AAL Options History — February 2015

In February 2015, AAL traded between $46.54 and $51.41. ATM implied volatility averaged 45.8%, placing in the 34.6% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 1.2% (HV 20d: 47.0%). Max pain ranged from $47.00 to $49.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.62.

Notable Days

  • 2015-02-02: Highest Volume — 114,814 contracts
  • 2015-02-11: Largest IV drop — 7.9% change
  • 2015-02-03: Highest IV Rank — 47.1%
  • 2015-02-02: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.87$46.54$51.41$48.72$47.94
Max Pain$48.05$47.00$49.00$48.00$48.00
ATM IV45.8%41.4%51.4%51.2%43.4%
Expected Move13.1%11.9%14.7%14.7%12.2%
HV 20d47.0%39.8%50.9%47.7%39.8%
HV 60d41.5%39.4%42.4%40.3%39.8%
IV Rank34.6%25.1%47.1%46.5%29.4%
IV Percentile83.3%64.7%96.8%96.4%77.4%
Term Structure-0.3%-2.7%1.3%0.1%-1.0%
VWIV46.1%41.8%52.4%51.2%42.1%
Skew 25d4.3%0.7%7.5%5.3%2.5%
Skew 10d8.8%3.6%17.3%9.8%3.6%
Call IV 25d44.4%39.2%50.5%49.3%41.2%
Put IV 25d48.8%43.7%55.4%54.6%43.7%
Bid-Ask Spread %18.908.8734.5114.6611.30
Gamma HHI0.120.090.300.110.14
Net GEX23.6M10.3M56.8M16.3M10.3M
Net DEX-585.4M-973.9M-337.2M-463.1M-405.9M
Net VEX-4.9M-5.2M-4.5M-4.5M-4.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.191.080.190.64
Total Volume59,839.15834,212114,814114,81486,615
Total OI698,740.684602,232756,908626,127667,915

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-02-02$48.72$48.0051.2%14.7%47.7%46.5%51.2%5.3%0.1%16.3M-463.1M-4.5M0.1914.6696,43418,380413,302212,825
2015-02-03$47.46$48.0051.4%14.7%48.2%47.1%52.4%6.5%0.5%16.4M-401.4M-4.8M0.489.0753,75425,722474,278219,414
2015-02-04$49.42$48.0050.1%14.3%50.8%44.0%49.4%7.5%-0.6%25.4M-668.8M-5.2M0.4813.3543,74520,970494,512230,153
2015-02-05$48.72$49.0048.1%14.0%50.9%39.7%48.5%5.6%0.8%23.3M-551.4M-5.0M0.4232.0257,13324,113495,713237,064
2015-02-06$48.06$49.0049.8%14.2%50.7%43.4%49.5%3.4%0.6%17.2M-498.5M-4.9M0.9634.5124,97223,875508,342242,343
2015-02-09$46.54$49.0050.8%14.3%50.8%45.6%51.1%4.9%-0.8%14.2M-337.2M-4.6M0.7025.3336,67825,514467,521222,241
2015-02-10$48.01$48.0048.6%13.7%49.8%40.9%47.5%6.5%-1.9%20.6M-516.0M-4.9M0.6428.2829,24018,702480,114233,868
2015-02-11$47.64$48.0044.8%13.0%49.5%32.5%47.2%3.1%0.4%19.1M-456.7M-4.8M1.088.8716,47917,733486,127237,151
2015-02-12$47.78$48.0043.8%12.6%49.1%30.2%44.9%2.2%1.0%19.5M-454.6M-4.8M0.6028.0127,76616,765488,831241,788
2015-02-13$48.33$48.0043.6%12.8%49.3%29.9%45.2%4.6%0.8%21.1M-535.5M-4.8M0.8620.4727,76824,012494,520243,532
2015-02-17$47.94$48.0044.7%12.8%49.3%32.2%45.0%3.7%-1.3%19.9M-483.9M-4.5M0.5115.5742,54121,808476,469237,111
2015-02-18$49.33$48.0042.9%12.3%45.6%28.3%42.6%5.3%-0.0%31.3M-677.1M-4.9M0.6018.0732,22419,483499,336245,298
2015-02-19$49.78$48.0041.4%11.9%45.2%25.1%41.8%3.5%-0.8%37.9M-761.7M-4.9M0.4010.1633,10313,340500,850248,512
2015-02-20$51.02$48.0043.0%12.3%44.2%28.4%44.2%3.2%1.3%56.8M-973.9M-5.1M0.4517.8652,10723,523505,157251,751
2015-02-23$51.38$47.0042.9%12.2%44.4%28.3%43.1%4.6%-0.4%28.5M-844.7M-5.1M0.5917.7730,05617,616416,800185,432
2015-02-24$51.41$47.0042.5%12.2%44.4%27.3%43.5%6.1%0.6%28.6M-844.6M-5.1M0.8616.5631,08626,783426,585190,945
2015-02-25$49.72$48.0043.5%12.4%42.3%29.5%43.3%0.7%-2.7%22.5M-646.3M-5.0M0.7020.3223,18016,169438,925203,699
2015-02-26$49.41$48.0043.7%12.2%40.2%30.0%42.9%3.4%-1.3%20.5M-601.6M-5.0M0.5816.9623,83313,722447,659209,990
2015-02-27$47.94$48.0043.4%12.2%39.8%29.4%42.1%2.5%-1.0%10.3M-405.9M-4.8M0.6411.3052,72333,892455,623212,292