AAL Options History — September 2014

In September 2014, AAL traded between $35.03 and $40.50. ATM implied volatility averaged 38.0%, placing in the 47.4% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 6.4% (HV 20d: 31.6%). 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 10 of 21 days. Put/call ratio averaged 0.46.

Notable Days

2014-09-19: Highest Volume — 91,698 contracts
2014-09-22: Largest IV spike — 12.1% change
2014-09-29: Highest IV Rank — 77.7%
2014-09-30: Largest Expected Move — 11.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.25	$35.03	$40.50	$40.50	$35.48
Max Pain	$39.00	$39.00	$39.00	$39.00	$39.00
ATM IV	38.0%	32.5%	43.1%	32.5%	43.0%
Expected Move	10.9%	10.4%	11.4%	10.4%	11.4%
HV 20d	31.6%	27.8%	35.2%	31.2%	31.6%
HV 60d	34.0%	32.9%	35.9%	35.1%	32.9%
IV Rank	47.4%	14.6%	77.7%	14.6%	77.2%
IV Percentile	55.1%	11.3%	95.4%	11.3%	94.9%
Term Structure	0.4%	-1.5%	3.4%	1.6%	-1.3%
VWIV	37.8%	35.5%	39.6%	35.5%	39.4%
Skew 25d	3.9%	1.7%	5.8%	2.9%	5.7%
Skew 10d	8.3%	-2.3%	16.5%	12.0%	10.8%
Call IV 25d	37.0%	31.9%	41.7%	31.9%	41.4%
Put IV 25d	40.9%	34.8%	47.1%	34.8%	47.1%
Bid-Ask Spread %	23.60	16.54	31.49	22.03	19.18
Gamma HHI	0.13	0.10	0.17	0.13	0.11
Net GEX	20.3M	13.2M	27.0M	26.9M	15.5M
Net DEX	-443.6M	-760.3M	-262.7M	-760.3M	-321.0M
Net VEX	-3.0M	-3.2M	-2.8M	-3.2M	-3.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.17	1.29	0.35	0.33
Total Volume	41,592.333	21,312	91,698	43,660	40,571
Total OI	617,732.905	563,429	668,992	563,429	654,683

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
2014-09-02	$40.50	$39.00	32.5%	10.4%	31.2%	14.6%	35.5%	2.9%	1.6%	26.9M	-760.3M	-3.2M	0.35	22.03	32,381	11,279	406,279	157,150
2014-09-03	$39.14	$39.00	34.8%	10.7%	32.4%	28.5%	37.1%	4.5%	0.2%	23.7M	-601.7M	-3.1M	0.37	23.37	24,024	8,825	415,679	160,046
2014-09-04	$38.47	$39.00	35.4%	10.8%	33.1%	31.7%	37.0%	3.4%	-0.5%	20.8M	-525.3M	-3.1M	0.34	23.73	22,999	7,785	421,796	164,228
2014-09-05	$37.85	$39.00	35.9%	10.9%	33.1%	34.9%	37.3%	4.7%	-0.0%	17.9M	-453.3M	-3.0M	0.34	16.54	31,973	10,942	431,119	166,936
2014-09-08	$38.23	$39.00	37.1%	10.8%	33.1%	41.7%	37.7%	3.5%	0.1%	23.1M	-523.5M	-3.0M	0.45	19.15	21,226	9,641	426,999	159,457
2014-09-09	$37.96	$39.00	36.8%	10.9%	32.4%	40.3%	37.2%	4.0%	0.4%	22.6M	-485.7M	-3.0M	0.42	18.65	23,767	10,021	434,051	165,463
2014-09-10	$38.58	$39.00	36.2%	10.7%	32.6%	36.7%	37.4%	5.0%	-0.3%	27.0M	-579.0M	-3.1M	0.19	21.02	44,316	8,503	441,939	171,083
2014-09-11	$38.09	$39.00	37.1%	11.1%	32.5%	42.1%	37.5%	4.0%	0.8%	24.3M	-518.7M	-3.0M	0.23	18.11	26,466	6,005	446,281	172,928
2014-09-12	$37.65	$39.00	37.1%	11.0%	29.5%	42.1%	37.9%	4.6%	0.1%	21.7M	-468.3M	-3.0M	0.92	21.99	26,619	24,540	457,198	175,011
2014-09-15	$37.07	$39.00	38.4%	11.2%	29.8%	49.4%	38.4%	3.2%	2.0%	20.4M	-421.8M	-2.9M	0.78	17.96	19,704	15,310	447,096	159,594
2014-09-16	$37.98	$39.00	37.0%	11.1%	27.8%	41.6%	39.0%	3.9%	3.4%	25.1M	-516.1M	-2.9M	0.37	23.18	35,689	13,245	450,635	166,630
2014-09-17	$37.46	$39.00	37.1%	10.9%	28.1%	41.8%	37.9%	3.5%	2.3%	23.6M	-458.1M	-2.9M	0.53	26.77	21,228	11,207	462,342	171,986
2014-09-18	$38.05	$39.00	34.6%	10.6%	28.8%	27.0%	37.3%	3.1%	3.0%	26.3M	-543.6M	-3.0M	0.35	23.29	30,924	10,961	460,683	174,563
2014-09-19	$36.63	$39.00	35.6%	10.8%	30.2%	33.1%	37.2%	3.3%	-0.2%	19.6M	-365.4M	-2.8M	0.56	29.25	58,827	32,871	474,364	177,626
2014-09-22	$35.58	$39.00	39.9%	10.9%	31.1%	58.9%	37.8%	1.7%	-0.9%	13.4M	-269.7M	-2.8M	0.43	31.45	40,998	17,464	419,579	164,756
2014-09-23	$35.33	$39.00	41.0%	11.1%	31.0%	65.5%	37.5%	2.6%	-0.3%	13.2M	-262.7M	-2.9M	0.34	29.46	44,909	15,484	437,727	174,316
2014-09-24	$36.12	$39.00	41.9%	11.1%	32.5%	70.9%	38.9%	5.2%	-0.2%	15.9M	-354.5M	-3.2M	0.17	31.49	26,586	4,566	456,102	182,694
2014-09-25	$35.21	$39.00	42.5%	11.3%	33.4%	74.4%	38.8%	2.6%	-1.5%	14.3M	-265.9M	-3.0M	0.30	28.82	29,106	8,876	465,919	183,342
2014-09-26	$35.93	$39.00	40.9%	11.1%	34.4%	64.8%	37.8%	5.8%	-0.3%	15.4M	-350.6M	-3.2M	1.29	29.25	9,315	11,997	481,176	187,816
2014-09-29	$35.03	$39.00	43.1%	11.2%	35.2%	77.7%	39.6%	4.6%	-0.7%	14.4M	-271.1M	-3.0M	0.63	20.93	13,650	8,639	463,876	181,243
2014-09-30	$35.48	$39.00	43.0%	11.4%	31.6%	77.2%	39.4%	5.7%	-1.3%	15.5M	-321.0M	-3.1M	0.33	19.18	30,551	10,020	468,734	185,949