AA Options History — July 2014

In July 2014, AA traded between $35.42 and $41.07. ATM implied volatility averaged 27.8%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 0.6% (HV 20d: 27.2%). Max pain ranged from $24.03 to $28.84. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.57.

Notable Days

  • 2014-07-09: Highest Volume — 64,642 contracts
  • 2014-07-03: Largest IV spike — 88.2% change
  • 2014-07-08: Highest IV Rank — 91.7%
  • 2014-07-31: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.72$35.42$41.07$35.56$39.39
Max Pain$27.53$24.03$28.84$24.03$28.84
ATM IV27.8%18.0%66.6%19.8%26.7%
Expected Move8.6%8.4%8.9%8.4%8.9%
HV 20d27.2%22.3%31.7%23.1%31.7%
HV 60d24.9%22.8%26.3%24.3%26.3%
IV Rank20.5%4.8%91.7%8.1%17.4%
IV Percentile37.0%1.6%99.6%5.2%45.6%
Term Structure0.3%-2.6%1.8%-1.5%-0.5%
VWIV30.7%29.6%32.0%30.0%32.0%
Skew 25d0.7%-0.2%1.5%-0.0%0.7%
Skew 10d1.9%-0.9%4.0%1.4%1.9%
Call IV 25d25.4%22.9%29.7%29.3%27.0%
Put IV 25d26.0%23.7%30.5%29.3%27.7%
Bid-Ask Spread %3.982.0920.353.793.30
Gamma HHI0.230.160.360.270.16
Net GEX6.4M3.4M10.4M6.2M3.4M
Net DEX-637.6M-787.2M-496.1M-506.6M-555.2M
Net VEX-2.1M-2.3M-2.0M-2.3M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.201.100.810.62
Total Volume20,046.7274,29564,6429,00518,317
Total OI433,657.091395,875467,076414,716432,702

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$35.56$24.0319.8%8.4%23.1%8.1%30.0%-0.0%-1.5%6.2M-506.6M-2.3M0.813.79N/AN/A4,9784,027246,265168,451
2014-07-02$35.68$24.0318.0%8.5%22.9%4.8%29.6%-0.2%-2.6%6.1M-507.9M-2.3M0.313.59N/AN/A3,2851,010247,291171,067
2014-07-03$36.00$24.0333.8%8.5%22.7%31.6%30.8%-0.1%-2.2%5.8M-533.4M-2.2M0.312.90N/AN/A10,5773,230247,792171,119
2014-07-07$35.42$24.0351.3%8.6%22.3%63.7%30.8%0.8%-1.0%5.9M-496.1M-2.3M0.423.13N/AN/A14,7626,206251,834172,171
2014-07-08$35.68$24.0366.6%8.7%22.4%91.7%32.0%1.3%-1.5%6.5M-530.8M-2.2M0.9220.35N/AN/A20,01718,325260,007174,875
2014-07-09$37.70$24.0325.3%8.6%28.9%15.8%30.8%0.5%0.4%9.9M-707.6M-2.1M0.364.22N/AN/A47,38517,257269,360186,362
2014-07-10$37.53$28.8425.0%8.5%29.0%15.3%29.6%-0.1%0.7%8.4M-667.2M-2.1M0.963.61N/AN/A19,77518,890264,221191,275
2014-07-11$38.38$28.8424.3%8.6%28.9%14.0%30.0%1.5%0.9%10.4M-709.5M-2.1M0.383.30N/AN/A11,1824,221264,342202,734
2014-07-14$38.71$28.8423.9%8.5%26.7%13.3%30.8%1.0%1.3%6.8M-719.4M-2.1M0.402.88N/AN/A14,3525,733260,444194,868
2014-07-15$38.74$28.8422.9%8.5%26.1%11.5%30.2%1.5%1.8%7.5M-715.7M-2.1M0.323.77N/AN/A8,3912,687262,674197,051
2014-07-16$39.89$28.8424.2%8.5%27.4%13.9%32.0%0.4%0.6%6.6M-787.2M-2.1M0.773.33N/AN/A18,61514,260262,449197,901
2014-07-17$39.24$28.8424.8%8.6%28.5%15.0%30.4%0.6%0.6%6.1M-722.3M-2.1M0.633.23N/AN/A9,2605,815261,749201,860
2014-07-18$39.63$28.8424.0%8.6%27.7%13.5%30.3%1.3%1.2%5.1M-745.4M-2.1M0.333.29N/AN/A7,3562,395262,739202,789
2014-07-21$39.94$28.8422.9%8.6%27.7%11.5%30.5%0.4%0.8%5.3M-605.2M-2.1M0.913.13N/AN/A7,2886,603222,441173,434
2014-07-22$41.07$28.8422.6%8.6%28.7%11.0%30.4%0.8%1.4%5.4M-672.9M-2.0M0.202.50N/AN/A28,0455,547224,099174,484
2014-07-23$40.97$28.8423.2%8.6%27.1%12.0%30.7%0.5%1.0%5.9M-667.0M-2.0M0.832.09N/AN/A12,16610,092230,034176,481
2014-07-24$40.85$28.8422.9%8.7%27.3%11.4%30.4%1.1%1.3%5.9M-662.7M-2.1M0.453.13N/AN/A6,1992,783234,764182,744
2014-07-25$39.79$28.8423.2%8.6%28.9%12.0%30.7%0.7%1.5%5.6M-595.2M-2.2M0.482.91N/AN/A9,3934,489236,509183,841
2014-07-28$40.88$28.8427.4%8.7%29.8%19.7%31.4%0.8%0.9%5.8M-660.8M-2.1M0.693.07N/AN/A8,2605,713236,255184,106
2014-07-29$40.63$28.8425.0%8.7%30.0%14.3%30.8%0.3%1.5%5.9M-647.0M-2.2M0.412.90N/AN/A7,4993,046237,993187,797
2014-07-30$40.18$28.8433.7%8.8%30.3%30.4%31.0%0.8%1.1%5.9M-612.7M-2.2M1.103.04N/AN/A5,5186,079240,139188,943
2014-07-31$39.39$28.8426.7%8.9%31.7%17.4%32.0%0.7%-0.5%3.4M-555.2M-2.3M0.623.30N/AN/A11,2867,031240,879191,823