AAL Options History — August 2015

In August 2015, AAL traded between $37.79 and $43.94. ATM implied volatility averaged 40.8%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 3.9% (HV 20d: 36.9%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2015-08-04: Highest Volume — 113,876 contracts
  • 2015-08-24: Largest IV spike — 28.6% change
  • 2015-08-24: Highest IV Rank — 58.9%
  • 2015-08-24: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.32$37.79$43.94$41.71$39.03
Max Pain$41.29$40.00$42.00$41.00$40.00
ATM IV40.8%34.1%57.3%36.0%45.3%
Expected Move11.8%9.8%16.9%10.4%13.1%
HV 20d36.9%34.5%39.2%39.2%35.8%
HV 60d37.4%34.0%40.1%39.2%36.6%
IV Rank21.9%7.4%58.9%11.7%30.5%
IV Percentile47.8%6.7%97.6%17.9%81.3%
Term Structure-0.2%-3.4%1.3%-0.1%-0.3%
VWIV41.6%34.8%57.2%37.1%46.0%
Skew 25d4.1%2.5%10.2%2.6%5.9%
Skew 10d7.8%1.5%14.1%6.9%13.1%
Call IV 25d39.4%33.4%52.5%35.6%42.1%
Put IV 25d43.5%36.6%62.7%38.2%48.0%
Bid-Ask Spread %21.965.5140.166.6336.46
Gamma HHI0.100.050.300.070.05
Net GEX28.6M7.8M45.5M23.4M12.1M
Net DEX-382.3M-776.6M34.6M-362.1M-86.6M
Net VEX-6.3M-6.7M-5.6M-6.0M-6.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.281.570.450.58
Total Volume70,146.95227,404113,87674,09045,485
Total OI1,028,808.905856,1931,134,263991,282913,032

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$41.71$41.0036.0%10.4%39.2%11.7%37.1%2.6%-0.1%23.4M-362.1M-6.0M0.456.6351,21522,875675,892315,390
2015-08-04$42.71$41.0037.1%10.7%39.2%14.2%39.1%2.7%-0.0%28.8M-539.0M-6.2M0.285.6788,70925,167677,455328,980
2015-08-05$42.97$41.0037.0%10.6%37.3%13.8%39.4%2.5%0.4%39.3M-676.1M-6.6M0.575.5145,46425,896728,831332,414
2015-08-06$42.21$41.0038.8%11.2%38.0%17.9%39.2%2.8%-0.4%34.6M-534.3M-6.6M0.7424.0535,38526,245744,005336,388
2015-08-07$41.50$41.0037.2%11.0%36.6%14.3%38.7%3.2%0.2%36.5M-380.8M-6.3M0.8926.6731,35427,944755,891340,145
2015-08-10$41.59$41.0037.1%10.8%35.0%14.0%38.1%2.5%0.9%27.6M-380.8M-6.2M0.6527.9730,66419,799722,390321,241
2015-08-11$42.70$41.0038.7%11.3%36.0%17.7%39.9%3.1%1.0%34.5M-602.4M-6.4M0.3527.4664,45922,331726,771322,422
2015-08-12$42.54$42.0038.5%11.2%35.8%17.2%39.0%2.9%0.2%37.8M-570.7M-6.4M1.2921.5347,64161,367745,671334,621
2015-08-13$42.67$42.0036.1%10.5%35.8%11.9%36.6%2.5%0.8%41.4M-575.2M-6.7M1.0112.5434,00934,199758,881360,870
2015-08-14$42.86$42.0035.3%10.4%35.8%10.1%36.0%2.5%1.3%45.5M-606.2M-6.7M1.1334.6424,68927,955765,866368,397
2015-08-17$43.94$42.0034.1%9.8%35.7%7.4%34.8%3.2%0.6%41.5M-776.6M-6.6M0.8940.1652,05346,532728,130350,788
2015-08-18$43.64$42.0035.0%10.1%35.9%9.4%36.0%2.8%1.0%41.9M-719.4M-6.6M1.5715.1820,80832,591736,224357,465
2015-08-19$43.53$42.0035.7%10.2%35.7%11.0%35.8%3.3%0.1%43.1M-715.3M-6.6M0.4021.8719,5257,879739,581360,534
2015-08-20$42.06$42.0040.1%11.5%37.0%20.9%39.5%3.4%-0.2%27.8M-395.7M-6.4M0.7121.5733,48423,906741,483361,715
2015-08-21$39.93$42.0044.5%12.8%34.5%30.2%45.2%5.1%-3.4%32.5M-8.3M-5.9M0.7125.4162,13044,191746,422365,574
2015-08-24$38.05$42.0057.3%16.9%38.5%58.9%57.2%10.2%-2.3%7.8M10.7M-5.8M0.4612.0555,42525,689564,211291,982
2015-08-25$37.79$41.0050.9%15.0%36.9%43.4%52.0%7.8%-1.3%8.5M34.6M-5.6M0.7510.7233,89725,273587,282295,859
2015-08-26$38.87$41.0048.4%14.4%38.6%37.8%52.2%5.8%-0.3%11.8M-55.5M-6.0M0.5310.7055,45229,638600,492306,600
2015-08-27$38.91$40.0047.6%13.4%38.4%35.9%47.0%4.5%-1.3%15.0M-66.0M-6.1M0.5339.0842,53222,547623,949318,570
2015-08-28$38.56$40.0045.7%13.0%38.5%31.6%45.1%7.2%0.1%9.8M-23.4M-6.0M0.4135.2433,00813,674630,443322,130
2015-08-31$39.03$40.0045.3%13.1%35.8%30.5%46.0%5.9%-0.3%12.1M-86.6M-6.0M0.5836.4628,74016,745602,187310,845