AAL Options History — July 2014

In July 2014, AAL traded between $38.85 and $43.86. ATM implied volatility averaged 40.3%, placing in the 60.9% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 2.0% (HV 20d: 38.3%). Max pain ranged from $36.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.41.

Notable Days

2014-07-30: Highest Volume — 108,539 contracts
2014-07-31: Largest IV spike — 6.9% change
2014-07-08: Highest IV Rank — 98.2%
2014-07-08: Largest Expected Move — 11.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.84	$38.85	$43.86	$43.86	$38.85
Max Pain	$38.32	$36.00	$40.00	$37.00	$39.00
ATM IV	40.3%	35.4%	46.5%	40.6%	40.1%
Expected Move	11.1%	10.6%	11.7%	10.7%	11.4%
HV 20d	38.3%	35.5%	42.1%	37.3%	35.5%
HV 60d	33.1%	31.7%	35.1%	33.4%	33.3%
IV Rank	60.9%	31.7%	98.2%	62.9%	59.6%
IV Percentile	71.5%	31.3%	99.3%	83.6%	72.3%
Term Structure	-0.2%	-2.5%	3.0%	-1.3%	0.9%
VWIV	39.0%	37.6%	41.9%	38.1%	39.1%
Skew 25d	2.9%	-1.8%	5.4%	5.4%	1.7%
Skew 10d	5.1%	-3.4%	12.1%	9.4%	3.4%
Call IV 25d	39.6%	34.4%	45.1%	38.2%	39.3%
Put IV 25d	42.5%	38.5%	48.9%	43.7%	41.0%
Bid-Ask Spread %	19.48	14.71	30.51	15.38	18.37
Gamma HHI	0.11	0.10	0.19	0.13	0.10
Net GEX	22.8M	11.5M	33.7M	21.1M	15.6M
Net DEX	-941.5M	-1.24B	-475.5M	-1.08B	-475.5M
Net VEX	-3.1M	-3.4M	-2.9M	-3.1M	-3.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.41	0.23	0.75	0.26	0.35
Total Volume	45,104.5	14,523	108,539	22,788	58,268
Total OI	584,359.455	531,975	641,033	531,975	584,484

Daily Data (22 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
2014-07-01	$43.86	$37.00	40.6%	10.7%	37.3%	62.9%	38.1%	5.4%	-1.3%	21.1M	-1.08B	-3.1M	0.26	15.38	18,016	4,772	389,165	142,810
2014-07-02	$41.95	$37.00	42.2%	10.9%	39.1%	72.2%	39.0%	2.1%	-1.1%	17.6M	-878.2M	-3.1M	0.75	19.88	31,210	23,509	397,050	145,730
2014-07-03	$41.62	$36.00	42.4%	10.9%	39.0%	73.6%	38.2%	3.6%	0.8%	11.5M	-856.5M	-3.2M	0.75	19.23	10,428	7,770	413,440	156,469
2014-07-07	$40.10	$40.00	44.5%	11.4%	38.7%	86.1%	40.1%	2.9%	-1.0%	13.9M	-709.5M	-3.1M	0.60	21.24	28,426	16,958	401,256	150,781
2014-07-08	$40.26	$40.00	46.5%	11.7%	38.9%	98.2%	41.9%	3.8%	-2.3%	14.1M	-732.4M	-3.2M	0.29	19.87	79,989	23,254	413,267	161,574
2014-07-09	$41.99	$39.00	44.3%	11.6%	42.1%	84.7%	40.0%	3.0%	-2.5%	25.3M	-1.04B	-3.3M	0.28	28.65	45,550	12,591	451,074	168,549
2014-07-10	$42.82	$39.00	42.8%	11.5%	41.2%	75.7%	40.5%	3.6%	-0.7%	29.2M	-1.16B	-3.4M	0.41	21.29	28,127	11,521	458,406	171,654
2014-07-11	$42.88	$37.00	41.9%	11.3%	36.5%	70.4%	38.5%	4.0%	-0.9%	32.9M	-1.20B	-3.3M	0.30	15.55	25,017	7,431	465,118	175,915
2014-07-14	$42.98	$37.00	40.1%	11.1%	36.5%	59.9%	39.4%	3.8%	0.8%	29.3M	-1.15B	-3.2M	0.42	14.81	14,768	6,140	445,863	159,438
2014-07-15	$43.70	$38.00	40.0%	11.1%	36.5%	59.4%	39.1%	3.1%	0.1%	31.2M	-1.24B	-3.2M	0.23	16.55	15,347	3,577	448,582	160,579
2014-07-16	$43.48	$38.00	39.7%	11.1%	36.1%	57.4%	38.8%	2.7%	-0.1%	32.7M	-1.22B	-3.1M	0.53	14.71	9,515	5,008	451,693	160,932
2014-07-17	$41.70	$39.00	41.3%	11.1%	38.7%	66.9%	39.4%	3.1%	3.0%	25.8M	-955.5M	-3.1M	0.42	19.60	30,304	12,743	444,863	159,273
2014-07-18	$42.92	$37.00	40.0%	11.2%	40.0%	59.3%	39.0%	3.4%	0.8%	33.7M	-1.13B	-3.1M	0.50	16.61	29,915	15,043	453,037	164,089
2014-07-21	$42.48	$37.00	40.1%	11.2%	38.0%	59.6%	39.7%	2.1%	-1.4%	21.9M	-994.5M	-3.0M	0.29	18.82	18,405	5,348	401,375	136,125
2014-07-22	$42.38	$39.00	38.7%	11.1%	38.0%	51.7%	37.8%	1.6%	-0.5%	23.5M	-986.6M	-3.0M	0.44	17.31	12,728	5,649	407,884	139,910
2014-07-23	$43.33	$39.00	36.8%	11.1%	37.7%	40.2%	39.5%	4.2%	-0.2%	26.0M	-1.10B	-3.0M	0.51	17.12	35,039	17,771	414,295	142,286
2014-07-24	$42.16	$39.00	35.4%	10.6%	38.4%	31.7%	37.9%	4.0%	0.4%	25.4M	-933.6M	-2.9M	0.40	30.51	45,234	18,028	423,030	155,373
2014-07-25	$41.68	$39.00	36.2%	10.8%	38.0%	36.7%	39.3%	3.1%	0.7%	22.2M	-855.7M	-2.9M	0.34	18.65	36,738	12,390	431,531	163,945
2014-07-28	$40.29	$39.00	37.3%	10.8%	39.4%	42.8%	37.7%	2.8%	0.9%	16.5M	-713.2M	-2.9M	0.31	23.03	47,287	14,793	407,757	151,504
2014-07-29	$39.53	$39.00	37.9%	10.9%	39.2%	46.4%	37.6%	-1.8%	-0.3%	15.6M	-646.9M	-2.9M	0.38	20.61	28,342	10,811	425,294	159,097
2014-07-30	$39.55	$39.00	37.5%	11.1%	38.1%	44.2%	38.2%	1.4%	-0.9%	17.2M	-652.4M	-3.0M	0.26	20.68	86,398	22,141	439,214	162,197
2014-07-31	$38.85	$39.00	40.1%	11.4%	35.5%	59.6%	39.1%	1.7%	0.9%	15.6M	-475.5M	-3.0M	0.35	18.37	43,281	14,987	418,080	166,404