AAL Options History — June 2014

In June 2014, AAL traded between $40.20 and $44.55. ATM implied volatility averaged 35.2%, placing in the 44.4% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 6.1% (HV 20d: 29.0%). Max pain ranged from $22.00 to $43.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.38.

Notable Days

  • 2014-06-12: Highest Volume — 129,474 contracts
  • 2014-06-12: Largest IV spike — 17.6% change
  • 2014-06-30: Highest IV Rank — 57.6%
  • 2014-06-17: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.76$40.20$44.55$41.22$42.96
Max Pain$28.15$22.00$43.00$22.00$43.00
ATM IV35.2%30.2%39.7%31.8%39.7%
Expected Move10.8%10.2%11.3%10.6%10.8%
HV 20d29.0%19.2%36.7%19.3%36.7%
HV 60d33.8%32.8%34.8%32.8%33.5%
IV Rank44.4%23.1%57.6%37.1%57.6%
IV Percentile55.3%23.6%74.4%42.9%74.4%
Term Structure0.9%-1.0%4.5%0.3%-1.0%
VWIV38.3%35.5%40.5%36.5%39.5%
Skew 25d3.7%-0.8%7.6%4.8%2.5%
Skew 10d9.8%0.7%26.0%21.8%1.2%
Call IV 25d34.6%28.3%40.2%29.2%39.4%
Put IV 25d38.3%33.7%42.7%34.0%42.0%
Bid-Ask Spread %16.5513.4323.0313.6117.94
Gamma HHI0.120.100.180.120.13
Net GEX23.5M19.2M29.5M20.5M19.2M
Net DEX-1.20B-1.57B-942.5M-1.05B-1.00B
Net VEX-3.0M-3.4M-2.7M-2.7M-3.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.141.010.210.49
Total Volume34,198.2389,844129,47441,10821,317
Total OI584,735.952514,319675,232524,139514,319

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-06-02$41.22$22.0031.8%10.6%19.3%0.0%36.5%4.8%0.3%20.5M-1.05B-2.7M0.2113.6134,0187,090380,621143,518
2014-06-03$41.44$22.0032.1%10.6%19.2%0.0%38.5%4.5%-0.7%22.4M-1.10B-2.8M0.3113.4325,1977,901394,053147,742
2014-06-04$42.82$22.0030.8%10.3%21.3%0.0%36.8%3.6%0.4%21.4M-1.24B-2.8M0.4214.1023,1679,646402,156153,165
2014-06-05$42.41$22.0031.5%10.7%22.0%0.0%38.1%2.8%-0.8%23.2M-1.22B-2.8M0.1914.6825,0044,677407,214157,944
2014-06-06$43.88$22.0030.2%10.4%23.0%0.0%37.7%6.9%0.2%20.1M-1.37B-2.8M0.2716.8729,5128,102415,738160,119
2014-06-09$43.59$22.0032.3%10.2%23.4%0.0%36.7%3.3%0.3%21.4M-1.31B-2.8M0.2616.7424,7656,457410,591159,301
2014-06-10$43.66$22.0032.1%10.3%21.8%0.0%35.5%3.6%0.5%22.8M-1.33B-2.8M0.4117.416,9792,865422,478161,785
2014-06-11$42.29$22.0032.4%10.7%25.4%0.0%36.8%0.5%1.8%23.6M-1.19B-2.8M0.3115.7728,5628,992422,043163,481
2014-06-12$40.20$22.0038.1%11.2%31.5%0.0%38.8%5.7%0.3%19.8M-942.5M-3.0M0.3416.7796,60132,873437,140168,085
2014-06-13$40.38$25.0036.6%11.1%30.8%0.0%38.8%3.3%0.7%25.4M-1.06B-3.4M0.5317.0922,08311,601487,647182,642
2014-06-16$41.06$25.0036.7%11.3%31.1%0.0%40.5%3.9%4.5%26.9M-1.15B-3.4M0.3918.7921,9858,661477,941177,639
2014-06-17$41.87$25.0037.1%11.3%31.6%0.0%39.2%3.5%2.1%28.7M-1.27B-3.4M0.2918.1325,2947,360487,397182,243
2014-06-18$42.66$25.0036.7%11.2%31.6%0.0%39.0%4.0%3.3%29.4M-1.39B-3.4M0.1519.8822,5953,343490,509184,723
2014-06-19$43.06$25.0036.3%11.1%31.6%37.1%38.3%3.2%2.5%29.5M-1.42B-3.3M0.1415.4927,8963,816482,506183,433
2014-06-20$44.55$25.0034.0%11.1%33.2%23.1%38.3%4.0%3.5%26.7M-1.57B-3.1M0.2817.4436,24110,219478,340184,244
2014-06-23$44.36$0.0037.1%10.7%33.4%42.2%39.4%2.7%0.3%20.2M-1.16B-3.1M0.4414.6922,3859,901382,716133,458
2014-06-24$43.18$43.0038.3%10.8%35.4%49.0%38.4%-0.8%-0.5%20.2M-1.05B-3.2M1.0123.0310,57610,675390,065138,731
2014-06-25$43.91$43.0037.9%10.8%35.6%47.0%38.4%7.6%-0.0%21.0M-1.11B-3.2M0.4215.039,1083,864391,107143,097
2014-06-26$44.55$43.0038.5%10.7%35.7%50.0%40.4%4.6%0.2%22.7M-1.18B-3.1M0.3015.0116,5295,032392,705143,962
2014-06-27$44.00$43.0038.4%10.8%36.3%49.6%38.7%2.9%0.4%28.6M-1.14B-3.1M0.8415.7213,74011,534396,587146,270
2014-06-30$42.96$43.0039.7%10.8%36.7%57.6%39.5%2.5%-1.0%19.2M-1.00B-3.1M0.4917.9414,3456,972378,872135,447