AAL Options History — October 2015

In October 2015, AAL traded between $38.19 and $46.50. ATM implied volatility averaged 37.7%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 1.3% (HV 20d: 39.0%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.63.

Notable Days

  • 2015-10-02: Highest Volume — 135,862 contracts
  • 2015-10-05: Largest IV drop — 8.2% change
  • 2015-10-02: Highest IV Rank — 29.8%
  • 2015-10-06: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.25$38.19$46.50$38.53$46.30
Max Pain$42.23$40.00$43.00$40.00$43.00
ATM IV37.7%31.7%44.9%43.8%31.7%
Expected Move10.6%9.3%12.3%12.1%9.3%
HV 20d39.0%25.5%44.4%25.6%39.1%
HV 60d37.1%34.9%39.5%35.0%36.1%
IV Rank14.7%0.0%29.8%27.1%0.0%
IV Percentile31.1%0.0%79.8%76.2%0.0%
Term Structure-0.3%-2.2%1.0%0.2%1.0%
VWIV37.3%32.2%44.1%41.2%32.2%
Skew 25d4.9%3.6%6.9%6.5%4.1%
Skew 10d11.2%7.3%17.5%13.1%9.1%
Call IV 25d35.6%30.2%42.2%41.5%30.2%
Put IV 25d40.5%34.3%49.0%48.0%34.3%
Bid-Ask Spread %10.754.8445.8744.176.92
Gamma HHI0.080.060.100.060.09
Net GEX23.8M4.2M34.1M7.6M30.1M
Net DEX-582.9M-1.00B122.5M96.4M-953.8M
Net VEX-6.0M-6.3M-5.2M-5.3M-6.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.271.190.720.68
Total Volume56,230.81827,472135,86227,47249,561
Total OI949,987.455894,539985,699915,536982,274

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$38.53$40.0043.8%12.1%25.6%27.1%41.2%6.5%0.2%7.6M96.4M-5.3M0.7244.1715,98511,487581,899333,637
2015-10-02$38.53$40.0044.9%12.1%25.5%29.8%44.1%6.9%-0.4%7.2M122.5M-5.2M0.3045.87104,64331,219576,100338,067
2015-10-05$40.19$42.0041.3%11.4%30.1%21.3%39.4%6.3%-0.4%11.1M-141.6M-5.8M0.276.6027,1137,295592,021345,319
2015-10-06$38.19$42.0044.2%12.3%35.0%28.0%42.2%6.5%-0.4%4.2M120.4M-5.3M0.526.9626,36213,732596,860348,066
2015-10-07$39.23$42.0042.9%12.0%36.6%25.1%41.3%6.1%0.4%8.3M-11.0M-5.6M0.786.7623,42418,360603,365352,134
2015-10-08$39.74$42.0041.3%11.3%36.9%21.4%39.7%5.3%0.9%12.1M-93.2M-5.6M0.756.7122,20416,617609,407354,875
2015-10-09$42.38$42.0039.5%11.0%42.9%17.2%38.2%4.8%-0.7%21.3M-550.2M-6.1M0.419.0753,81921,888613,422357,490
2015-10-12$43.72$42.0038.7%10.6%44.3%15.5%37.7%5.1%-2.2%26.3M-716.3M-6.1M0.406.0141,25216,556600,324355,434
2015-10-13$43.40$42.0038.3%10.8%44.3%14.4%37.6%5.4%-0.7%27.2M-679.5M-6.0M0.537.7037,54219,849611,927358,499
2015-10-14$43.75$42.0038.8%10.5%44.3%15.8%35.4%5.0%-2.0%30.1M-735.4M-6.1M0.657.8132,07120,819614,186362,050
2015-10-15$44.38$42.0036.6%10.3%43.9%10.7%36.3%5.3%-0.7%34.1M-836.3M-6.1M0.624.8427,24917,007617,928365,059
2015-10-16$43.69$42.0037.7%10.5%44.1%14.4%37.0%4.1%-1.3%29.4M-700.7M-6.0M0.407.1043,86717,576618,299367,400
2015-10-19$44.41$42.0036.1%10.2%44.4%12.5%37.4%4.2%-0.4%26.0M-714.4M-6.1M0.826.7126,56121,690581,335313,204
2015-10-20$44.51$43.0036.0%10.3%40.6%16.0%36.9%4.8%-1.0%27.6M-740.0M-6.1M0.856.4526,44122,468587,861317,488
2015-10-21$44.28$43.0036.8%10.5%40.7%18.8%36.2%4.9%-0.2%26.6M-693.8M-6.1M0.656.6322,11514,412596,869324,940
2015-10-22$45.92$43.0036.0%10.4%41.0%16.0%36.5%4.3%-0.9%33.6M-962.0M-6.3M0.5010.2360,25929,910603,013329,846
2015-10-23$45.68$43.0033.7%9.7%41.1%6.7%34.1%3.8%-0.6%30.6M-920.9M-6.2M0.5911.0664,05437,760614,915341,014
2015-10-26$46.50$43.0033.4%9.7%39.2%5.5%35.0%3.6%0.4%31.3M-1.00B-6.2M0.617.1039,13924,010595,657340,373
2015-10-27$46.43$43.0032.7%9.7%39.3%2.7%34.6%3.6%0.8%33.6M-978.0M-6.2M0.847.1925,19321,243606,563348,669
2015-10-28$45.80$43.0032.9%9.7%39.5%3.4%33.5%3.7%0.8%32.2M-861.5M-6.3M0.858.2328,55324,357613,169349,954
2015-10-29$45.85$43.0032.1%9.5%39.2%0.3%33.4%3.8%0.9%33.1M-872.9M-6.2M1.196.4814,36617,050621,556357,256
2015-10-30$46.30$43.0031.7%9.3%39.1%0.0%32.2%4.1%1.0%30.1M-953.8M-6.2M0.686.9229,55320,008623,706358,568