AAL Options History — February 2014 In February 2014, AAL traded between $33.80 and $37.00. ATM implied volatility averaged 35.3%. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 3.5% (HV 20d: 31.9%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.49.
Notable Days 2014-02-11 : Highest Volume — 65,868 contracts2014-02-04 : Largest IV drop — 4.3% change2014-02-06 : Largest Expected Move — 11.3%Monthly Statistics Metric Avg Min Max Open Close Price $35.35 $33.80 $37.00 $33.96 $36.93 Max Pain $20.00 $20.00 $20.00 $20.00 $20.00 ATM IV 35.3% 32.4% 40.8% 40.8% 32.4% Expected Move 11.0% 10.7% 11.3% 11.0% 10.9% HV 20d 31.9% 22.2% 37.2% 36.9% 22.2% HV 60d 32.6% 32.1% 33.2% 33.2% 32.1% Term Structure -0.1% -1.9% 1.4% -1.7% 0.0% VWIV 38.7% 37.2% 42.3% 39.5% 38.5% Skew 25d 3.6% 1.9% 5.8% 5.8% 4.2% Skew 10d 8.5% 1.9% 15.2% 7.8% 14.4% Call IV 25d 34.4% 30.7% 38.8% 38.8% 30.7% Put IV 25d 38.0% 34.3% 44.6% 44.6% 34.9% Bid-Ask Spread % 13.03 10.93 16.86 16.86 13.51 Gamma HHI 0.26 0.17 0.37 0.20 0.17 Net GEX 17.1M 13.3M 27.0M 13.3M 15.9M Net DEX -1.54B -1.87B -1.27B -1.46B -1.33B Net VEX -2.5M -3.1M -2.1M -3.1M -2.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.49 0.19 1.34 0.22 0.49 Total Volume 28,747.684 9,950 65,868 57,560 14,255 Total OI 951,319.526 715,728 1,062,106 978,373 745,526
Daily Data (19 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 2014-02-03 $33.96 $20.00 40.8% 11.0% 36.9% 0.0% 39.5% 5.8% -1.7% 13.3M -1.46B -3.1M 0.22 16.86 47,075 10,485 592,188 386,185 2014-02-04 $34.05 $20.00 39.0% 11.1% 37.0% 0.0% 37.9% 5.3% -0.9% 15.0M -1.47B -3.0M 0.33 14.01 17,020 5,596 597,139 391,799 2014-02-05 $33.80 $20.00 38.5% 10.9% 37.2% 0.0% 38.9% 5.2% -0.5% 16.0M -1.41B -3.0M 0.83 12.97 16,319 13,620 600,056 394,145 2014-02-06 $34.66 $20.00 37.3% 11.3% 37.1% 0.0% 39.5% 4.0% -1.2% 19.2M -1.58B -2.8M 0.36 13.38 40,211 14,602 606,329 403,868 2014-02-07 $35.67 $20.00 36.0% 11.2% 32.5% 0.0% 39.2% 5.7% -0.9% 15.4M -1.80B -2.6M 0.36 12.88 31,708 11,453 619,995 410,735 2014-02-10 $35.58 $20.00 36.5% 11.0% 32.5% 0.0% 38.9% 2.8% -1.6% 16.0M -1.74B -2.4M 1.34 11.99 16,964 22,708 602,323 401,101 2014-02-11 $35.13 $20.00 36.3% 11.0% 31.2% 0.0% 38.8% 3.6% -1.9% 15.5M -1.67B -2.5M 0.56 16.06 42,227 23,641 606,196 413,317 2014-02-12 $34.69 $20.00 35.9% 11.0% 32.2% 0.0% 42.3% 3.0% -0.0% 16.2M -1.58B -2.8M 0.65 12.94 15,882 10,374 627,279 432,072 2014-02-13 $35.03 $20.00 34.8% 11.1% 32.0% 0.0% 38.3% 3.8% 0.5% 19.3M -1.64B -2.8M 0.30 13.91 9,166 2,767 630,269 430,196 2014-02-14 $34.41 $20.00 34.8% 11.0% 33.3% 0.0% 39.1% 3.0% 0.3% 15.6M -1.54B -2.8M 0.59 13.76 11,195 6,619 632,077 430,029 2014-02-18 $34.31 $20.00 35.6% 10.9% 33.0% 0.0% 39.2% 3.2% 1.0% 16.7M -1.54B -2.6M 0.33 11.54 7,499 2,451 620,846 426,208 2014-02-19 $34.59 $20.00 34.7% 10.9% 32.6% 0.0% 37.9% 2.2% 1.4% 20.7M -1.60B -2.5M 0.43 11.99 12,744 5,457 624,776 427,690 2014-02-20 $35.66 $20.00 33.6% 11.1% 33.5% 0.0% 38.8% 3.9% 1.1% 27.0M -1.77B -2.4M 0.63 13.24 20,088 12,720 619,859 427,950 2014-02-21 $36.17 $20.00 33.1% 11.0% 33.6% 0.0% 37.6% 3.4% 0.8% 25.6M -1.87B -2.3M 0.47 11.72 14,441 6,722 623,700 437,903 2014-02-24 $36.65 $20.00 32.5% 10.8% 30.5% 0.0% 37.2% 3.4% 0.7% 14.3M -1.27B -2.2M 0.47 10.93 9,782 4,564 441,711 274,017 2014-02-25 $37.00 $20.00 32.9% 10.8% 29.9% 0.0% 38.2% 2.9% -0.0% 13.8M -1.32B -2.1M 0.19 11.73 25,188 4,677 445,530 277,865 2014-02-26 $36.75 $20.00 33.3% 10.7% 24.7% 0.0% 37.5% 1.9% -0.1% 14.4M -1.31B -2.1M 0.23 12.46 18,079 4,223 450,410 280,676 2014-02-27 $36.56 $20.00 33.3% 10.8% 23.2% 0.0% 38.0% 1.9% 0.4% 14.5M -1.30B -2.2M 0.58 11.69 8,664 5,020 459,564 283,542 2014-02-28 $36.93 $20.00 32.4% 10.9% 22.2% 0.0% 38.5% 4.2% 0.0% 15.9M -1.33B -2.2M 0.49 13.51 9,589 4,666 462,405 283,121
« Jan 2014 | All History | Mar 2014 » Home AAL History February 2014