AAL Options History — May 2015

In May 2015, AAL traded between $41.54 and $49.65. ATM implied volatility averaged 36.1%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 3.4% (HV 20d: 39.5%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.54.

Notable Days

  • 2015-05-20: Highest Volume — 375,212 contracts
  • 2015-05-20: Largest IV spike — 14.5% change
  • 2015-05-26: Highest IV Rank — 18.8%
  • 2015-05-26: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.46$41.54$49.65$49.49$42.50
Max Pain$48.05$45.00$50.00$50.00$45.00
ATM IV36.1%32.0%38.6%37.0%37.7%
Expected Move10.4%9.2%11.2%10.9%11.0%
HV 20d39.5%31.8%47.8%32.6%46.4%
HV 60d36.7%34.4%40.2%34.5%40.0%
IV Rank13.2%4.2%18.8%15.1%16.6%
IV Percentile25.3%5.2%40.9%30.2%34.1%
Term Structure0.4%-0.7%3.2%1.6%-0.1%
VWIV36.3%31.7%38.9%37.7%38.6%
Skew 25d3.3%1.6%5.2%3.4%1.6%
Skew 10d5.8%0.8%9.4%7.4%3.8%
Call IV 25d34.9%30.7%37.6%35.5%37.5%
Put IV 25d38.2%34.1%40.8%38.9%39.2%
Bid-Ask Spread %7.024.5810.436.038.10
Gamma HHI0.090.060.110.100.09
Net GEX18.7M-1.3M38.6M27.9M21.5M
Net DEX-144.9M-526.9M293.9M-526.9M57.5M
Net VEX-4.9M-5.7M-3.8M-5.7M-5.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.281.070.850.29
Total Volume96,664.0535,966375,21297,985117,613
Total OI838,061610,093952,850877,244944,065

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$49.49$50.0037.0%10.9%32.6%15.1%37.7%3.4%1.6%27.9M-526.9M-5.7M0.856.0353,01444,971564,576312,668
2015-05-04$48.95$50.0036.3%10.6%31.8%13.8%37.9%3.7%-0.0%24.9M-386.0M-5.5M0.908.5818,94817,018533,567282,429
2015-05-05$46.93$50.0038.0%11.0%35.0%17.4%38.2%3.7%-0.1%8.2M-69.2M-5.0M0.707.8840,27828,249537,152290,856
2015-05-06$46.97$49.0038.3%11.0%33.7%18.2%38.0%3.1%0.6%8.7M-83.2M-5.0M0.517.7750,31425,587545,002296,763
2015-05-07$49.11$49.0036.8%10.7%36.8%14.8%37.4%3.2%0.6%30.9M-398.8M-5.3M0.577.7063,20236,270549,123301,782
2015-05-08$49.04$49.0034.8%10.1%36.8%10.3%35.2%3.4%0.8%38.2M-388.6M-5.2M0.666.2935,11223,235556,616301,408
2015-05-11$49.65$49.0035.2%10.1%37.0%11.3%35.4%3.3%0.2%38.6M-497.9M-5.2M0.348.6237,40312,541539,294281,587
2015-05-12$49.01$49.0035.6%10.3%37.2%12.2%36.7%3.4%0.5%31.9M-390.0M-5.1M0.606.5931,17518,617547,917282,565
2015-05-13$48.59$49.0036.7%10.3%37.3%14.6%37.3%3.0%-0.7%22.6M-291.9M-4.9M0.426.4454,00722,946557,695289,502
2015-05-14$48.81$49.0034.5%9.9%37.0%9.8%34.8%3.5%0.1%22.1M-307.6M-5.0M0.606.1237,85822,610575,555298,913
2015-05-15$48.76$49.0033.2%9.5%37.0%6.8%32.7%3.3%-0.5%19.5M-292.0M-4.9M1.075.1129,23531,260589,203304,583
2015-05-18$49.00$49.0032.0%9.2%35.2%4.2%31.7%3.4%0.5%20.6M-346.7M-4.8M0.286.4643,95312,329406,613203,480
2015-05-19$47.85$49.0033.2%9.5%33.8%6.9%33.1%3.5%0.1%13.5M-222.4M-4.7M0.518.5752,85127,209436,494210,551
2015-05-20$43.35$49.0038.0%10.9%47.7%17.6%36.7%5.2%3.2%-1.3M222.8M-3.8M0.4610.43257,703117,509467,492228,646
2015-05-21$42.58$46.0036.9%10.5%47.7%15.1%36.5%3.1%2.6%1.8M293.9M-4.4M0.427.02106,77544,458608,791293,929
2015-05-22$42.77$45.5034.7%10.0%46.2%10.3%35.1%2.5%-0.4%8.5M235.2M-4.6M0.564.5868,47338,381651,328301,522
2015-05-26$41.54$45.5038.6%11.2%46.7%18.8%38.7%3.2%-0.2%4.8M241.0M-4.4M0.317.36103,09031,691555,272275,726
2015-05-27$42.29$45.0038.1%11.2%47.8%17.6%38.9%3.1%-0.3%15.5M102.1M-4.8M0.404.9274,58629,736614,338285,777
2015-05-28$41.97$45.0036.4%10.5%45.9%13.6%36.3%2.3%-0.4%16.3M151.7M-4.8M0.425.8251,53821,536642,569295,871
2015-05-29$42.50$45.0037.7%11.0%46.4%16.6%38.6%1.6%-0.1%21.5M57.5M-5.0M0.298.1091,19926,414644,391299,674