AAL Options History — August 2014

In August 2014, AAL traded between $36.86 and $40.66. ATM implied volatility averaged 36.2%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 3.1% (HV 20d: 33.1%). Max pain ranged from $39.00 to $39.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.47.

Notable Days

2014-08-08: Highest Volume — 91,178 contracts
2014-08-18: Largest IV drop — 10.9% change
2014-08-08: Highest IV Rank — 72.8%
2014-08-07: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.82	$36.86	$40.66	$39.43	$38.88
Max Pain	$39.00	$39.00	$39.00	$39.00	$39.00
ATM IV	36.2%	30.8%	42.3%	38.9%	33.1%
Expected Move	11.2%	10.4%	12.1%	11.4%	10.4%
HV 20d	33.1%	30.4%	36.4%	36.1%	30.4%
HV 60d	34.6%	33.3%	35.9%	33.3%	34.8%
IV Rank	36.4%	4.2%	72.8%	52.6%	18.0%
IV Percentile	40.5%	2.4%	92.5%	63.5%	16.5%
Term Structure	0.2%	-1.2%	2.1%	-0.4%	0.3%
VWIV	39.4%	36.2%	42.4%	39.3%	38.1%
Skew 25d	3.5%	1.3%	5.9%	3.2%	2.0%
Skew 10d	5.2%	-1.0%	11.4%	5.0%	5.7%
Call IV 25d	35.4%	29.6%	41.3%	39.6%	32.5%
Put IV 25d	39.0%	33.1%	46.4%	42.8%	34.5%
Bid-Ask Spread %	20.77	15.72	25.91	21.21	25.91
Gamma HHI	0.11	0.09	0.14	0.10	0.13
Net GEX	20.5M	11.4M	29.3M	18.4M	20.8M
Net DEX	-557.9M	-763.5M	-320.0M	-549.7M	-542.7M
Net VEX	-3.2M	-3.4M	-2.9M	-3.1M	-3.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.47	0.32	1.18	0.88	0.43
Total Volume	36,592.952	16,973	91,178	36,000	43,694
Total OI	601,189.952	522,937	694,137	604,228	566,516

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
2014-08-01	$39.43	$39.00	38.9%	11.4%	36.1%	52.6%	39.3%	3.2%	-0.4%	18.4M	-549.7M	-3.1M	0.88	21.21	19,191	16,809	432,785	171,443
2014-08-04	$38.14	$39.00	39.6%	11.4%	35.6%	56.9%	39.2%	1.3%	0.0%	15.5M	-440.9M	-2.9M	0.43	23.94	32,092	13,844	417,748	163,350
2014-08-05	$37.18	$39.00	41.3%	11.5%	36.4%	67.0%	40.5%	3.3%	0.2%	12.1M	-344.8M	-2.9M	0.50	21.57	32,241	16,199	425,542	169,704
2014-08-06	$37.46	$39.00	41.3%	12.0%	32.5%	66.9%	41.2%	5.3%	0.9%	13.4M	-369.4M	-3.0M	0.38	19.48	31,003	11,766	440,932	178,958
2014-08-07	$36.86	$39.00	42.2%	12.1%	31.3%	72.1%	41.7%	5.1%	-0.2%	11.4M	-320.0M	-3.0M	0.33	20.69	37,234	12,168	450,774	183,110
2014-08-08	$37.18	$39.00	42.3%	11.9%	31.6%	72.8%	42.4%	4.8%	0.3%	12.8M	-352.5M	-3.1M	0.34	21.65	68,150	23,028	472,079	190,656
2014-08-11	$37.97	$39.00	40.5%	11.9%	33.1%	62.3%	41.5%	5.9%	-0.9%	20.7M	-530.0M	-3.4M	0.32	18.37	24,130	7,769	496,455	187,856
2014-08-12	$37.52	$39.00	39.9%	11.7%	32.0%	58.5%	39.9%	3.3%	-0.5%	18.7M	-460.0M	-3.2M	0.51	19.05	21,003	10,773	500,835	189,452
2014-08-13	$38.12	$39.00	38.0%	11.9%	33.0%	47.2%	41.0%	3.9%	-1.0%	24.5M	-519.3M	-3.3M	0.49	18.85	17,991	8,831	500,047	194,090
2014-08-14	$39.57	$39.00	36.1%	11.3%	33.8%	36.0%	40.1%	3.9%	-1.2%	29.3M	-714.2M	-3.3M	0.43	17.44	30,020	12,818	490,917	192,257
2014-08-15	$39.19	$39.00	36.7%	11.4%	31.7%	39.3%	39.7%	2.9%	-0.7%	28.4M	-676.2M	-3.3M	0.64	19.08	28,005	17,980	496,187	194,485
2014-08-18	$40.66	$39.00	32.7%	10.8%	34.9%	15.4%	38.7%	3.3%	1.1%	22.8M	-752.1M	-3.3M	0.33	20.43	39,079	12,750	383,211	139,726
2014-08-19	$40.43	$39.00	32.1%	10.9%	34.9%	12.4%	38.9%	3.3%	0.2%	24.5M	-740.9M	-3.3M	0.35	15.72	14,369	5,052	390,014	146,425
2014-08-20	$40.60	$39.00	30.8%	10.8%	33.8%	4.2%	36.2%	3.5%	2.1%	25.9M	-763.5M	-3.3M	0.38	17.86	14,471	5,527	393,924	148,738
2014-08-21	$39.51	$39.00	31.6%	10.9%	33.8%	9.3%	38.3%	3.0%	1.0%	23.8M	-647.7M	-3.2M	0.45	24.65	27,434	12,277	401,462	152,116
2014-08-22	$39.85	$39.00	31.1%	10.8%	33.9%	6.3%	38.0%	3.7%	1.1%	22.0M	-674.3M	-3.2M	0.38	20.20	18,398	7,071	406,520	158,384
2014-08-25	$39.42	$39.00	33.1%	10.8%	31.9%	18.1%	36.6%	3.0%	-1.0%	21.5M	-611.7M	-3.2M	0.39	23.10	15,583	6,087	391,320	147,266
2014-08-26	$39.09	$39.00	32.9%	10.7%	31.4%	16.9%	37.2%	4.0%	0.3%	20.9M	-569.8M	-3.1M	0.36	22.00	12,995	4,649	394,544	150,880
2014-08-27	$38.99	$39.00	32.8%	10.5%	31.4%	16.2%	38.8%	3.0%	0.5%	20.6M	-551.0M	-3.1M	0.41	21.88	13,496	5,502	400,009	153,335
2014-08-28	$39.17	$39.00	32.6%	10.6%	30.7%	15.3%	39.4%	2.9%	1.1%	21.6M	-585.0M	-3.1M	1.18	23.19	7,774	9,199	404,682	156,255
2014-08-29	$38.88	$39.00	33.1%	10.4%	30.4%	18.0%	38.1%	2.0%	0.3%	20.8M	-542.7M	-3.1M	0.43	25.91	30,653	13,041	407,087	159,429