AAL Options History — May 2014 In May 2014, AAL traded between $36.39 and $40.16. ATM implied volatility averaged 33.9%. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 2.7% (HV 20d: 31.2%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.39.
Notable Days 2014-05-01 : Highest Volume — 52,658 contracts2014-05-22 : Largest IV drop — 6.2% change2014-05-05 : Largest Expected Move — 11.3%Monthly Statistics Metric Avg Min Max Open Close Price $38.39 $36.39 $40.16 $36.39 $40.16 Max Pain $20.95 $20.00 $22.00 $20.00 $22.00 ATM IV 33.9% 30.1% 37.5% 37.5% 31.7% Expected Move 10.8% 10.4% 11.3% 11.2% 10.5% HV 20d 31.2% 17.8% 41.4% 41.4% 17.8% HV 60d 33.9% 32.7% 34.6% 34.6% 32.7% Term Structure 0.2% -1.4% 2.3% 0.3% -0.5% VWIV 38.9% 36.8% 41.7% 41.7% 38.2% Skew 25d 4.2% 2.2% 6.1% 3.5% 5.8% Skew 10d 9.7% 5.4% 15.0% 9.8% 8.6% Call IV 25d 32.7% 28.5% 36.8% 36.8% 29.3% Put IV 25d 37.0% 31.9% 40.4% 40.3% 35.1% Bid-Ask Spread % 15.28 11.00 17.15 14.07 14.39 Gamma HHI 0.15 0.11 0.25 0.13 0.12 Net GEX 24.6M 18.0M 32.3M 22.6M 20.1M Net DEX -924.4M -1.17B -740.0M -740.0M -975.3M Net VEX -2.8M -2.9M -2.6M -2.6M -2.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.39 0.11 1.55 0.11 0.15 Total Volume 23,952.476 9,086 52,658 52,658 12,108 Total OI 559,936.333 488,530 618,754 555,940 539,176
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 2014-05-01 $36.39 $20.00 37.5% 11.2% 41.4% 0.0% 41.7% 3.5% 0.3% 22.6M -740.0M -2.6M 0.11 14.07 47,302 5,356 407,341 148,599 2014-05-02 $36.49 $20.00 37.5% 11.2% 41.3% 0.0% 39.7% 4.5% 0.5% 26.6M -787.7M -2.9M 0.46 15.27 18,690 8,584 435,276 150,238 2014-05-05 $36.60 $20.00 37.1% 11.3% 40.7% 0.0% 39.9% 3.6% -0.4% 24.9M -796.4M -2.9M 0.45 16.34 11,708 5,220 434,727 146,369 2014-05-06 $36.67 $20.00 36.4% 11.2% 39.9% 0.0% 39.7% 2.2% -0.0% 26.2M -823.5M -2.8M 0.33 15.89 16,456 5,414 438,778 148,653 2014-05-07 $37.22 $20.00 35.3% 11.0% 40.1% 0.0% 40.8% 5.2% 0.5% 28.8M -891.6M -2.8M 0.30 15.69 10,542 3,131 446,743 149,570 2014-05-08 $38.25 $20.00 35.8% 11.0% 40.3% 0.0% 38.9% 3.9% 1.2% 31.5M -1.04B -2.8M 0.29 14.61 35,771 10,415 447,640 150,616 2014-05-09 $38.26 $20.00 34.8% 11.0% 36.4% 0.0% 39.3% 3.8% 0.5% 29.2M -1.05B -2.9M 0.16 15.92 18,280 2,851 455,746 155,666 2014-05-12 $39.39 $20.00 34.6% 10.9% 32.1% 0.0% 38.7% 5.7% -0.4% 30.8M -1.17B -2.8M 0.41 14.71 16,858 6,951 447,337 151,291 2014-05-13 $39.31 $20.00 33.7% 10.8% 31.7% 0.0% 39.1% 5.1% -0.6% 32.3M -1.17B -2.7M 0.39 16.70 26,009 10,155 450,859 154,772 2014-05-14 $38.84 $20.00 34.2% 10.8% 32.4% 0.0% 38.9% 3.7% -1.3% 30.5M -1.09B -2.8M 0.37 14.53 10,932 3,994 456,169 162,585 2014-05-15 $38.19 $20.00 35.3% 10.8% 28.9% 0.0% 39.6% 3.9% -1.4% 27.6M -993.7M -2.8M 0.26 17.15 22,553 5,835 447,837 162,730 2014-05-16 $38.53 $22.00 33.8% 10.9% 28.8% 0.0% 40.9% 6.1% 0.0% 18.6M -1.03B -2.8M 0.24 16.84 22,769 5,471 449,500 164,657 2014-05-19 $38.57 $22.00 32.7% 10.7% 28.8% 0.0% 38.9% 5.1% 1.3% 18.0M -819.0M -2.7M 0.74 14.91 12,727 9,450 365,307 123,223 2014-05-20 $38.24 $22.00 33.6% 10.6% 28.9% 0.0% 37.7% 2.9% 0.2% 18.4M -784.7M -2.8M 0.53 15.80 7,880 4,163 369,847 131,295 2014-05-21 $38.32 $22.00 32.2% 10.8% 27.6% 0.0% 39.3% 5.2% 0.3% 18.7M -785.0M -2.7M 0.43 16.09 6,365 2,721 371,709 133,648 2014-05-22 $38.72 $22.00 30.2% 10.6% 27.8% 0.0% 36.9% 3.3% 2.3% 20.6M -832.3M -2.7M 0.23 16.89 10,167 2,298 372,780 135,437 2014-05-23 $39.11 $22.00 30.1% 10.5% 24.3% 0.0% 37.8% 3.3% 1.1% 28.8M -886.9M -2.7M 0.16 15.48 25,141 4,084 377,084 136,522 2014-05-27 $39.35 $22.00 31.5% 10.5% 22.0% 0.0% 37.8% 4.2% 0.3% 20.0M -882.1M -2.7M 1.55 11.00 10,159 15,762 365,561 130,054 2014-05-28 $39.80 $22.00 31.7% 10.4% 22.1% 0.0% 37.0% 2.2% -0.1% 19.6M -919.0M -2.7M 0.22 14.32 25,432 5,507 369,626 143,277 2014-05-29 $39.82 $22.00 31.9% 10.5% 21.1% 0.0% 36.8% 5.4% 0.2% 22.5M -936.2M -2.8M 0.36 14.33 13,056 4,735 383,771 146,647 2014-05-30 $40.16 $22.00 31.7% 10.5% 17.8% 0.0% 38.2% 5.8% -0.5% 20.1M -975.3M -2.8M 0.15 14.39 10,491 1,617 389,447 149,729
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