.1M-2.0M0.735.22N/AN/A3,3202,438269,609160,385
2014-06-12$33.67$24.0326.4%8.3%21.7%19.9%29.1%1.3%-0.4%7.8M-551.4M-2.1M0.404.25N/AN/A5,7032,302270,210160,508
2014-06-13$34.89$24.0326.9%8.3%23.6%20.9%29.4%1.5%-1.0%7.8M-636.4M-2.1M0.465.89N/AN/A14,6646,775272,404160,959
2014-06-16$34.48$24.0328.3%8.2%24.2%23.3%30.2%1.8%-1.1%7.8M-616.0M-2.1M0.625.19N/AN/A3,8382,380278,164164,011
2014-06-17$34.80$24.0327.9%8.2%24.3%22.7%30.0%1.2%-0.7%7.6M-640.9M-2.1M0.655.19N/AN/A4,6082,990279,252164,983
2014-06-18$35.18$24.0326.3%8.4%21.5%19.7%30.9%1.4%-0.8%7.9M-666.8M-2.1M1.184.61N/AN/A7,8389,227280,235166,858
2014-06-19$34.75$24.0327.1%8.3%22.3%21.2%29.3%1.1%-0.7%7.0M-619.9M-2.1M1.696.49N/AN/A4,8218,125277,062169,287
2014-06-20$35.13$24.0324.9%8.2%22.4%17.3%29.4%1.0%-0.0%7.4M-636.5M-2.2M0.374.20N/AN/A8,1773,002278,169176,489
2014-06-23$35.49$24.0325.8%8.3%21.6%18.9%28.7%0.9%-1.1%5.9M-499.9M-2.1M0.504.50N/AN/A6,1263,059230,788156,472
2014-06-24$34.77$24.0326.7%8.3%23.2%20.5%29.2%1.1%-0.6%5.9M-461.0M-2.2M0.603.90N/AN/A4,7302,833233,155157,728
2014-06-25$34.96$24.0325.9%8.3%22.8%19.0%29.5%1.2%-0.2%5.8M-472.8M-2.2M0.416.43N/AN/A4,0671,673234,514159,260
2014-06-26$35.90$24.0326.8%8.4%23.8%20.6%29.7%0.5%-1.1%6.5M-533.3M-2.1M0.595.29N/AN/A19,87611,724235,185159,005
2014-06-27$35.88$24.0320.3%8.4%23.9%8.9%30.6%-0.9%-0.3%5.9M-528.7M-2.2M0.373.64N/AN/A8,9633,275244,790167,126
2014-06-30$35.78$24.0323.2%8.4%23.6%14.3%29.3%0.6%-1.7%5.9M-518.5M-2.2M0.504.15N/AN/A5,2032,605242,171165,793