AAL Options History — October 2014

In October 2014, AAL traded between $28.65 and $41.39. ATM implied volatility averaged 52.4%, placing in the 67.6% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded below realized volatility by 6.9% (HV 20d: 59.3%). Max pain ranged from $39.00 to $39.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.44.

Notable Days

2014-10-23: Highest Volume — 185,825 contracts
2014-10-10: Largest IV spike — 22.3% change
2014-10-01: Highest IV Rank — 100.0%
2014-10-15: Largest Expected Move — 16.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.59	$28.65	$41.39	$34.39	$41.39
Max Pain	$39.00	$39.00	$39.00	$39.00	$39.00
ATM IV	52.4%	40.1%	75.5%	46.8%	40.1%
Expected Move	13.4%	11.4%	16.5%	11.8%	12.2%
HV 20d	59.3%	31.1%	74.7%	31.3%	69.5%
HV 60d	43.4%	32.2%	50.2%	33.4%	49.6%
IV Rank	67.6%	22.1%	100.0%	100.0%	22.1%
IV Percentile	92.4%	65.5%	100.0%	100.0%	65.5%
Term Structure	-1.2%	-5.9%	0.8%	-1.6%	-0.4%
VWIV	46.2%	40.5%	58.9%	41.7%	43.5%
Skew 25d	9.0%	0.4%	25.0%	3.7%	6.7%
Skew 10d	17.6%	-0.0%	44.1%	5.6%	14.4%
Call IV 25d	49.1%	37.8%	68.2%	46.4%	37.9%
Put IV 25d	58.1%	44.6%	86.8%	50.2%	44.6%
Bid-Ask Spread %	27.76	16.07	43.35	27.63	16.07
Gamma HHI	0.11	0.09	0.13	0.10	0.11
Net GEX	29.6M	7.7M	52.9M	11.8M	52.9M
Net DEX	-812.5M	-1.98B	58.8M	-216.4M	-1.98B
Net VEX	-4.5M	-5.8M	-2.9M	-3.0M	-5.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.23	0.96	0.28	0.47
Total Volume	112,171.087	37,231	185,825	103,943	117,414
Total OI	1,002,452.435	671,365	1,222,630	671,365	1,200,344

Daily Data (23 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
2014-10-01	$34.39	$39.00	46.8%	11.8%	31.3%	100.0%	41.7%	3.7%	-1.6%	11.8M	-216.4M	-3.0M	0.28	27.63	81,142	22,801	479,376	191,989
2014-10-02	$33.93	$39.00	45.9%	12.1%	31.1%	94.3%	41.8%	5.1%	-0.9%	13.2M	-205.6M	-3.1M	0.39	21.09	60,301	23,405	517,172	203,168
2014-10-03	$36.23	$39.00	44.0%	11.4%	40.0%	83.3%	40.5%	5.7%	0.2%	23.4M	-539.5M	-3.6M	0.34	20.29	68,330	23,048	552,483	214,251
2014-10-06	$34.93	$39.00	47.6%	12.0%	41.5%	100.0%	41.0%	0.4%	-1.8%	20.5M	-380.3M	-3.4M	0.28	16.15	47,989	13,327	559,632	201,791
2014-10-07	$34.09	$39.00	49.5%	12.4%	42.0%	100.0%	41.9%	0.7%	-0.6%	18.2M	-296.6M	-3.4M	0.35	20.32	27,645	9,586	587,093	207,535
2014-10-08	$32.97	$39.00	48.7%	12.6%	42.4%	95.9%	43.5%	2.9%	-1.2%	13.3M	-158.3M	-3.1M	0.23	25.13	118,887	26,855	598,628	211,563
2014-10-09	$32.04	$39.00	52.8%	13.3%	43.0%	100.0%	44.4%	4.3%	-1.4%	12.6M	-94.6M	-3.1M	0.33	27.03	114,457	37,463	639,691	221,640
2014-10-10	$31.79	$39.00	64.6%	14.3%	43.0%	100.0%	49.0%	14.4%	-2.6%	14.3M	-131.0M	-3.5M	0.75	33.47	58,527	43,675	689,860	237,789
2014-10-13	$28.65	$39.00	75.5%	15.9%	54.7%	100.0%	55.7%	10.9%	-5.9%	7.7M	58.8M	-2.9M	0.96	36.95	68,203	65,782	693,582	240,528
2014-10-14	$31.55	$39.00	71.3%	15.6%	66.1%	90.8%	56.1%	25.0%	-5.7%	14.2M	-168.1M	-3.9M	0.34	28.82	71,580	24,552	715,334	275,840
2014-10-15	$31.70	$39.00	75.0%	16.5%	66.2%	98.9%	54.5%	20.2%	-4.6%	16.6M	-231.4M	-4.1M	0.45	43.35	91,148	40,654	757,809	284,495
2014-10-16	$32.97	$39.00	71.4%	16.3%	67.9%	91.0%	58.9%	14.2%	0.1%	21.7M	-403.4M	-4.4M	0.29	27.00	130,728	37,305	754,512	284,661
2014-10-17	$33.38	$39.00	64.5%	15.4%	67.2%	75.8%	51.8%	14.1%	-2.5%	27.2M	-539.2M	-4.9M	0.45	26.98	52,069	23,391	848,808	296,921
2014-10-20	$35.23	$39.00	55.3%	14.6%	69.6%	55.6%	51.0%	13.5%	0.4%	33.3M	-818.0M	-5.1M	0.46	28.84	59,392	27,461	786,879	274,170
2014-10-21	$37.69	$39.00	49.3%	13.6%	73.6%	42.3%	46.8%	9.2%	0.8%	41.5M	-1.30B	-5.5M	0.43	30.80	105,405	45,332	805,342	285,457
2014-10-22	$36.95	$39.00	49.3%	13.3%	73.7%	42.2%	47.3%	7.1%	-1.1%	43.7M	-1.16B	-5.4M	0.63	29.29	86,961	54,795	833,004	309,399
2014-10-23	$38.56	$39.00	46.0%	12.8%	74.4%	35.0%	42.5%	7.4%	-0.3%	48.7M	-1.58B	-5.7M	0.38	40.25	134,639	51,186	861,609	335,485
2014-10-24	$39.74	$39.00	43.4%	12.5%	74.7%	29.4%	43.9%	7.8%	0.3%	46.4M	-1.84B	-5.8M	0.54	30.15	92,311	49,635	871,250	351,380
2014-10-27	$39.87	$39.00	42.6%	12.8%	73.9%	27.5%	42.4%	9.6%	-0.4%	48.0M	-1.63B	-5.8M	0.61	29.48	40,537	24,695	820,850	330,025
2014-10-28	$40.26	$39.00	40.8%	12.6%	73.8%	23.5%	42.2%	8.4%	0.2%	49.8M	-1.75B	-5.7M	0.35	26.96	61,417	21,356	826,452	333,051
2014-10-29	$39.92	$39.00	40.5%	12.5%	72.7%	23.0%	41.8%	9.1%	0.3%	50.4M	-1.67B	-5.7M	0.43	30.38	87,893	37,917	834,486	337,779
2014-10-30	$40.29	$39.00	40.5%	12.3%	72.3%	23.0%	41.4%	7.1%	0.6%	52.0M	-1.66B	-5.8M	0.48	21.99	66,771	31,968	838,149	355,144
2014-10-31	$41.39	$39.00	40.1%	12.2%	69.5%	22.1%	43.5%	6.7%	-0.4%	52.9M	-1.98B	-5.6M	0.47	16.07	80,070	37,344	844,043	356,301