AAL Options History — January 2015

In January 2015, AAL traded between $49.14 and $55.66. ATM implied volatility averaged 45.9%, placing in the 34.8% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 9.9% (HV 20d: 36.0%). Max pain ranged from $43.00 to $48.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.49.

Notable Days

  • 2015-01-22: Highest Volume — 119,911 contracts
  • 2015-01-22: Largest IV drop — 13.2% change
  • 2015-01-15: Highest IV Rank — 46.9%
  • 2015-01-15: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.29$49.14$55.66$53.88$49.14
Max Pain$46.10$43.00$48.00$43.00$48.00
ATM IV45.9%42.0%51.4%43.5%46.9%
Expected Move13.1%12.1%14.6%12.3%13.5%
HV 20d36.0%28.6%47.8%36.8%47.8%
HV 60d39.1%34.7%47.6%47.6%40.3%
IV Rank34.8%26.2%46.9%29.6%37.0%
IV Percentile88.8%75.4%96.8%88.5%91.3%
Term Structure-0.4%-3.0%0.8%-2.1%0.8%
VWIV46.3%43.1%50.7%44.0%47.0%
Skew 25d4.3%0.7%6.6%4.8%3.4%
Skew 10d8.0%0.9%15.7%8.7%3.3%
Call IV 25d44.6%40.7%50.3%42.4%44.9%
Put IV 25d48.9%44.2%54.9%47.2%48.2%
Bid-Ask Spread %20.1910.8435.5423.5015.28
Gamma HHI0.160.090.630.130.13
Net GEX31.8M19.3M87.1M39.4M19.3M
Net DEX-1.83B-2.94B-428.2M-2.94B-428.2M
Net VEX-4.0M-4.8M-3.4M-3.5M-4.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.240.880.630.47
Total Volume76,900.932,653119,91165,607114,655
Total OI856,129.9524,2801,135,5521,037,882707,648

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$53.88$43.0043.5%12.3%36.8%29.6%44.0%4.8%-2.1%39.4M-2.94B-3.5M0.6323.5040,35725,250694,866343,016
2015-01-05$53.88$44.0046.8%13.0%35.9%36.8%48.0%4.6%0.3%26.9M-2.86B-3.4M0.7317.0718,87913,774674,044324,017
2015-01-06$53.04$44.0046.8%13.3%35.6%36.9%48.0%4.9%0.5%27.8M-2.74B-3.4M0.4935.5433,36416,309680,966331,153
2015-01-07$53.01$45.0046.4%13.2%35.6%36.1%45.8%5.1%-0.8%28.7M-2.74B-3.4M0.6427.4520,46913,145690,188339,044
2015-01-08$53.66$45.0044.0%12.7%30.0%30.8%44.1%3.4%-0.7%30.0M-2.87B-3.4M0.5219.9333,40217,395692,948343,896
2015-01-09$52.05$45.0045.3%12.6%32.4%33.5%44.7%5.0%0.3%21.0M-2.56B-3.4M0.5128.1464,70133,297698,455346,523
2015-01-12$49.62$46.0046.9%13.2%35.6%37.1%46.2%2.6%-0.7%30.7M-2.15B-3.5M0.2430.2480,93019,098701,022344,704
2015-01-13$50.31$46.0046.1%13.1%35.8%35.2%45.8%5.0%-0.5%29.4M-2.37B-3.5M0.5924.0733,52419,692725,376349,589
2015-01-14$49.36$46.0048.5%13.4%35.8%40.5%46.6%4.3%-3.0%28.0M-2.15B-3.4M0.4023.2877,15630,861724,081354,791
2015-01-15$49.41$46.0051.4%14.6%29.2%46.9%50.7%3.2%-0.9%30.7M-2.24B-3.7M0.3514.6767,66523,765740,607356,792
2015-01-16$49.81$47.0050.5%14.4%28.6%45.0%50.0%6.1%-0.8%87.1M-2.31B-3.9M0.3817.2748,91518,508769,381366,171
2015-01-20$52.75$47.0047.0%13.3%34.1%37.2%47.8%5.7%-0.3%23.9M-899.1M-4.0M0.3019.5966,98020,383347,643176,637
2015-01-21$53.67$47.0048.8%14.0%34.4%41.2%50.0%6.6%-1.1%30.0M-1.07B-4.5M0.2518.4952,13913,128381,319184,525
2015-01-22$55.56$47.0042.3%12.1%36.2%27.0%44.7%5.0%0.8%41.7M-1.38B-4.5M0.3514.0789,12130,790405,588188,542
2015-01-23$55.66$47.0042.0%12.1%35.7%26.2%43.6%4.7%0.1%38.7M-1.36B-4.5M0.5016.8547,70823,636405,754201,331
2015-01-26$55.45$47.0046.1%13.6%35.1%35.3%48.9%4.4%-0.9%28.0M-1.22B-4.6M0.7711.9449,58038,088387,610191,962
2015-01-27$52.70$47.0042.2%12.3%40.0%26.7%43.2%0.7%0.1%25.7M-894.6M-4.5M0.4810.8454,40425,937412,746216,021
2015-01-28$50.72$47.0043.2%12.7%41.7%29.0%44.6%1.3%0.2%24.4M-631.3M-4.5M0.8818.7533,97129,761428,500223,980
2015-01-29$52.20$48.0042.6%12.2%43.0%27.7%43.1%4.8%0.5%24.8M-847.8M-4.7M0.2916.9475,41221,869439,589231,573
2015-01-30$49.14$48.0046.9%13.5%47.8%37.0%47.0%3.4%0.8%19.3M-428.2M-4.8M0.4715.2878,20436,451470,977236,671