AAL Options History — November 2014

In November 2014, AAL traded between $41.99 and $48.53. ATM implied volatility averaged 36.5%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 2.7% (HV 20d: 39.3%). Max pain ranged from $39.00 to $39.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.66.

Notable Days

2014-11-06: Highest Volume — 124,368 contracts
2014-11-28: Largest IV spike — 7.5% change
2014-11-04: Highest IV Rank — 24.7%
2014-11-05: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.87	$41.99	$48.53	$41.99	$48.53
Max Pain	$39.00	$39.00	$39.00	$39.00	$39.00
ATM IV	36.5%	34.1%	41.3%	40.1%	36.9%
Expected Move	11.6%	11.1%	12.4%	12.2%	11.5%
HV 20d	39.3%	23.0%	67.7%	67.7%	34.5%
HV 60d	48.9%	48.0%	50.1%	49.6%	50.1%
IV Rank	14.2%	8.9%	24.7%	22.0%	15.1%
IV Percentile	36.5%	18.3%	77.0%	65.2%	41.8%
Term Structure	0.6%	-0.8%	2.3%	-0.8%	0.1%
VWIV	41.4%	38.1%	44.2%	43.5%	41.0%
Skew 25d	5.4%	4.3%	7.3%	6.6%	4.3%
Skew 10d	13.4%	2.5%	25.0%	15.0%	2.5%
Call IV 25d	34.2%	31.8%	38.0%	37.0%	35.4%
Put IV 25d	39.6%	37.0%	44.2%	43.6%	39.7%
Bid-Ask Spread %	27.63	14.56	39.46	28.08	26.76
Gamma HHI	0.13	0.11	0.26	0.12	0.12
Net GEX	47.8M	33.7M	81.2M	50.1M	33.7M
Net DEX	-2.17B	-2.53B	-1.43B	-2.03B	-2.36B
Net VEX	-4.9M	-5.5M	-4.2M	-5.4M	-4.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.29	1.03	1.03	0.42
Total Volume	68,435.316	28,271	124,368	65,720	108,660
Total OI	1,125,336.105	893,597	1,226,017	1,121,784	950,405

Daily Data (19 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
2014-11-03	$41.99	$39.00	40.1%	12.2%	67.7%	22.0%	43.5%	6.6%	-0.8%	50.1M	-2.03B	-5.4M	1.03	28.08	32,316	33,404	805,539	316,245
2014-11-04	$42.66	$39.00	41.3%	11.8%	66.5%	24.7%	44.2%	6.2%	-0.7%	49.0M	-2.19B	-5.4M	0.46	31.43	75,350	34,589	812,717	330,497
2014-11-05	$42.26	$39.00	39.7%	12.4%	64.9%	21.2%	44.0%	4.5%	2.3%	48.6M	-2.09B	-5.3M	0.87	33.04	27,365	23,872	813,771	341,246
2014-11-06	$43.20	$39.00	38.9%	11.9%	63.1%	19.4%	42.6%	6.1%	1.4%	49.3M	-2.31B	-5.2M	0.95	28.10	63,837	60,531	821,168	349,560
2014-11-07	$43.17	$39.00	38.2%	11.9%	62.8%	17.9%	42.7%	5.8%	1.3%	49.2M	-2.28B	-5.5M	0.95	14.56	29,509	28,094	845,311	380,508
2014-11-10	$43.80	$39.00	36.6%	11.7%	44.3%	14.3%	44.1%	7.3%	-0.2%	49.1M	-2.35B	-5.2M	0.78	21.00	30,973	24,104	824,209	365,514
2014-11-11	$43.47	$39.00	36.3%	11.9%	35.4%	13.6%	43.1%	4.4%	0.6%	50.1M	-2.30B	-5.1M	0.60	22.17	42,550	25,675	821,156	357,029
2014-11-12	$43.49	$39.00	36.7%	11.8%	35.6%	14.5%	41.5%	5.8%	-0.2%	51.8M	-2.29B	-5.2M	0.90	32.20	23,900	21,526	835,680	378,505
2014-11-13	$44.14	$39.00	36.3%	11.6%	34.5%	13.8%	41.7%	5.0%	-0.6%	51.6M	-2.46B	-5.0M	0.53	35.34	34,263	18,264	834,493	383,588
2014-11-14	$44.01	$39.00	35.2%	11.6%	35.1%	11.2%	41.1%	5.0%	0.8%	81.2M	-2.43B	-4.9M	0.58	39.46	17,856	10,415	839,651	386,366
2014-11-17	$43.69	$39.00	36.0%	11.5%	32.4%	13.0%	42.4%	5.4%	1.5%	47.1M	-2.24B	-4.8M	0.71	32.71	23,209	16,431	801,381	369,316
2014-11-18	$45.09	$39.00	35.0%	11.3%	25.9%	10.7%	38.9%	5.8%	1.7%	49.7M	-2.53B	-4.7M	0.40	27.52	53,788	21,486	803,508	372,497
2014-11-19	$44.10	$39.00	35.6%	11.4%	26.3%	12.3%	39.2%	5.2%	0.3%	45.4M	-2.33B	-4.7M	0.56	22.02	20,919	11,686	804,627	379,478
2014-11-20	$44.13	$39.00	34.1%	11.5%	23.2%	9.0%	41.2%	4.9%	1.4%	46.4M	-2.23B	-4.6M	0.79	22.70	35,332	28,015	789,584	373,301
2014-11-21	$43.37	$39.00	34.1%	11.2%	23.0%	8.9%	38.9%	5.4%	-0.4%	35.2M	-2.06B	-4.5M	0.65	26.58	52,840	34,153	793,132	383,157
2014-11-24	$43.21	$39.00	34.4%	11.1%	23.1%	9.5%	38.9%	5.1%	0.3%	36.9M	-1.43B	-4.5M	0.49	23.25	21,759	10,769	625,902	267,695
2014-11-25	$44.18	$39.00	34.6%	11.4%	24.0%	9.9%	38.1%	5.3%	0.7%	39.9M	-1.62B	-4.5M	0.29	35.14	87,033	25,553	631,663	274,494
2014-11-26	$44.97	$39.00	34.3%	11.3%	23.9%	9.4%	39.7%	4.8%	2.0%	43.8M	-1.77B	-4.4M	0.53	22.91	59,064	31,181	635,768	282,725
2014-11-28	$48.53	$39.00	36.9%	11.5%	34.5%	15.1%	41.0%	4.3%	0.1%	33.7M	-2.36B	-4.2M	0.42	26.76	76,644	32,016	653,730	296,675