AAL Options History — December 2013

Name: AAL Options Analytics - December 2013
Creator: Options Analysis Suite

In December 2013, AAL traded between $24.78 and $26.33. ATM implied volatility averaged 40.8%. The 30-day expected move averaged 11.8%. Max pain ranged from $18.00 to $26.00. Net GEX was positive for 9 of 10 trading days. Term structure was in contango for 8 of 10 days. Put/call ratio averaged 0.60.

Notable Days

2013-12-27: Highest Volume — 32,460 contracts
2013-12-18: Largest IV drop — 6.2% change
2013-12-17: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.83	$24.78	$26.33	$26.10	$25.25
Max Pain	$19.75	$18.00	$26.00	$26.00	$20.00
ATM IV	40.8%	38.5%	44.6%	44.6%	40.4%
Expected Move	11.8%	11.3%	12.8%	12.8%	11.5%
Term Structure	1.1%	-1.0%	2.8%	1.1%	-0.6%
VWIV	42.5%	41.0%	44.9%	44.5%	41.6%
Skew 25d	1.9%	-0.3%	3.2%	2.5%	3.2%
Skew 10d	3.9%	-4.1%	12.4%	12.4%	8.9%
Call IV 25d	41.1%	38.5%	43.3%	43.3%	40.2%
Put IV 25d	43.0%	41.0%	45.8%	45.8%	43.4%
Bid-Ask Spread %	26.58	11.58	64.65	64.65	12.43
Gamma HHI	0.31	0.13	0.91	0.91	0.14
Net GEX	7.7M	0	11.5M	0	11.5M
Net DEX	-326.8M	-796.9M	0	0	-317.1M
Net VEX	-2.4M	-3.8M	0	0	-3.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.27	1.10	0.44	0.41
Total Volume	16,259.7	1,601	32,460	14,835	16,102
Total OI	940,572.2	0	1,505,116	0	1,321,379

Daily Data (10 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 Vol	Put Vol	Call OI	Put OI
2013-12-17	$26.10	$0.00	44.6%	12.8%	0.0%	0.0%	44.5%	2.5%	1.1%	0	0	0	0.44	64.65	10,336	4,499	0	0
2013-12-18	$26.23	$26.00	41.8%	12.0%	0.0%	0.0%	42.6%	1.2%	1.7%	642.8K	-9.5M	-36.5K	0.47	63.58	1,092	509	10,278	4,365
2013-12-19	$26.12	$0.00	42.2%	12.0%	0.0%	0.0%	42.1%	2.5%	1.0%	661.1K	-9.3M	-39.5K	0.27	37.35	20,884	5,687	11,154	4,756
2013-12-20	$26.33	$18.00	40.8%	12.0%	0.0%	0.0%	43.2%	2.9%	1.3%	10.2M	-796.9M	-3.8M	0.32	11.58	16,179	5,211	850,738	654,378
2013-12-23	$26.18	$18.00	40.4%	11.8%	0.0%	0.0%	41.0%	-0.3%	1.0%	10.9M	-543.6M	-3.6M	1.10	15.05	11,708	12,843	742,577	554,515
2013-12-24	$26.25	$18.00	38.5%	11.8%	0.0%	0.0%	42.3%	2.9%	1.5%	11.2M	-538.6M	-3.5M	0.92	15.96	3,696	3,404	746,982	560,162
2013-12-26	$26.13	$18.00	38.5%	11.7%	0.0%	0.0%	41.4%	2.1%	2.4%	11.4M	-503.0M	-3.4M	0.72	13.27	5,186	3,741	747,167	562,598
2013-12-27	$24.94	$20.00	40.4%	11.3%	0.0%	0.0%	41.4%	-0.1%	2.8%	10.5M	-300.0M	-3.3M	1.04	16.14	15,933	16,527	749,831	564,751
2013-12-30	$24.78	$20.00	40.6%	11.6%	0.0%	0.0%	44.9%	2.3%	-1.0%	10.1M	-250.3M	-3.1M	0.35	15.83	6,722	2,338	755,148	564,943
2013-12-31	$25.25	$20.00	40.4%	11.5%	0.0%	0.0%	41.6%	3.2%	-0.6%	11.5M	-317.1M	-3.1M	0.41	12.43	11,442	4,660	756,621	564,758