AAL Options History — July 2015

In July 2015, AAL traded between $38.76 and $42.47. ATM implied volatility averaged 40.9%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 4.9% (HV 20d: 36.0%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.56.

Notable Days

2015-07-01: Highest Volume — 173,249 contracts
2015-07-28: Largest IV drop — 7.0% change
2015-07-01: Highest IV Rank — 33.4%
2015-07-01: Largest Expected Move — 12.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.68	$38.76	$42.47	$38.76	$40.13
Max Pain	$41.95	$41.00	$43.00	$43.00	$41.00
ATM IV	40.9%	36.2%	45.7%	45.7%	36.2%
Expected Move	11.5%	10.2%	12.5%	12.5%	10.2%
HV 20d	36.0%	32.0%	40.4%	35.6%	37.2%
HV 60d	39.4%	38.3%	40.4%	38.7%	39.5%
IV Rank	22.7%	12.1%	33.4%	33.4%	12.1%
IV Percentile	55.3%	19.4%	84.1%	84.1%	19.4%
Term Structure	-0.6%	-2.7%	1.1%	-1.2%	0.1%
VWIV	40.6%	36.6%	44.4%	44.4%	36.6%
Skew 25d	3.2%	1.4%	4.4%	2.7%	3.4%
Skew 10d	7.2%	4.5%	10.4%	7.9%	7.9%
Call IV 25d	40.3%	35.3%	45.3%	45.3%	35.3%
Put IV 25d	43.5%	38.7%	48.0%	48.0%	38.7%
Bid-Ask Spread %	10.74	5.66	19.73	12.49	6.53
Gamma HHI	0.07	0.05	0.11	0.05	0.07
Net GEX	24.9M	6.1M	40.5M	6.1M	17.1M
Net DEX	-169.7M	-543.4M	206.0M	206.0M	-126.5M
Net VEX	-5.9M	-6.3M	-5.0M	-5.0M	-5.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.28	1.14	0.45	0.49
Total Volume	87,379.045	36,682	173,249	173,249	81,765
Total OI	1,061,243.545	959,841	1,206,491	959,841	1,086,541

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
2015-07-01	$38.76	$43.00	45.7%	12.5%	35.6%	33.4%	44.4%	2.7%	-1.2%	6.1M	206.0M	-5.0M	0.45	12.49	119,306	53,943	649,452	310,389
2015-07-02	$39.02	$43.00	43.4%	11.4%	35.1%	28.3%	40.1%	1.4%	-1.2%	9.7M	162.2M	-5.4M	0.56	14.02	57,368	32,373	721,557	341,581
2015-07-06	$39.70	$43.00	43.3%	12.0%	35.8%	28.1%	42.0%	2.9%	-0.1%	16.5M	33.1M	-5.6M	0.28	12.31	63,260	17,812	689,353	327,142
2015-07-07	$40.61	$43.00	43.1%	12.0%	32.7%	27.6%	41.7%	3.4%	-0.7%	26.2M	-135.0M	-6.0M	0.46	6.26	34,579	15,872	717,491	332,440
2015-07-08	$39.40	$42.00	44.7%	12.4%	34.1%	31.2%	43.2%	3.2%	-0.5%	17.1M	50.6M	-5.6M	0.35	6.31	43,641	15,483	724,962	335,313
2015-07-09	$39.78	$42.00	42.5%	11.8%	34.3%	26.2%	42.0%	3.4%	-0.5%	19.1M	17.3M	-5.7M	0.45	6.29	35,505	15,931	734,295	338,577
2015-07-10	$41.23	$42.00	41.4%	11.6%	36.3%	23.8%	40.4%	3.2%	-0.5%	27.4M	-249.7M	-6.0M	0.35	7.07	79,372	27,828	736,339	341,632
2015-07-13	$42.46	$42.00	39.8%	11.3%	37.1%	20.2%	39.7%	2.8%	-0.7%	40.5M	-442.0M	-6.2M	0.53	7.42	61,664	32,387	711,188	327,072
2015-07-14	$41.97	$42.00	41.1%	11.5%	37.0%	23.2%	40.4%	3.2%	-0.9%	33.4M	-337.4M	-6.1M	0.31	5.66	62,916	19,349	720,077	341,359
2015-07-15	$41.53	$42.00	41.6%	11.5%	36.5%	24.2%	40.5%	4.2%	-1.2%	39.8M	-236.9M	-5.9M	0.45	10.52	95,204	42,557	757,987	347,195
2015-07-16	$41.45	$42.00	39.6%	11.4%	36.4%	19.6%	39.2%	3.8%	1.0%	40.1M	-230.0M	-6.3M	0.86	5.86	65,802	56,604	806,346	372,328
2015-07-17	$41.42	$42.00	40.3%	11.5%	36.4%	21.3%	39.9%	3.8%	0.0%	32.2M	-221.4M	-6.2M	0.78	5.90	58,660	45,566	822,936	383,555
2015-07-20	$40.59	$42.00	40.7%	11.6%	34.1%	22.2%	41.1%	3.6%	-1.1%	19.2M	-174.6M	-6.0M	1.14	12.49	25,810	29,476	686,141	317,596
2015-07-21	$40.92	$42.00	41.0%	11.7%	32.0%	22.8%	40.4%	4.1%	-1.1%	21.1M	-237.6M	-6.1M	0.55	17.11	39,061	21,421	695,735	325,462
2015-07-22	$41.44	$42.00	41.4%	11.9%	32.4%	23.8%	41.6%	3.6%	-1.1%	24.5M	-335.5M	-6.1M	0.64	17.88	29,300	18,786	705,304	327,600
2015-07-23	$42.47	$42.00	40.3%	11.6%	33.4%	21.2%	40.4%	3.0%	-1.6%	30.0M	-543.4M	-6.3M	0.42	12.78	92,537	38,742	701,887	329,772
2015-07-24	$39.85	$42.00	41.2%	12.0%	40.4%	23.4%	41.5%	4.4%	-2.7%	18.4M	-17.1M	-5.7M	0.32	19.73	123,343	38,986	714,541	344,402
2015-07-27	$40.05	$41.00	40.9%	11.8%	40.0%	22.6%	42.4%	2.6%	-0.3%	22.6M	-157.9M	-5.9M	0.50	18.72	56,025	27,889	706,408	318,455
2015-07-28	$41.14	$41.00	38.0%	10.9%	38.7%	16.2%	39.5%	2.6%	1.1%	32.6M	-338.8M	-6.1M	0.83	16.14	34,076	28,200	726,534	327,629
2015-07-29	$40.78	$41.00	37.0%	10.6%	38.9%	13.8%	37.7%	3.1%	0.3%	29.1M	-257.9M	-6.0M	0.86	7.92	19,750	16,932	732,492	336,970
2015-07-30	$40.28	$41.00	36.9%	10.5%	37.2%	13.7%	37.7%	3.1%	-0.1%	25.0M	-159.8M	-5.8M	0.75	6.91	26,974	20,284	734,855	338,468
2015-07-31	$40.13	$41.00	36.2%	10.2%	37.2%	12.1%	36.6%	3.4%	0.1%	17.1M	-126.5M	-5.7M	0.49	6.53	54,780	26,985	744,964	341,577