AA Options History — October 2014 In October 2014, AA traded between $34.80 and $40.25. ATM implied volatility averaged 35.6%, placing in the 33.2% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 0.7% (HV 20d: 34.8%). Max pain ranged from $36.05 to $38.45. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 0.81.
Notable Days 2014-10-09 : Highest Volume — 71,781 contracts2014-10-17 : Largest IV drop — 14.9% change2014-10-13 : Highest IV Rank — 49.3%2014-10-13 : Largest Expected Move — 10.9%Monthly Statistics Metric Avg Min Max Open Close Price $37.81 $34.80 $40.25 $37.73 $40.25 Max Pain $36.67 $36.05 $38.45 $38.45 $36.05 ATM IV 35.6% 29.3% 44.1% 33.8% 31.5% Expected Move 9.6% 8.7% 10.9% 8.7% 9.2% HV 20d 34.8% 24.8% 42.7% 24.8% 40.8% HV 60d 26.1% 22.8% 28.7% 25.1% 28.7% IV Rank 33.2% 21.4% 49.3% 29.8% 25.5% IV Percentile 76.6% 49.6% 94.8% 76.6% 63.9% Term Structure -0.7% -3.6% 1.0% -1.0% -0.2% VWIV 34.4% 30.8% 38.8% 30.8% 32.3% Skew 25d 3.7% 0.8% 7.4% 1.2% 5.1% Skew 10d 7.8% 1.3% 16.1% 1.3% 12.2% Call IV 25d 34.5% 27.6% 43.7% 33.9% 29.1% Put IV 25d 38.3% 32.3% 48.8% 35.2% 34.3% Bid-Ask Spread % 7.13 3.97 17.09 5.11 5.36 Gamma HHI 0.15 0.12 0.19 0.14 0.19 Net GEX 5.1M -402.4K 9.2M 7.5M 5.1M Net DEX -427.4M -612.2M -185.8M -443.5M -612.2M Net VEX -2.6M -2.7M -2.4M -2.4M -2.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.81 0.16 2.76 0.25 1.02 Total Volume 27,619.652 10,504 71,781 13,952 31,475 Total OI 522,503.435 488,868 566,481 488,868 531,699
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-10-01 $37.73 $38.45 33.8% 8.7% 24.8% 29.8% 30.8% 1.2% -1.0% 7.5M -443.5M -2.4M 0.25 5.11 N/A N/A 11,151 2,801 284,372 204,496 2014-10-02 $36.91 $38.45 35.9% 8.9% 25.0% 33.8% 31.2% 2.4% -0.7% 6.1M -371.6M -2.5M 1.03 4.55 N/A N/A 20,779 21,302 287,054 205,787 2014-10-03 $37.49 $38.45 34.8% 8.8% 25.5% 31.6% 31.4% 0.8% -0.9% 6.5M -414.3M -2.5M 0.24 5.07 N/A N/A 12,062 2,893 291,733 215,237 2014-10-06 $38.42 $38.45 36.2% 9.0% 27.2% 34.4% 31.4% 2.0% -1.5% 8.4M -491.5M -2.5M 0.16 5.18 N/A N/A 21,830 3,566 289,970 213,409 2014-10-07 $38.33 $38.45 35.7% 9.0% 27.0% 33.4% 32.2% 1.3% -0.8% 8.8M -502.4M -2.4M 0.31 5.85 N/A N/A 23,747 7,404 294,457 213,975 2014-10-08 $38.59 $38.45 37.0% 9.1% 27.1% 35.9% 32.3% 2.8% -1.7% 8.6M -516.0M -2.5M 0.55 9.36 N/A N/A 30,648 16,916 295,949 218,361 2014-10-09 $37.03 $36.05 37.0% 10.0% 29.9% 35.9% 35.0% 3.4% -0.6% 5.2M -372.7M -2.5M 1.28 11.31 N/A N/A 31,473 40,308 305,296 226,236 2014-10-10 $36.29 $36.05 40.1% 10.1% 30.4% 41.6% 34.9% 2.6% -1.5% -402.4K -277.3M -2.7M 0.39 17.09 N/A N/A 33,012 12,772 309,403 250,323 2014-10-13 $34.80 $36.05 44.1% 10.9% 32.7% 49.3% 37.8% 1.6% -0.7% 916.7K -185.8M -2.6M 0.48 12.75 N/A N/A 14,412 6,900 304,388 243,341 2014-10-14 $34.92 $36.05 43.0% 10.6% 32.7% 47.2% 37.0% 5.1% -1.6% 1.1M -187.4M -2.7M 0.69 14.39 N/A N/A 20,561 14,240 306,966 244,171 2014-10-15 $34.87 $36.05 43.4% 10.8% 32.4% 48.0% 38.3% 7.0% -1.0% 1.2M -194.4M -2.7M 0.59 9.70 N/A N/A 16,813 9,943 318,139 248,342 2014-10-16 $35.08 $36.05 43.7% 10.8% 32.7% 48.4% 38.8% 7.4% -3.6% 1.5M -218.2M -2.7M 0.58 5.86 N/A N/A 8,268 4,764 317,146 247,256 2014-10-17 $37.53 $36.05 37.2% 10.1% 41.7% 36.2% 36.5% 6.8% -2.5% 5.7M -413.7M -2.7M 0.36 6.74 N/A N/A 25,788 9,366 319,069 245,865 2014-10-20 $37.70 $36.05 36.5% 9.9% 40.9% 34.9% 35.0% 4.6% -0.7% 3.4M -391.6M -2.7M 0.47 5.41 N/A N/A 20,010 9,337 265,350 225,622 2014-10-21 $39.07 $36.05 31.8% 9.7% 42.7% 25.9% 34.8% 4.6% 1.0% 5.4M -526.1M -2.6M 1.68 5.60 N/A N/A 11,685 19,644 273,870 228,704 2014-10-22 $38.71 $36.05 32.5% 9.6% 42.7% 27.4% 36.2% 3.5% -0.2% 5.2M -495.3M -2.6M 0.83 5.60 N/A N/A 8,265 6,849 276,587 233,754 2014-10-23 $38.93 $36.05 31.6% 9.4% 42.2% 25.7% 35.2% 3.7% 0.3% 5.6M -513.0M -2.5M 0.65 4.46 N/A N/A 10,321 6,688 278,034 234,846 2014-10-24 $39.75 $36.05 29.4% 9.2% 41.0% 21.6% 34.8% 4.8% 0.9% 9.2M -589.4M -2.5M 0.83 3.97 N/A N/A 8,537 7,110 280,809 235,508 2014-10-27 $39.29 $36.05 30.4% 9.5% 40.7% 23.5% 34.1% 3.9% 0.5% 5.6M -522.3M -2.6M 1.63 4.00 N/A N/A 4,589 7,502 275,964 232,816 2014-10-28 $39.89 $36.05 29.3% 9.1% 40.9% 21.4% 34.3% 4.0% 0.5% 6.3M -574.2M -2.5M 1.03 4.34 N/A N/A 5,181 5,323 276,926 234,044 2014-10-29 $39.02 $36.05 31.8% 9.4% 40.7% 26.1% 33.9% 4.1% -0.3% 5.0M -501.2M -2.6M 0.70 5.66 N/A N/A 9,097 6,388 278,367 234,906 2014-10-30 $39.02 $36.05 31.7% 9.4% 39.8% 25.9% 33.7% 3.4% 0.1% 5.1M -517.3M -2.5M 2.76 6.58 N/A N/A 8,919 24,613 282,342 236,690 2014-10-31 $40.25 $36.05 31.5% 9.2% 40.8% 25.5% 32.3% 5.1% -0.2% 5.1M -612.2M -2.5M 1.02 5.36 N/A N/A 15,557 15,918 280,222 251,477
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