AA Options History — December 2014

In December 2014, AA traded between $34.75 and $41.55. ATM implied volatility averaged 35.6%, placing in the 33.2% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 4.5% (HV 20d: 31.1%). Max pain ranged from $36.05 to $43.25. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.85.

Notable Days

2014-12-09: Highest Volume — 52,205 contracts
2014-12-08: Largest IV spike — 12.6% change
2014-12-16: Highest IV Rank — 52.2%
2014-12-16: Largest Expected Move — 12.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.27	$34.75	$41.55	$41.14	$37.94
Max Pain	$39.43	$36.05	$43.25	$43.25	$38.45
ATM IV	35.6%	26.8%	45.7%	28.0%	35.6%
Expected Move	10.2%	8.7%	12.3%	8.8%	9.9%
HV 20d	31.1%	23.2%	37.8%	25.8%	34.4%
HV 60d	33.4%	31.4%	35.9%	31.5%	33.7%
IV Rank	33.2%	16.6%	52.2%	18.9%	33.3%
IV Percentile	73.0%	32.5%	96.0%	40.9%	77.0%
Term Structure	0.8%	-1.7%	4.2%	0.9%	-0.4%
VWIV	35.7%	29.5%	42.0%	31.2%	36.6%
Skew 25d	4.5%	2.6%	6.5%	2.6%	3.3%
Skew 10d	8.9%	5.5%	14.0%	6.7%	7.5%
Call IV 25d	34.5%	25.3%	45.0%	27.5%	35.2%
Put IV 25d	39.0%	28.2%	49.6%	30.2%	38.5%
Bid-Ask Spread %	5.06	3.09	6.80	6.62	3.09
Gamma HHI	0.18	0.15	0.24	0.16	0.20
Net GEX	999.9K	-7.1M	6.4M	4.3M	5.0M
Net DEX	-377.0M	-605.8M	-89.5M	-577.1M	-387.2M
Net VEX	-2.0M	-2.1M	-1.7M	-2.1M	-1.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.26	3.26	0.48	1.22
Total Volume	18,122.636	7,220	52,205	16,288	8,460
Total OI	500,318.727	466,292	522,858	502,457	475,988

Daily Data (22 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
2014-12-01	$41.14	$43.25	28.0%	8.8%	25.8%	18.9%	31.2%	2.6%	0.9%	4.3M	-577.1M	-2.1M	0.48	6.62	N/A	N/A	10,973	5,315	255,675	246,782
2014-12-02	$41.55	$40.85	26.8%	8.8%	25.8%	16.6%	30.8%	4.0%	0.8%	5.2M	-599.6M	-2.1M	0.71	5.70	N/A	N/A	5,074	3,602	255,089	247,865
2014-12-03	$41.31	$40.85	27.2%	8.7%	24.6%	17.3%	31.3%	3.2%	1.4%	6.4M	-604.7M	-2.0M	0.71	4.80	N/A	N/A	4,458	3,147	256,815	248,333
2014-12-04	$41.43	$40.85	27.1%	8.7%	23.2%	17.2%	29.5%	2.8%	1.3%	5.9M	-605.8M	-2.0M	0.33	4.18	N/A	N/A	5,448	1,772	257,548	249,174
2014-12-05	$40.66	$40.85	26.8%	8.8%	24.4%	16.6%	30.5%	3.8%	0.1%	2.9M	-546.1M	-2.0M	0.61	4.64	N/A	N/A	9,637	5,896	258,763	249,267
2014-12-08	$39.14	$40.85	30.1%	9.5%	28.1%	22.9%	32.2%	3.7%	3.6%	495.8K	-440.9M	-2.0M	1.08	5.03	N/A	N/A	9,509	10,287	256,931	248,406
2014-12-09	$38.52	$40.85	32.2%	9.7%	28.7%	26.8%	33.7%	4.4%	3.8%	-1.7M	-379.2M	-2.0M	3.26	4.21	N/A	N/A	12,256	39,949	258,431	249,980
2014-12-10	$37.44	$40.85	34.8%	10.4%	30.1%	31.6%	36.3%	3.3%	4.2%	-4.0M	-275.6M	-2.1M	0.47	5.80	N/A	N/A	7,479	3,499	259,986	257,199
2014-12-11	$36.36	$40.85	37.2%	10.7%	29.3%	36.2%	37.9%	3.9%	4.0%	-5.4M	-202.3M	-2.0M	0.39	4.90	N/A	N/A	13,340	5,253	261,642	254,526
2014-12-12	$35.73	$38.45	41.2%	11.6%	29.6%	43.7%	40.3%	3.7%	3.7%	-5.4M	-161.1M	-2.1M	0.96	6.80	N/A	N/A	10,385	9,936	264,106	255,434
2014-12-15	$35.92	$38.45	43.8%	11.7%	29.2%	48.6%	41.2%	4.8%	-1.4%	-6.4M	-179.9M	-2.1M	1.17	5.84	N/A	N/A	11,687	13,682	263,844	257,348
2014-12-16	$34.75	$38.45	45.7%	12.3%	30.8%	52.2%	41.4%	4.3%	-1.7%	-5.8M	-89.5M	-2.0M	0.53	4.67	N/A	N/A	24,161	12,740	267,025	255,833
2014-12-17	$36.12	$38.45	45.3%	12.0%	33.6%	51.5%	42.0%	5.8%	-0.2%	-7.1M	-189.3M	-2.0M	0.26	5.96	N/A	N/A	36,729	9,700	260,340	254,748
2014-12-18	$37.90	$36.05	40.8%	10.9%	37.8%	42.9%	38.9%	5.0%	0.2%	1.4M	-362.8M	-2.0M	0.64	5.02	N/A	N/A	17,738	11,298	266,398	255,597
2014-12-19	$38.30	$38.45	37.3%	10.4%	36.8%	36.5%	36.3%	4.7%	0.3%	402.1K	-403.9M	-1.9M	0.35	5.35	N/A	N/A	10,508	3,727	266,964	254,092
2014-12-22	$37.82	$38.45	39.5%	10.4%	35.8%	40.5%	36.6%	6.5%	-0.9%	4.2M	-375.3M	-1.9M	1.38	5.17	N/A	N/A	7,152	9,865	252,481	213,811
2014-12-23	$37.87	$38.45	36.9%	10.1%	35.8%	35.7%	35.0%	6.2%	-0.3%	4.1M	-374.2M	-1.9M	0.68	4.07	N/A	N/A	4,835	3,302	254,414	217,436
2014-12-24	$37.90	$38.45	36.6%	10.1%	35.5%	35.1%	36.3%	6.4%	-0.3%	4.3M	-377.8M	-1.9M	0.92	5.28	N/A	N/A	3,993	3,660	255,097	219,496
2014-12-26	$38.06	$38.45	36.7%	10.1%	35.0%	35.3%	35.8%	5.2%	-1.0%	4.2M	-389.1M	-1.8M	0.62	4.93	N/A	N/A	6,306	3,903	255,506	219,583
2014-12-29	$38.06	$38.45	36.9%	10.2%	34.8%	35.7%	36.3%	6.2%	-0.3%	4.5M	-390.7M	-1.8M	0.77	4.39	N/A	N/A	4,481	3,444	254,934	218,956
2014-12-30	$38.09	$38.45	36.8%	9.9%	34.7%	35.5%	34.7%	5.5%	-0.9%	4.4M	-382.3M	-1.8M	1.26	4.79	N/A	N/A	4,473	5,639	255,806	219,363
2014-12-31	$37.94	$38.45	35.6%	9.9%	34.4%	33.3%	36.6%	3.3%	-0.4%	5.0M	-387.2M	-1.7M	1.22	3.09	N/A	N/A	3,810	4,650	256,060	219,928