AAL Options History — April 2015 In April 2015, AAL traded between $47.38 and $52.77. ATM implied volatility averaged 40.8%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 3.8% (HV 20d: 37.0%). Max pain ranged from $48.00 to $52.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.63.
Notable Days 2015-04-29 : Highest Volume — 167,220 contracts2015-04-24 : Largest IV drop — 13.9% change2015-04-06 : Highest IV Rank — 30.1%2015-04-06 : Largest Expected Move — 12.6%Monthly Statistics Metric Avg Min Max Open Close Price $49.34 $47.38 $52.77 $50.51 $48.25 Max Pain $48.67 $48.00 $52.50 $52.50 $50.00 ATM IV 40.8% 32.6% 43.7% 42.2% 40.4% Expected Move 11.8% 9.4% 12.6% 11.0% 12.6% HV 20d 37.0% 31.0% 43.0% 40.9% 32.4% HV 60d 38.6% 34.2% 41.3% 40.8% 35.1% IV Rank 23.6% 5.4% 30.1% 26.7% 22.8% IV Percentile 57.7% 7.9% 79.0% 67.9% 53.2% Term Structure -0.2% -1.5% 2.4% -1.5% 0.9% VWIV 41.3% 33.7% 44.4% 37.7% 44.1% Skew 25d 3.5% 2.6% 4.8% 4.8% 2.9% Skew 10d 6.8% -1.0% 13.6% 10.8% 5.3% Call IV 25d 39.4% 31.9% 42.5% 39.7% 38.6% Put IV 25d 42.8% 35.0% 45.9% 44.5% 41.5% Bid-Ask Spread % 9.85 6.04 15.99 9.89 9.21 Gamma HHI 0.10 0.08 0.14 0.11 0.08 Net GEX 21.2M 7.6M 54.9M 8.3M 19.4M Net DEX -461.0M -1.21B -145.1M -391.1M -283.4M Net VEX -5.4M -5.6M -5.1M -5.5M -5.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.63 0.23 1.17 0.32 0.62 Total Volume 76,999.667 34,757 167,220 142,807 78,182 Total OI 771,053.238 689,753 856,679 723,565 856,679
Daily Data (21 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 2015-04-01 $50.51 $52.50 42.2% 11.0% 40.9% 26.7% 37.7% 4.8% -1.5% 8.3M -391.1M -5.5M 0.32 9.89 108,248 34,559 462,656 260,909 2015-04-02 $49.22 $48.00 41.4% 12.4% 41.9% 24.8% 43.7% 4.3% 2.4% 10.6M -240.7M -5.5M 1.07 15.08 43,136 46,061 484,025 278,762 2015-04-06 $48.13 $48.00 43.7% 12.6% 42.6% 30.1% 43.2% 3.6% 1.9% 7.6M -199.9M -5.2M 0.66 9.06 41,053 27,261 484,488 257,973 2015-04-07 $47.53 $48.00 43.2% 12.1% 42.8% 28.9% 41.9% 3.4% -0.6% 8.6M -145.1M -5.1M 0.74 15.99 20,748 15,375 498,214 260,005 2015-04-08 $48.74 $48.00 43.0% 12.2% 42.7% 28.4% 43.3% 2.9% -0.7% 10.7M -292.0M -5.4M 0.83 14.95 26,928 22,383 502,256 266,863 2015-04-09 $47.86 $48.00 43.1% 12.2% 43.0% 28.7% 42.0% 4.1% -0.8% 8.2M -172.1M -5.2M 0.86 8.50 23,341 20,056 510,155 274,348 2015-04-10 $47.77 $48.00 43.0% 12.1% 41.9% 28.4% 42.6% 4.0% -0.4% 10.5M -162.6M -5.2M 1.17 7.87 25,103 29,276 522,406 281,058 2015-04-13 $47.80 $48.00 43.6% 12.5% 41.7% 29.7% 43.4% 3.4% -1.0% 9.3M -222.1M -5.2M 0.57 8.94 22,973 13,170 505,682 262,720 2015-04-14 $47.38 $48.00 43.6% 12.5% 40.9% 29.8% 43.5% 3.4% -1.3% 8.1M -166.4M -5.1M 0.72 10.72 20,152 14,605 515,438 266,668 2015-04-15 $47.73 $48.00 42.2% 12.1% 31.9% 26.7% 42.4% 3.7% 0.0% 11.3M -215.4M -5.1M 0.54 11.49 30,876 16,754 521,693 267,603 2015-04-16 $48.42 $48.00 40.6% 11.6% 32.4% 23.1% 41.6% 2.8% -0.8% 17.4M -301.8M -5.2M 0.62 11.57 24,279 15,120 533,448 270,567 2015-04-17 $48.20 $48.00 42.5% 12.2% 31.0% 27.4% 43.1% 3.0% -0.5% 15.9M -281.3M -5.2M 0.51 6.38 54,015 27,679 543,597 274,124 2015-04-20 $49.74 $48.00 41.3% 12.2% 33.4% 24.8% 41.8% 3.3% -0.7% 27.6M -623.7M -5.3M 0.23 6.27 54,769 12,503 463,033 226,720 2015-04-21 $51.39 $48.00 41.0% 12.1% 35.2% 24.1% 42.2% 3.2% -1.2% 36.6M -899.6M -5.6M 0.46 7.85 51,227 23,696 483,031 231,137 2015-04-22 $51.39 $48.00 42.1% 12.5% 35.2% 26.4% 44.4% 3.1% -1.2% 37.6M -920.2M -5.6M 0.45 8.42 39,497 17,724 495,065 244,200 2015-04-23 $51.47 $48.50 37.8% 11.1% 32.8% 17.0% 38.5% 3.5% -0.9% 43.0M -944.2M -5.6M 0.65 9.08 51,439 33,384 505,004 250,515 2015-04-24 $52.77 $49.00 32.6% 9.4% 33.7% 5.4% 33.7% 2.9% -0.7% 54.9M -1.21B -5.6M 0.52 8.14 105,834 55,233 524,772 267,108 2015-04-27 $51.86 $50.00 33.2% 9.9% 33.0% 6.9% 35.5% 3.5% 0.4% 41.9M -884.5M -5.6M 0.93 12.40 35,484 32,915 499,636 260,472 2015-04-28 $51.12 $50.00 36.4% 10.4% 32.6% 14.0% 35.7% 2.6% 1.6% 36.3M -741.1M -5.6M 0.26 6.04 107,197 27,538 505,390 269,105 2015-04-29 $48.87 $50.00 39.9% 12.1% 35.7% 21.6% 42.2% 4.1% 1.1% 21.2M -380.5M -5.5M 0.55 9.07 107,570 59,650 525,150 279,443 2015-04-30 $48.25 $50.00 40.4% 12.6% 32.4% 22.8% 44.1% 2.9% 0.9% 19.4M -283.4M -5.6M 0.62 9.21 48,401 29,781 547,926 308,753
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