AAL Options History — January 2014

In January 2014, AAL traded between $25.36 and $33.80. ATM implied volatility averaged 38.7%. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 0.5% (HV 20d: 38.2%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2014-01-17: Highest Volume — 178,125 contracts
  • 2014-01-24: Largest IV spike — 9.7% change
  • 2014-01-03: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.72$25.36$33.80$25.36$33.55
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV38.7%34.9%41.7%41.7%38.1%
Expected Move11.2%10.8%11.9%11.4%11.2%
HV 20d38.2%36.6%39.9%39.9%38.7%
Term Structure-0.4%-2.3%3.3%-0.6%0.9%
VWIV39.6%36.6%41.5%40.3%38.6%
Skew 25d4.2%1.8%6.9%2.6%5.2%
Skew 10d13.0%4.0%28.3%4.3%14.0%
Call IV 25d37.4%34.3%41.5%41.5%35.9%
Put IV 25d41.6%37.3%44.1%44.1%41.1%
Bid-Ask Spread %15.1112.1821.3713.8013.06
Gamma HHI0.170.110.730.130.14
Net GEX13.5M8.9M48.2M12.0M9.2M
Net DEX-989.7M-1.52B-372.2M-372.2M-1.44B
Net VEX-3.3M-3.6M-3.0M-3.2M-3.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.150.870.260.59
Total Volume47,497.52416,671178,12520,02544,229
Total OI1,175,677.095853,9131,409,1891,328,971994,891

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$25.36$20.0041.7%11.4%0.0%0.0%40.3%2.6%-0.6%12.0M-372.2M-3.2M0.2613.8015,8584,167761,263567,708
2014-01-03$26.54$20.0040.8%11.9%0.0%0.0%40.9%2.9%0.6%11.7M-595.2M-3.2M0.5315.0528,78915,240770,390570,470
2014-01-06$27.03$20.0040.5%11.6%0.0%0.0%41.5%3.6%0.4%11.9M-682.0M-3.3M0.5514.1414,3207,853774,768575,715
2014-01-07$26.91$20.0039.4%11.3%0.0%0.0%40.4%2.5%-0.3%12.1M-654.3M-3.2M0.6113.7910,3836,288776,253580,672
2014-01-08$27.63$20.0039.5%11.5%0.0%0.0%40.6%5.7%-0.8%12.3M-767.9M-3.3M0.3616.7338,59713,782769,614582,399
2014-01-09$29.42$20.0038.7%11.4%39.9%0.0%40.3%6.5%-1.5%11.2M-1.23B-3.6M0.4518.7253,46123,864779,932587,293
2014-01-10$29.35$20.0038.6%11.2%38.8%0.0%39.3%5.6%-0.5%12.6M-1.19B-3.6M0.4713.7238,00717,940786,463602,565
2014-01-13$28.65$20.0040.1%10.8%39.5%0.0%38.0%2.6%-1.5%12.0M-913.7M-3.4M0.5115.6820,50610,440772,222599,081
2014-01-14$28.87$20.0040.4%11.1%38.3%0.0%40.7%4.9%-1.3%12.0M-964.3M-3.4M0.2312.5433,5777,889778,205604,600
2014-01-15$28.84$20.0039.6%11.0%37.3%0.0%40.2%5.3%-2.2%13.7M-938.4M-3.5M0.7415.7216,88912,425793,982605,376
2014-01-16$29.34$20.0039.0%11.3%36.6%0.0%40.7%4.2%-1.0%16.5M-1.02B-3.6M0.4912.1811,2645,471796,131613,058
2014-01-17$30.02$20.0037.8%11.2%37.0%0.0%40.6%4.7%-2.0%48.2M-1.39B-3.6M0.8313.4497,18480,941790,436611,117
2014-01-21$30.66$20.0037.3%11.2%37.1%0.0%39.5%1.8%0.8%8.9M-887.4M-3.3M0.2912.8519,6285,725510,385343,528
2014-01-22$31.20$20.0035.6%10.9%37.3%0.0%38.5%2.6%-0.3%9.5M-987.1M-3.3M0.7214.8312,1738,814518,206345,208
2014-01-23$31.35$20.0034.9%11.0%36.9%0.0%39.1%3.2%3.3%10.0M-1.02B-3.3M0.1513.5529,1194,488524,268347,771
2014-01-24$30.40$20.0038.3%10.9%39.5%0.0%38.1%2.4%1.0%10.6M-870.9M-3.4M0.5019.5119,6669,782542,552350,260
2014-01-27$30.18$20.0039.9%11.2%39.6%0.0%39.7%6.1%-1.3%11.0M-822.8M-3.4M0.8721.3731,18027,142546,103348,233
2014-01-28$31.96$20.0037.4%11.2%38.1%0.0%39.1%6.9%-1.7%11.7M-1.15B-3.3M0.3617.9757,73120,975558,101366,516
2014-01-29$32.98$20.0038.1%11.4%37.9%0.0%36.6%5.3%-2.3%14.2M-1.36B-3.2M0.5315.6642,96422,951583,042379,843
2014-01-30$33.80$20.0036.8%11.0%38.1%0.0%39.0%4.5%1.9%12.9M-1.52B-3.0M0.3113.0142,48213,264593,947386,652
2014-01-31$33.55$20.0038.1%11.2%38.7%0.0%38.6%5.2%0.9%9.2M-1.44B-3.1M0.5913.0627,81716,412598,475396,416