AAL Options History — March 2015 In March 2015, AAL traded between $46.74 and $55.76. ATM implied volatility averaged 39.4%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 6.4% (HV 20d: 32.9%). Max pain ranged from $48.00 to $52.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.65.
Notable Days 2015-03-17 : Highest Volume — 207,664 contracts2015-03-25 : Largest IV spike — 9.5% change2015-03-10 : Highest IV Rank — 28.9%2015-03-10 : Largest Expected Move — 12.6%Monthly Statistics Metric Avg Min Max Open Close Price $51.00 $46.74 $55.76 $48.23 $52.86 Max Pain $49.73 $48.00 $52.50 $48.00 $52.50 ATM IV 39.4% 34.7% 43.2% 43.1% 39.7% Expected Move 10.9% 9.3% 12.6% 12.4% 9.8% HV 20d 32.9% 25.9% 37.2% 34.0% 37.0% HV 60d 38.8% 36.3% 39.9% 39.9% 39.8% IV Rank 20.5% 10.2% 28.9% 28.6% 21.2% IV Percentile 46.1% 15.9% 75.4% 75.0% 47.2% Term Structure 1.4% -1.1% 7.9% -0.5% -0.7% VWIV 38.0% 32.3% 43.5% 43.2% 35.2% Skew 25d 3.5% 1.9% 4.8% 4.4% 2.2% Skew 10d 7.3% 0.5% 19.1% 5.9% 3.8% Call IV 25d 37.9% 31.3% 41.8% 40.9% 39.2% Put IV 25d 41.4% 33.7% 45.3% 45.3% 41.3% Bid-Ask Spread % 12.30 6.16 31.34 10.68 7.59 Gamma HHI 0.11 0.08 0.21 0.10 0.12 Net GEX 32.5M 12.4M 80.8M 20.0M 21.8M Net DEX -859.2M -2.14B -366.1M -487.7M -777.7M Net VEX -5.3M -5.9M -4.8M -4.8M -5.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.24 1.72 0.46 1.72 Total Volume 75,769 31,839 207,664 49,599 35,833 Total OI 742,956.455 651,604 887,778 651,604 720,222
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 2015-03-02 $48.23 $48.00 43.1% 12.4% 34.0% 28.6% 43.2% 4.4% -0.5% 20.0M -487.7M -4.8M 0.46 10.68 33,935 15,664 445,344 206,260 2015-03-03 $48.77 $48.00 39.7% 11.6% 34.1% 21.3% 39.4% 4.5% 1.7% 25.3M -553.8M -4.8M 0.46 12.54 36,108 16,449 460,123 208,745 2015-03-04 $48.94 $48.00 40.7% 11.2% 32.7% 23.4% 37.5% 3.7% 0.2% 29.7M -598.9M -4.9M 0.24 16.50 47,943 11,325 477,100 211,942 2015-03-05 $48.42 $49.00 42.0% 12.4% 29.5% 26.3% 43.5% 3.0% 0.4% 28.8M -561.1M -4.9M 0.32 31.34 43,323 13,975 496,882 213,348 2015-03-06 $47.96 $49.00 42.0% 12.5% 29.2% 26.2% 43.2% 3.9% 1.3% 24.6M -510.9M -4.9M 0.50 17.11 56,603 28,506 522,690 217,743 2015-03-09 $47.92 $49.00 42.3% 12.4% 28.8% 27.0% 43.1% 3.3% 0.6% 27.4M -519.5M -4.9M 0.29 16.99 32,978 9,688 506,708 213,494 2015-03-10 $46.74 $49.00 43.2% 12.6% 27.9% 28.9% 43.4% 3.2% 0.8% 23.2M -366.1M -4.8M 0.33 16.75 28,872 9,429 526,253 217,765 2015-03-11 $47.39 $48.00 41.3% 12.1% 25.9% 24.7% 41.8% 4.0% 0.4% 28.4M -448.7M -4.9M 0.74 10.74 26,279 19,318 533,893 221,845 2015-03-12 $48.68 $48.00 39.3% 11.5% 27.5% 20.3% 40.0% 3.4% 0.7% 42.2M -666.7M -5.1M 0.35 9.49 36,518 12,685 543,429 227,860 2015-03-13 $49.22 $48.00 39.8% 11.6% 27.8% 21.4% 40.7% 3.5% 1.1% 40.6M -791.7M -5.1M 0.34 19.62 56,379 18,904 552,794 232,212 2015-03-16 $50.22 $48.00 38.4% 11.1% 28.3% 18.2% 38.7% 3.5% 4.4% 48.9M -914.9M -5.2M 0.38 11.25 54,345 20,552 529,350 225,631 2015-03-17 $53.69 $49.00 37.0% 10.6% 36.2% 15.2% 36.9% 3.0% 3.6% 53.9M -1.58B -5.2M 0.27 9.26 163,748 43,916 535,757 232,642 2015-03-18 $54.13 $49.00 35.6% 10.2% 35.2% 12.1% 36.5% 2.9% 5.3% 65.5M -1.64B -5.5M 0.31 11.17 77,166 23,934 563,936 245,482 2015-03-19 $55.19 $49.00 36.2% 10.2% 35.6% 13.5% 35.4% 3.2% 4.7% 80.8M -1.89B -5.5M 0.28 8.08 102,279 28,183 582,989 251,348 2015-03-20 $55.76 $50.00 34.7% 9.4% 34.9% 10.2% 32.3% 2.3% 7.9% 35.9M -2.14B -5.7M 0.44 14.36 116,166 51,664 622,024 265,754 2015-03-23 $54.40 $50.00 36.6% 9.3% 36.4% 14.4% 32.6% 1.9% 0.2% 28.2M -996.6M -5.6M 1.36 7.44 28,542 38,707 442,274 224,883 2015-03-24 $53.93 $52.50 36.4% 9.4% 36.6% 14.0% 32.4% 4.5% 0.8% 19.9M -874.6M -5.8M 0.89 6.16 34,652 30,750 454,098 245,156 2015-03-25 $52.01 $52.50 39.9% 10.2% 37.0% 21.6% 35.9% 4.2% -0.9% 13.5M -537.5M -5.7M 1.33 8.13 41,184 54,572 469,825 265,269 2015-03-26 $51.34 $52.50 39.6% 10.2% 37.2% 21.1% 36.2% 4.1% 0.2% 12.4M -445.8M -5.7M 1.71 8.87 36,156 61,744 475,411 267,966 2015-03-27 $52.66 $52.50 39.6% 10.0% 36.1% 20.9% 34.9% 4.0% -0.4% 17.9M -698.1M -5.9M 0.55 8.11 23,318 12,787 488,831 285,311 2015-03-30 $53.62 $52.50 38.9% 9.7% 36.4% 19.5% 33.8% 4.8% -1.1% 24.9M -905.4M -5.9M 1.02 8.44 15,733 16,106 458,873 255,580 2015-03-31 $52.86 $52.50 39.7% 9.8% 37.0% 21.2% 35.2% 2.2% -0.7% 21.8M -777.7M -5.8M 1.72 7.59 13,183 22,650 462,494 257,728
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