AA Options History — August 2014

In August 2014, AA traded between $38.45 and $40.15. ATM implied volatility averaged 25.0%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 1.5% (HV 20d: 23.5%). Max pain ranged from $28.84 to $40.85. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2014-08-20: Highest Volume — 18,136 contracts
  • 2014-08-18: Largest IV drop — 8.5% change
  • 2014-08-07: Highest IV Rank — 22.9%
  • 2014-08-07: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.37$38.45$40.15$39.51$39.91
Max Pain$33.28$28.84$40.85$28.84$38.45
ATM IV25.0%21.2%29.6%27.3%21.2%
Expected Move8.8%8.1%9.6%9.0%8.1%
HV 20d23.5%16.0%31.9%31.7%16.0%
HV 60d25.1%24.1%26.7%26.3%24.1%
IV Rank13.7%6.1%22.9%18.5%6.1%
IV Percentile30.1%3.6%59.1%50.8%3.6%
Term Structure0.3%-1.0%1.9%-0.4%0.8%
VWIV31.3%28.9%33.6%32.7%29.0%
Skew 25d1.7%1.0%2.5%1.5%1.7%
Skew 10d3.5%2.1%5.7%2.3%3.3%
Call IV 25d25.1%21.2%29.6%27.6%21.4%
Put IV 25d26.7%23.0%30.8%29.1%23.1%
Bid-Ask Spread %4.292.656.072.965.20
Gamma HHI0.170.140.200.170.17
Net GEX7.1M4.1M12.7M5.4M8.8M
Net DEX-541.7M-619.2M-454.6M-558.6M-594.5M
Net VEX-2.3M-2.5M-2.2M-2.3M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.171.781.780.47
Total Volume10,134.6193,84018,13616,7625,654
Total OI440,114.524416,698455,738435,005455,738

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$39.51$28.8427.3%9.0%31.7%18.5%32.7%1.5%-0.4%5.4M-558.6M-2.3M1.782.96N/AN/A6,02010,742242,804192,201
2014-08-04$40.15$28.8427.9%9.0%30.9%19.8%33.4%1.3%0.1%6.2M-609.8M-2.3M0.493.11N/AN/A6,5543,215242,046188,218
2014-08-05$39.51$28.8428.2%9.2%31.9%20.3%32.3%1.2%0.1%6.2M-568.5M-2.3M1.283.47N/AN/A7,1899,182243,723188,330
2014-08-06$39.51$28.8428.1%9.3%25.9%20.0%33.5%1.4%0.5%5.6M-529.3M-2.4M0.583.13N/AN/A5,1272,958237,260195,844
2014-08-07$38.45$28.8429.6%9.6%27.9%22.9%33.6%1.2%0.0%4.1M-454.6M-2.5M0.804.21N/AN/A9,7987,828237,678196,821
2014-08-08$38.69$28.8428.9%9.4%26.8%21.5%33.4%1.5%0.2%4.7M-478.3M-2.4M0.523.08N/AN/A7,3573,794240,825197,323
2014-08-11$38.90$28.8428.4%9.3%26.7%20.7%32.6%1.3%0.4%5.3M-493.1M-2.4M0.283.62N/AN/A9,0042,487239,365197,311
2014-08-12$38.90$28.8427.9%9.4%26.7%19.7%33.4%1.0%0.1%5.6M-496.9M-2.4M0.574.63N/AN/A3,8042,167243,089198,401
2014-08-13$39.02$28.8427.8%9.3%24.5%19.5%32.4%1.8%-1.0%6.5M-509.9M-2.4M0.953.08N/AN/A2,5712,443244,884199,084
2014-08-14$39.00$28.8426.1%9.2%23.8%15.3%32.0%1.3%-0.6%7.0M-504.6M-2.4M0.642.65N/AN/A2,3371,503243,444199,235
2014-08-15$38.71$28.8425.4%9.2%23.6%13.9%32.5%1.9%-0.5%6.3M-483.4M-2.3M0.683.34N/AN/A5,2583,594243,679200,055
2014-08-18$39.22$0.0023.2%8.7%23.9%9.9%30.4%1.5%1.9%5.0M-510.8M-2.3M1.615.62N/AN/A6,1299,888227,332189,366
2014-08-19$39.48$38.4522.5%8.6%21.6%8.6%29.7%2.3%1.6%5.5M-522.5M-2.3M0.306.07N/AN/A13,8314,124229,644194,462
2014-08-20$39.65$40.8522.1%8.6%21.7%7.7%30.2%2.1%0.8%7.4M-550.1M-2.4M0.175.20N/AN/A15,4412,695237,996196,819
2014-08-21$39.29$38.4521.7%8.4%21.9%7.0%29.4%2.1%1.3%9.2M-545.5M-2.4M0.395.15N/AN/A5,5482,172248,534197,821
2014-08-22$39.53$38.4521.6%8.5%20.1%6.8%29.2%1.5%1.0%12.7M-578.1M-2.3M0.335.05N/AN/A3,7491,248250,940198,784
2014-08-25$39.60$38.4522.2%8.3%17.4%8.0%28.9%2.1%0.4%8.3M-574.2M-2.3M0.425.22N/AN/A6,7602,843247,459198,544
2014-08-26$39.87$38.4521.7%8.1%17.5%7.0%29.3%1.5%-0.2%9.1M-595.4M-2.3M0.455.42N/AN/A5,3002,380249,983200,521
2014-08-27$40.15$38.4522.1%8.2%17.3%7.8%29.0%2.5%-0.1%9.6M-619.2M-2.2M0.275.17N/AN/A4,4841,201251,849200,945
2014-08-28$39.82$38.4521.8%8.2%16.0%7.2%29.6%1.9%0.4%10.3M-598.4M-2.2M0.364.60N/AN/A3,2771,171253,336200,712
2014-08-29$39.91$38.4521.2%8.1%16.0%6.1%29.0%1.7%0.8%8.8M-594.5M-2.4M0.475.20N/AN/A3,8381,816254,573201,165