AAL Options History — June 2015

In June 2015, AAL traded between $39.49 and $44.20. ATM implied volatility averaged 36.8%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 4.4% (HV 20d: 41.2%). Max pain ranged from $43.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.50.

Notable Days

  • 2015-06-08: Highest Volume — 167,662 contracts
  • 2015-06-29: Largest IV spike — 18.4% change
  • 2015-06-29: Highest IV Rank — 30.6%
  • 2015-06-29: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.33$39.49$44.20$44.20$40.03
Max Pain$44.32$43.00$45.00$45.00$43.00
ATM IV36.8%33.5%44.5%38.0%42.4%
Expected Move10.4%9.4%12.3%11.4%11.8%
HV 20d41.2%31.7%47.9%47.9%34.4%
HV 60d39.5%38.0%41.4%40.8%38.2%
IV Rank13.8%7.3%30.6%17.3%26.0%
IV Percentile26.5%8.3%82.1%36.5%68.7%
Term Structure0.6%-1.5%3.2%-0.2%0.0%
VWIV36.2%32.9%43.4%40.1%41.1%
Skew 25d2.5%1.5%3.6%3.2%3.2%
Skew 10d4.1%-0.3%8.4%6.8%-0.3%
Call IV 25d36.1%32.3%43.1%36.5%41.2%
Put IV 25d38.6%35.2%45.5%39.6%44.5%
Bid-Ask Spread %8.855.0616.3913.046.29
Gamma HHI0.080.060.140.080.07
Net GEX19.3M386.7K38.9M31.1M12.0M
Net DEX26.8M-372.0M340.2M-308.5M57.5M
Net VEX-5.2M-5.9M-4.4M-5.5M-5.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.240.800.470.46
Total Volume89,620.18234,095167,662146,47548,630
Total OI968,012.773870,5971,086,166880,356947,593

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$44.20$45.0038.0%11.4%47.9%17.3%40.1%3.2%-0.2%31.1M-308.5M-5.5M0.4713.0499,31947,156602,979277,377
2015-06-02$43.78$45.0036.1%10.6%47.8%13.1%37.1%2.7%-0.3%38.9M-242.2M-5.5M0.246.3161,84914,704640,461293,569
2015-06-03$43.17$45.0036.1%10.9%46.0%13.0%37.7%2.1%0.0%33.9M-117.1M-5.4M0.556.2538,63821,353658,015298,799
2015-06-04$42.12$45.0037.6%10.6%46.5%16.3%36.4%3.0%-0.6%15.9M89.6M-5.0M0.5516.3983,09645,698672,724302,834
2015-06-05$41.76$45.0033.5%9.7%42.6%7.3%33.2%3.4%0.3%7.6M199.7M-4.9M0.6714.6448,04832,228692,153325,698
2015-06-08$39.83$45.0037.2%10.6%44.7%15.6%37.0%2.3%-0.1%386.7K340.2M-4.4M0.4610.32114,52253,140606,889303,990
2015-06-09$40.41$45.0038.3%11.1%44.9%16.8%38.3%2.5%0.6%8.3M193.1M-5.1M0.338.86104,18334,598657,404316,906
2015-06-10$40.49$45.0035.1%10.3%45.0%9.6%35.2%2.3%0.6%14.1M159.9M-5.1M0.435.8278,08233,770689,839321,598
2015-06-11$39.96$44.0035.7%10.4%45.1%11.0%36.0%2.1%1.1%12.7M217.1M-5.0M0.448.8353,66823,780702,570323,178
2015-06-12$40.77$44.0034.7%10.2%46.0%8.7%36.1%1.6%1.2%13.9M97.8M-5.2M0.459.0470,06731,419717,936329,224
2015-06-15$40.21$44.0037.2%10.7%46.0%14.4%37.6%2.6%1.8%12.4M182.0M-5.0M0.587.5836,17521,046681,268319,022
2015-06-16$39.49$44.0037.3%10.7%45.7%14.7%34.0%2.2%1.1%7.9M289.9M-4.7M0.567.8539,09721,821699,109323,751
2015-06-17$39.90$44.0036.1%10.3%46.1%11.9%36.2%2.5%2.8%10.4M242.6M-5.0M0.538.1540,37721,395712,869331,379
2015-06-18$39.97$44.0034.5%9.7%31.7%8.4%33.9%2.4%3.2%12.2M240.5M-4.9M0.465.4448,48422,450729,335333,914
2015-06-19$41.63$44.0034.4%9.6%34.9%8.2%33.9%1.8%2.5%33.7M-80.3M-5.4M0.408.9598,03439,207748,644337,522
2015-06-22$43.00$44.0034.9%9.4%36.9%9.3%32.9%1.5%0.3%34.8M-372.0M-5.9M0.665.0659,11738,776599,598283,855
2015-06-23$42.76$44.0035.3%9.5%35.3%10.2%33.3%1.7%0.4%32.6M-311.7M-5.8M0.577.8235,64920,491603,894296,179
2015-06-24$42.27$44.0036.4%9.5%35.0%12.7%34.2%2.3%1.8%31.0M-206.2M-5.7M0.809.0618,97315,122610,985302,076
2015-06-25$42.25$44.0036.8%9.7%34.9%13.4%33.9%3.4%0.0%34.6M-198.6M-5.6M0.259.5067,86817,080608,347305,924
2015-06-26$41.41$44.0037.6%9.9%35.3%15.2%34.7%3.6%-1.5%18.6M-17.1M-5.4M0.739.1228,63921,044605,959310,318
2015-06-29$39.85$44.0044.5%12.3%34.2%30.6%43.4%2.5%-1.4%8.1M133.9M-5.0M0.3410.4091,53331,318575,260295,337
2015-06-30$40.03$43.0042.4%11.8%34.4%26.0%41.1%3.2%0.0%12.0M57.5M-5.4M0.466.2933,20615,424639,366308,227