AAL Options History — December 2014

In December 2014, AAL traded between $47.84 and $53.63. ATM implied volatility averaged 42.1%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 1.5% (HV 20d: 40.5%). Max pain ranged from $39.00 to $42.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.58.

Notable Days

2014-12-05: Highest Volume — 113,158 contracts
2014-12-12: Largest IV spike — 10.8% change
2014-12-16: Highest IV Rank — 40.3%
2014-12-16: Largest Expected Move — 14.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.27	$47.84	$53.63	$47.85	$53.63
Max Pain	$39.95	$39.00	$42.00	$39.00	$42.00
ATM IV	42.1%	37.3%	48.4%	39.9%	42.0%
Expected Move	12.8%	11.9%	14.1%	12.2%	12.5%
HV 20d	40.5%	34.7%	47.2%	34.8%	36.8%
HV 60d	50.6%	48.0%	51.7%	50.1%	48.0%
IV Rank	26.4%	15.8%	40.3%	21.5%	26.3%
IV Percentile	75.6%	45.3%	95.2%	64.2%	81.3%
Term Structure	1.2%	-3.0%	4.1%	1.4%	0.3%
VWIV	45.3%	42.3%	50.3%	43.0%	44.0%
Skew 25d	3.7%	1.1%	5.7%	4.7%	3.7%
Skew 10d	7.8%	-1.7%	16.1%	4.6%	9.8%
Call IV 25d	40.8%	35.1%	48.2%	37.6%	40.7%
Put IV 25d	44.5%	38.8%	51.6%	42.3%	44.3%
Bid-Ask Spread %	29.96	16.25	41.82	25.61	18.72
Gamma HHI	0.10	0.07	0.14	0.12	0.12
Net GEX	36.4M	28.1M	53.3M	34.8M	42.8M
Net DEX	-2.47B	-2.87B	-2.04B	-2.12B	-2.87B
Net VEX	-4.0M	-4.7M	-3.3M	-4.2M	-3.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.40	0.73	0.61	0.54
Total Volume	67,174	32,896	113,158	79,136	52,863
Total OI	1,010,384.909	921,473	1,078,275	921,473	1,015,073

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
2014-12-01	$47.85	$39.00	39.9%	12.2%	34.8%	21.5%	43.0%	4.7%	1.4%	34.8M	-2.12B	-4.2M	0.61	25.61	49,159	29,977	631,737	289,736
2014-12-02	$47.84	$39.00	39.6%	12.3%	34.8%	21.0%	43.6%	4.0%	1.6%	35.1M	-2.14B	-4.1M	0.42	16.25	46,840	19,895	637,368	299,510
2014-12-03	$48.27	$39.00	37.9%	12.1%	34.7%	17.2%	43.9%	4.9%	1.9%	38.8M	-2.23B	-3.9M	0.61	26.84	29,750	18,235	644,539	303,724
2014-12-04	$49.65	$39.00	37.3%	11.9%	35.0%	15.8%	42.8%	3.0%	2.5%	37.1M	-2.50B	-3.6M	0.53	30.64	56,925	30,316	647,988	309,957
2014-12-05	$50.90	$40.00	37.4%	11.9%	35.1%	16.0%	42.3%	2.7%	1.0%	32.1M	-2.69B	-3.4M	0.59	18.95	71,084	42,074	651,582	326,086
2014-12-08	$50.76	$40.00	39.0%	12.2%	35.2%	19.7%	43.7%	2.6%	0.6%	29.8M	-2.50B	-3.7M	0.71	33.63	47,808	33,940	644,757	321,927
2014-12-09	$48.31	$40.00	41.7%	12.7%	40.6%	25.6%	45.0%	2.9%	0.2%	28.1M	-2.10B	-4.4M	0.61	23.87	61,101	37,005	670,196	338,553
2014-12-10	$48.96	$40.00	43.0%	12.9%	40.4%	28.5%	46.3%	1.1%	2.1%	32.2M	-2.28B	-4.4M	0.61	21.76	44,634	27,442	697,887	344,670
2014-12-11	$50.40	$40.00	43.3%	13.3%	41.2%	29.1%	44.8%	3.1%	-0.5%	36.3M	-2.58B	-4.3M	0.62	37.27	57,396	35,344	712,084	354,056
2014-12-12	$49.97	$40.00	48.0%	13.6%	41.4%	39.4%	49.1%	3.6%	-3.0%	32.8M	-2.51B	-4.5M	0.57	36.20	56,367	32,348	717,583	345,737
2014-12-15	$50.89	$40.00	46.8%	13.8%	41.5%	36.9%	48.5%	3.9%	-1.5%	35.1M	-2.55B	-4.6M	0.50	33.96	40,881	20,546	706,449	332,881
2014-12-16	$48.07	$40.00	48.4%	14.1%	47.2%	40.3%	48.6%	3.4%	0.3%	31.3M	-2.04B	-4.6M	0.40	38.80	59,217	23,791	704,432	339,446
2014-12-17	$48.95	$40.00	47.8%	14.0%	46.4%	39.1%	50.3%	3.9%	1.2%	35.2M	-2.22B	-4.7M	0.52	40.29	57,911	29,990	720,475	345,322
2014-12-18	$50.14	$40.00	45.3%	13.6%	45.8%	33.5%	46.8%	4.0%	1.5%	39.8M	-2.46B	-4.5M	0.40	41.82	42,545	17,167	719,379	350,471
2014-12-19	$50.71	$40.00	42.2%	13.2%	45.8%	26.8%	46.1%	4.2%	1.8%	53.3M	-2.64B	-4.1M	0.56	34.28	29,681	16,709	726,677	351,598
2014-12-22	$50.77	$40.00	41.8%	13.0%	45.0%	25.7%	46.1%	2.1%	3.7%	35.1M	-2.50B	-3.8M	0.67	34.91	34,249	22,868	675,688	314,041
2014-12-23	$50.21	$40.00	41.3%	12.8%	45.3%	24.8%	46.4%	5.6%	2.5%	35.5M	-2.38B	-3.8M	0.73	32.59	21,692	15,822	684,943	325,756
2014-12-24	$51.43	$40.00	39.6%	12.3%	45.4%	21.0%	43.8%	5.3%	3.5%	37.1M	-2.61B	-3.7M	0.67	31.60	22,231	14,937	688,115	329,147
2014-12-26	$51.97	$40.00	39.5%	12.2%	45.2%	20.8%	44.7%	2.7%	4.1%	41.6M	-2.73B	-3.5M	0.64	26.63	29,070	18,589	691,168	331,330
2014-12-29	$52.88	$40.00	41.7%	12.0%	37.5%	25.5%	44.1%	4.9%	1.3%	37.1M	-2.76B	-3.3M	0.68	26.78	27,774	18,759	665,147	320,118
2014-12-30	$53.42	$41.00	42.1%	12.3%	36.9%	26.4%	43.6%	5.7%	-0.2%	38.8M	-2.86B	-3.3M	0.53	27.72	21,467	11,429	673,429	327,706
2014-12-31	$53.63	$42.00	42.0%	12.5%	36.8%	26.3%	44.0%	3.7%	0.3%	42.8M	-2.87B	-3.5M	0.54	18.72	34,385	18,478	681,923	333,150