AAL Options History — April 2014

In April 2014, AAL traded between $33.37 and $37.94. ATM implied volatility averaged 41.3%. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 2.0% (HV 20d: 39.3%). 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 0.33.

Notable Days

  • 2014-04-24: Highest Volume — 86,056 contracts
  • 2014-04-16: Largest IV drop — 7.9% change
  • 2014-04-14: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.86$33.37$37.94$37.94$35.07
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV41.3%36.7%46.8%39.7%38.6%
Expected Move11.3%10.7%11.7%11.0%11.3%
HV 20d39.3%34.0%43.8%35.4%38.8%
HV 60d33.9%31.6%35.7%33.4%33.7%
Term Structure-0.6%-2.5%1.1%0.4%-0.8%
VWIV39.7%37.5%42.8%37.5%42.8%
Skew 25d4.0%-2.2%9.0%6.4%2.9%
Skew 10d7.4%-0.2%17.9%17.9%5.1%
Call IV 25d41.0%37.2%49.9%39.0%37.8%
Put IV 25d45.0%39.9%50.3%45.5%40.8%
Bid-Ask Spread %16.5514.5519.0517.4917.11
Gamma HHI0.130.100.160.150.12
Net GEX18.4M11.8M25.0M18.8M17.6M
Net DEX-764.3M-1.03B-518.9M-1.03B-589.0M
Net VEX-2.5M-2.7M-2.4M-2.4M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.120.610.150.18
Total Volume41,080.47611,46586,05642,55320,522
Total OI617,909.143494,872716,953608,847556,205

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-04-01$37.94$20.0039.7%11.0%35.4%0.0%37.5%6.4%0.4%18.8M-1.03B-2.4M0.1517.4936,9095,644408,322200,525
2014-04-02$37.71$20.0040.3%10.7%35.1%0.0%38.5%3.8%-0.7%20.9M-1.02B-2.4M0.4316.7823,22410,085418,853203,961
2014-04-03$37.34$20.0040.5%11.0%34.0%0.0%38.4%4.2%0.6%20.8M-971.8M-2.5M0.1318.1613,3041,781427,521209,740
2014-04-04$36.56$20.0042.2%10.9%34.5%0.0%38.4%-2.2%-0.5%18.5M-873.7M-2.5M0.4119.0527,03911,012434,824210,731
2014-04-07$35.78$20.0042.6%11.2%35.1%0.0%40.2%3.1%-2.0%16.9M-792.7M-2.4M0.6118.3820,32812,382425,907208,816
2014-04-08$35.98$20.0043.3%11.3%34.6%0.0%38.7%9.0%-2.5%18.1M-802.5M-2.5M0.2915.9941,98912,026437,702213,423
2014-04-09$36.90$20.0041.2%11.2%35.7%0.0%40.4%7.2%-1.6%22.7M-960.6M-2.5M0.2715.9321,1295,670451,844217,730
2014-04-10$35.29$20.0044.1%11.3%38.3%0.0%39.2%5.5%-1.7%16.5M-747.8M-2.5M0.3915.4239,96815,636463,034220,652
2014-04-11$33.68$20.0046.8%11.6%41.4%0.0%41.9%-0.8%-1.8%13.6M-558.7M-2.5M0.5416.4836,63619,959477,249223,597
2014-04-14$33.37$20.0045.8%11.7%38.5%0.0%40.1%3.7%-2.5%11.8M-518.9M-2.4M0.6117.7729,13117,824473,072222,103
2014-04-15$33.72$20.0044.8%11.6%38.9%0.0%40.3%5.1%0.9%13.4M-574.2M-2.5M0.5815.9531,87418,355478,759230,156
2014-04-16$35.51$20.0041.3%11.5%43.8%0.0%40.9%4.8%1.1%21.8M-832.5M-2.6M0.2914.7334,36010,128478,771232,965
2014-04-17$35.40$20.0041.8%11.5%43.6%0.0%39.6%3.4%-1.3%20.1M-846.2M-2.5M0.4018.3227,28910,881484,751232,202
2014-04-21$35.67$20.0041.8%11.4%43.5%0.0%39.1%7.5%0.6%15.5M-623.1M-2.5M0.3417.1917,6365,982364,287130,585
2014-04-22$36.16$20.0040.1%11.3%43.2%0.0%39.0%4.9%0.0%17.6M-695.5M-2.5M0.1214.5551,0906,107369,865133,821
2014-04-23$37.09$20.0038.0%11.3%42.9%0.0%38.7%3.3%-0.1%20.4M-810.0M-2.6M0.1616.9036,4465,721385,847138,297
2014-04-24$37.26$20.0036.7%11.5%41.3%0.0%39.7%2.6%-0.4%25.0M-864.2M-2.5M0.1915.9972,50213,554398,567141,239
2014-04-25$36.00$20.0037.9%11.4%42.1%0.0%39.8%1.8%-1.0%20.6M-711.5M-2.6M0.3715.2631,72811,600425,062148,611
2014-04-28$35.16$20.0040.1%11.4%42.8%0.0%40.1%3.8%0.1%16.9M-601.4M-2.6M0.2515.5335,0838,691403,212140,494
2014-04-29$35.51$20.0039.4%11.4%41.1%0.0%40.2%3.3%-0.2%17.9M-631.0M-2.7M0.2614.659,0972,368407,273145,517
2014-04-30$35.07$20.0038.6%11.3%38.8%0.0%42.8%2.9%-0.8%17.6M-589.0M-2.6M0.1817.1117,3673,155410,003146,202