AAL Options History — March 2014 In March 2014, AAL traded between $35.39 and $39.02. ATM implied volatility averaged 36.3%. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 7.7% (HV 20d: 28.6%). 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 13 of 21 days. Put/call ratio averaged 0.48.
Notable Days 2014-03-19 : Highest Volume — 59,371 contracts2014-03-26 : Largest IV spike — 7.8% change2014-03-28 : Largest Expected Move — 11.2%Monthly Statistics Metric Avg Min Max Open Close Price $37.18 $35.39 $39.02 $36.10 $36.60 Max Pain $20.00 $20.00 $20.00 $20.00 $20.00 ATM IV 36.3% 32.6% 42.2% 35.1% 41.6% Expected Move 10.7% 10.4% 11.2% 10.8% 11.1% HV 20d 28.6% 23.9% 35.1% 23.9% 35.1% HV 60d 32.7% 31.8% 33.9% 32.4% 33.9% Term Structure 0.7% -1.9% 4.1% 0.3% -0.1% VWIV 37.6% 36.0% 40.9% 37.9% 37.9% Skew 25d 3.5% -0.2% 5.9% 4.3% 5.2% Skew 10d 8.3% -0.2% 26.3% 8.9% 12.0% Call IV 25d 35.6% 31.4% 41.4% 33.6% 40.9% Put IV 25d 39.1% 34.6% 46.1% 37.9% 46.1% Bid-Ask Spread % 15.31 10.61 21.06 13.71 16.61 Gamma HHI 0.15 0.12 0.32 0.19 0.14 Net GEX 15.3M 8.7M 28.5M 15.1M 14.6M Net DEX -1.21B -1.54B -711.1M -1.22B -849.3M Net VEX -2.2M -2.6M -1.9M -2.2M -2.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.48 0.07 0.89 0.47 0.29 Total Volume 27,631.714 14,003 59,371 18,009 23,658 Total OI 720,598.857 574,594 835,308 730,522 583,223
Daily Data (21 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 2014-03-03 $36.10 $20.00 35.1% 10.8% 23.9% 0.0% 37.9% 4.3% 0.3% 15.1M -1.22B -2.2M 0.47 13.71 12,273 5,736 453,519 277,003 2014-03-04 $37.34 $20.00 32.6% 11.0% 26.0% 0.0% 36.7% 5.6% 0.3% 15.1M -1.37B -2.0M 0.19 12.25 36,320 6,916 456,553 280,536 2014-03-05 $37.86 $20.00 33.0% 10.4% 26.2% 0.0% 37.0% 3.3% 0.1% 15.8M -1.42B -2.0M 0.07 10.90 28,358 1,937 458,340 284,982 2014-03-06 $38.81 $20.00 33.6% 10.5% 26.6% 0.0% 38.6% 1.5% 0.0% 14.4M -1.53B -2.0M 0.38 12.82 31,126 11,744 470,693 286,109 2014-03-07 $39.02 $20.00 33.5% 10.5% 25.7% 0.0% 36.0% 2.3% 1.8% 28.5M -1.54B -1.9M 0.40 11.00 15,257 6,101 474,225 291,480 2014-03-10 $38.96 $20.00 35.2% 10.5% 24.4% 0.0% 36.9% 1.2% -1.5% 13.9M -1.50B -2.0M 0.39 10.61 18,185 7,050 467,339 287,324 2014-03-11 $38.08 $20.00 35.5% 10.4% 26.2% 0.0% 36.9% -0.2% -0.5% 14.6M -1.41B -2.1M 0.43 15.59 13,942 5,998 468,907 288,917 2014-03-12 $37.56 $20.00 35.2% 10.5% 26.3% 0.0% 37.2% 3.3% -0.7% 15.8M -1.35B -2.2M 0.61 15.09 10,187 6,261 473,971 292,272 2014-03-13 $36.74 $20.00 37.3% 10.7% 27.2% 0.0% 37.0% 4.1% -1.1% 15.9M -1.25B -2.2M 0.79 21.06 18,029 14,309 478,712 295,748 2014-03-14 $36.34 $20.00 36.0% 10.8% 27.5% 0.0% 38.2% 1.7% -0.1% 15.4M -1.21B -2.3M 0.47 20.24 21,885 10,394 483,929 302,254 2014-03-17 $37.70 $20.00 34.4% 10.6% 29.1% 0.0% 38.1% 4.8% 3.9% 15.7M -1.38B -2.2M 0.34 16.23 11,995 4,032 482,747 301,649 2014-03-18 $37.35 $20.00 34.9% 10.7% 29.4% 0.0% 38.0% 3.9% 2.1% 16.4M -1.36B -2.1M 0.55 14.33 11,543 6,405 487,562 304,115 2014-03-19 $37.08 $20.00 34.1% 10.7% 29.7% 0.0% 38.3% 3.5% 4.1% 16.2M -1.32B -2.2M 0.17 16.55 50,844 8,527 490,505 308,956 2014-03-20 $36.56 $20.00 34.5% 10.8% 28.5% 0.0% 36.7% 4.4% 3.2% 15.4M -1.30B -2.6M 0.89 16.53 18,748 16,681 518,250 313,544 2014-03-21 $36.11 $20.00 35.4% 10.8% 28.4% 0.0% 38.3% 2.6% 3.0% 8.7M -1.19B -2.4M 0.38 15.72 27,380 10,274 507,910 327,398 2014-03-24 $36.80 $20.00 37.1% 10.9% 28.9% 0.0% 40.9% 5.9% -0.0% 13.9M -846.2M -2.5M 0.82 14.97 7,698 6,305 382,542 192,052 2014-03-25 $37.90 $20.00 38.1% 10.5% 30.5% 0.0% 36.6% 5.9% 0.7% 16.1M -967.0M -2.4M 0.46 16.05 15,098 6,987 386,344 192,082 2014-03-26 $36.70 $20.00 41.1% 10.7% 32.7% 0.0% 37.7% 3.0% -1.9% 15.2M -872.5M -2.4M 0.51 16.86 10,814 5,470 391,089 193,933 2014-03-27 $35.77 $20.00 42.2% 10.9% 33.9% 0.0% 37.8% 4.1% 0.6% 12.1M -747.1M -2.5M 0.67 19.07 18,892 12,611 395,170 197,064 2014-03-28 $35.39 $20.00 41.6% 11.2% 33.8% 0.0% 37.8% 3.2% 0.7% 13.0M -711.1M -2.5M 0.81 15.21 13,418 10,878 404,468 199,160 2014-03-31 $36.60 $20.00 41.6% 11.1% 35.1% 0.0% 37.9% 5.2% -0.1% 14.6M -849.3M -2.4M 0.29 16.61 18,385 5,273 391,077 192,146
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