AAL Options History — September 2015

In September 2015, AAL traded between $38.81 and $43.98. ATM implied volatility averaged 40.2%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 3.6% (HV 20d: 36.6%). Max pain ranged from $39.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.63.

Notable Days

2015-09-17: Highest Volume — 85,617 contracts
2015-09-22: Largest IV spike — 15.3% change
2015-09-01: Highest IV Rank — 38.6%
2015-09-01: Largest Expected Move — 14.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.24	$38.81	$43.98	$39.08	$38.81
Max Pain	$40.83	$39.00	$42.00	$40.00	$41.00
ATM IV	40.2%	34.3%	48.8%	48.8%	45.5%
Expected Move	11.3%	9.6%	14.1%	14.1%	12.1%
HV 20d	36.6%	31.9%	40.8%	34.4%	33.5%
HV 60d	36.2%	35.3%	37.2%	35.3%	35.5%
IV Rank	18.9%	5.2%	38.6%	38.6%	31.2%
IV Percentile	45.2%	3.6%	92.1%	92.1%	81.0%
Term Structure	0.8%	-1.3%	5.2%	0.1%	-1.3%
VWIV	39.2%	32.9%	49.2%	49.2%	41.8%
Skew 25d	6.6%	5.4%	8.3%	6.7%	8.3%
Skew 10d	12.6%	6.1%	17.8%	15.1%	15.5%
Call IV 25d	37.4%	30.9%	46.1%	46.1%	41.2%
Put IV 25d	43.9%	36.6%	52.8%	52.8%	49.5%
Bid-Ask Spread %	15.45	5.40	45.20	37.37	45.20
Gamma HHI	0.07	0.05	0.14	0.05	0.06
Net GEX	19.1M	5.2M	37.7M	13.8M	5.2M
Net DEX	-284.8M	-755.3M	88.2M	-114.1M	88.2M
Net VEX	-6.0M	-6.5M	-5.3M	-6.1M	-5.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.25	1.34	0.52	0.35
Total Volume	52,827.762	28,969	85,617	53,194	74,005
Total OI	929,762.952	860,203	980,001	931,168	890,414

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
2015-09-01	$39.08	$40.00	48.8%	14.1%	34.4%	38.6%	49.2%	6.7%	0.1%	13.8M	-114.1M	-6.1M	0.52	37.37	34,916	18,278	613,124	318,044
2015-09-02	$41.39	$40.00	41.7%	11.7%	40.8%	22.4%	41.4%	6.4%	-0.1%	25.8M	-420.2M	-6.5M	0.51	37.05	42,589	21,672	627,802	325,449
2015-09-03	$40.95	$39.00	40.8%	11.6%	40.5%	20.4%	43.0%	6.9%	-0.5%	26.7M	-353.0M	-6.4M	0.69	22.47	29,821	20,704	635,338	328,230
2015-09-04	$40.76	$40.00	42.3%	12.1%	40.1%	23.7%	42.6%	6.6%	0.6%	17.1M	-310.8M	-6.4M	0.68	13.52	24,566	16,619	635,355	331,920
2015-09-08	$40.80	$40.00	40.1%	11.6%	40.1%	18.6%	39.5%	6.8%	0.7%	18.2M	-249.4M	-6.1M	1.00	9.87	18,609	18,564	612,044	321,711
2015-09-09	$40.91	$40.00	40.5%	11.5%	38.8%	19.6%	39.8%	6.5%	-0.6%	17.0M	-263.1M	-6.1M	0.57	13.20	34,494	19,612	618,143	332,770
2015-09-10	$41.11	$40.00	39.1%	11.3%	38.9%	16.4%	38.8%	5.4%	0.7%	17.1M	-271.3M	-6.1M	0.38	13.90	43,461	16,584	625,244	339,552
2015-09-11	$42.09	$40.00	37.1%	10.7%	39.9%	11.7%	38.1%	6.0%	0.6%	36.1M	-451.5M	-6.2M	0.40	10.73	39,682	15,724	628,054	344,240
2015-09-14	$42.27	$40.00	38.2%	11.0%	39.9%	14.3%	37.3%	6.9%	3.1%	27.5M	-450.6M	-6.2M	0.82	6.65	19,890	16,282	611,750	325,593
2015-09-15	$42.64	$41.00	35.5%	10.2%	38.9%	8.2%	34.9%	6.5%	5.2%	32.3M	-509.4M	-6.1M	0.42	8.10	20,403	8,566	614,559	330,976
2015-09-16	$43.09	$41.00	34.4%	9.8%	39.1%	5.4%	34.1%	6.2%	2.6%	35.0M	-578.6M	-6.2M	0.64	5.40	32,469	20,783	617,130	333,535
2015-09-17	$43.98	$41.00	34.3%	9.7%	39.8%	5.2%	33.3%	6.0%	2.9%	37.7M	-755.3M	-6.1M	0.38	19.91	61,907	23,710	621,334	338,328
2015-09-18	$43.49	$42.00	35.1%	9.8%	37.9%	7.0%	33.7%	5.5%	2.7%	20.9M	-502.2M	-6.2M	0.56	11.67	32,964	18,625	637,064	342,937
2015-09-21	$43.19	$42.00	34.9%	9.6%	32.4%	6.6%	32.9%	5.9%	1.7%	20.0M	-447.5M	-6.0M	0.69	7.50	27,265	18,897	562,000	298,203
2015-09-22	$41.21	$42.00	40.2%	11.1%	32.1%	18.9%	37.8%	6.8%	0.9%	12.1M	-184.1M	-5.7M	0.56	7.99	53,254	29,955	567,902	304,463
2015-09-23	$41.28	$42.00	39.3%	10.8%	31.9%	16.8%	37.9%	7.3%	1.0%	10.9M	-170.1M	-5.8M	0.91	9.35	17,666	15,987	580,222	321,907
2015-09-24	$40.33	$42.00	41.7%	11.4%	32.0%	22.4%	40.3%	6.6%	0.3%	8.3M	-53.4M	-5.7M	0.71	10.35	24,831	17,607	581,700	324,025
2015-09-25	$40.30	$41.50	41.9%	11.2%	32.0%	22.7%	39.4%	6.7%	-1.0%	7.7M	-56.5M	-5.7M	1.34	8.23	16,212	21,770	588,689	326,971
2015-09-28	$39.19	$41.50	46.6%	12.8%	33.5%	33.5%	43.5%	7.8%	-1.0%	6.4M	38.4M	-5.4M	0.25	14.05	59,142	14,720	570,826	318,860
2015-09-29	$39.21	$41.50	46.8%	12.7%	33.3%	34.0%	43.9%	5.9%	-1.3%	6.4M	34.7M	-5.4M	0.90	11.93	24,504	22,074	558,214	320,400
2015-09-30	$38.81	$41.00	45.5%	12.1%	33.5%	31.2%	41.8%	8.3%	-1.3%	5.2M	88.2M	-5.3M	0.35	45.20	54,979	19,026	559,536	330,878