AA Options History — September 2014

In September 2014, AA traded between $37.56 and $41.52. ATM implied volatility averaged 29.2%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 12.4% (HV 20d: 16.8%). Max pain ranged from $38.45 to $40.85. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.36.

Notable Days

  • 2014-09-22: Highest Volume — 29,277 contracts
  • 2014-09-08: Largest IV spike — 13.7% change
  • 2014-09-30: Highest IV Rank — 28.4%
  • 2014-09-30: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.53$37.56$41.52$40.06$38.66
Max Pain$38.56$38.45$40.85$38.45$38.45
ATM IV29.2%22.7%33.1%22.8%33.1%
Expected Move8.3%8.1%8.6%8.1%8.6%
HV 20d16.8%10.5%24.4%14.9%24.4%
HV 60d23.5%22.6%24.7%23.6%24.5%
IV Rank21.1%8.9%28.4%9.1%28.4%
IV Percentile54.6%11.9%73.8%11.9%73.8%
Term Structure0.5%-1.6%6.2%5.2%-1.5%
VWIV29.4%28.3%30.9%28.7%30.1%
Skew 25d1.8%0.7%3.1%3.1%2.3%
Skew 10d3.5%1.8%6.5%3.9%3.3%
Call IV 25d28.9%21.2%32.8%21.2%32.7%
Put IV 25d30.7%23.4%35.0%24.3%35.0%
Bid-Ask Spread %4.994.425.785.054.76
Gamma HHI0.170.130.280.180.14
Net GEX8.3M4.9M11.0M8.7M9.2M
Net DEX-566.7M-730.0M-402.7M-612.3M-508.1M
Net VEX-2.3M-2.5M-2.1M-2.2M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.110.890.450.31
Total Volume14,183.6196,79929,2776,7998,181
Total OI474,613453,737499,561453,737487,808

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$40.06$38.4522.8%8.1%14.9%9.1%28.7%3.1%5.2%8.7M-612.3M-2.2M0.455.05N/AN/A4,6902,109252,477201,260
2014-09-03$40.68$38.4522.7%8.2%14.6%8.9%30.9%1.6%5.2%9.3M-665.2M-2.2M0.255.30N/AN/A12,0602,956254,206201,998
2014-09-04$41.09$38.4523.9%8.3%14.9%11.1%29.9%1.3%6.2%11.0M-697.3M-2.1M0.354.92N/AN/A16,5785,725256,089203,397
2014-09-05$41.52$38.4524.3%8.3%10.5%11.9%29.1%1.1%6.1%8.5M-730.0M-2.1M0.444.56N/AN/A7,8753,479259,367206,000
2014-09-08$40.88$38.4527.6%8.2%12.5%18.2%29.2%1.8%-0.5%8.9M-674.7M-2.1M0.244.87N/AN/A6,6871,600257,750205,999
2014-09-09$41.12$38.4528.6%8.3%12.5%19.9%28.9%2.2%-0.8%9.2M-694.6M-2.1M0.255.00N/AN/A9,3502,345259,998206,296
2014-09-10$41.33$38.4528.9%8.2%12.5%20.6%28.5%2.5%-0.4%9.4M-720.0M-2.1M0.194.53N/AN/A9,0561,740263,808207,538
2014-09-11$40.61$38.4529.3%8.2%14.5%21.3%28.6%1.7%-0.9%9.2M-662.0M-2.2M0.885.78N/AN/A11,80110,345264,019207,879
2014-09-12$40.18$40.8529.3%8.2%15.2%21.3%28.3%2.6%-1.3%8.7M-603.9M-2.3M0.275.27N/AN/A9,6432,620265,612210,683
2014-09-15$39.39$38.4531.1%8.4%16.7%24.8%29.7%1.5%-1.6%8.2M-545.8M-2.3M0.114.71N/AN/A21,8692,513264,578210,396
2014-09-16$38.83$38.4531.1%8.4%16.9%24.7%29.1%1.8%-0.5%9.2M-519.5M-2.3M0.585.36N/AN/A8,6975,010280,154210,846
2014-09-17$39.12$38.4530.7%8.3%16.9%23.9%29.4%1.7%-0.9%9.3M-545.3M-2.3M0.274.82N/AN/A6,3061,677282,901212,964
2014-09-18$38.93$38.4529.8%8.3%16.9%22.4%28.6%1.6%-0.3%9.9M-526.2M-2.4M0.375.69N/AN/A6,5132,385284,071211,747
2014-09-19$38.95$38.4529.7%8.3%16.6%22.1%29.7%1.6%-0.1%8.4M-533.1M-2.4M0.365.53N/AN/A7,0752,551287,044212,517
2014-09-22$38.04$38.4530.4%8.2%18.3%23.5%29.3%0.7%-0.5%5.2M-418.2M-2.4M0.434.62N/AN/A20,4048,873259,409196,941
2014-09-23$37.73$38.4531.1%8.3%18.4%24.8%29.2%1.7%-0.8%4.9M-402.7M-2.4M0.244.91N/AN/A10,4612,478261,358202,519
2014-09-24$38.21$38.4531.0%8.3%18.9%24.6%29.2%2.3%-0.3%5.6M-436.9M-2.4M0.114.42N/AN/A12,3921,333266,117203,697
2014-09-25$37.56$38.4532.1%8.4%19.3%26.6%29.9%1.2%-0.3%5.6M-410.5M-2.3M0.154.96N/AN/A19,3222,835270,824204,187
2014-09-26$38.90$38.4532.5%8.5%23.5%27.3%30.2%1.9%-0.6%8.0M-532.1M-2.4M0.344.83N/AN/A11,0473,742281,326204,985
2014-09-29$38.28$38.4532.5%8.6%24.1%27.4%30.0%1.4%-0.4%7.9M-463.1M-2.5M0.894.80N/AN/A6,1065,427280,431205,677
2014-09-30$38.66$38.4533.1%8.6%24.4%28.4%30.1%2.3%-1.5%9.2M-508.1M-2.4M0.314.76N/AN/A6,2281,953283,551204,257