AAL Options History — November 2015

In November 2015, AAL traded between $41.23 and $46.52. ATM implied volatility averaged 33.5%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 11.6% (HV 20d: 21.9%). Max pain ranged from $44.00 to $48.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.88.

Notable Days

  • 2015-11-24: Highest Volume — 67,029 contracts
  • 2015-11-17: Largest IV spike — 9.9% change
  • 2015-11-17: Highest IV Rank — 30.0%
  • 2015-11-17: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.51$41.23$46.52$46.45$41.26
Max Pain$46.00$44.00$48.00$44.00$45.00
ATM IV33.5%30.7%39.0%31.2%32.0%
Expected Move9.7%8.8%11.2%9.1%9.4%
HV 20d21.9%14.9%37.1%37.1%16.4%
HV 60d33.7%29.9%36.0%35.9%29.9%
IV Rank9.1%0.0%30.0%0.0%5.0%
IV Percentile8.8%0.0%45.6%0.0%2.0%
Term Structure0.1%-1.1%1.7%0.6%0.4%
VWIV34.0%30.5%39.6%31.8%32.5%
Skew 25d4.5%3.2%5.5%3.9%4.4%
Skew 10d8.7%5.4%12.4%8.7%8.8%
Call IV 25d31.8%28.8%37.0%30.0%30.7%
Put IV 25d36.4%33.5%42.5%33.9%35.1%
Bid-Ask Spread %8.945.7436.695.7410.66
Gamma HHI0.080.070.090.090.07
Net GEX18.7M8.2M33.1M32.3M9.5M
Net DEX-430.5M-951.1M-97.9M-951.1M-119.0M
Net VEX-5.3M-6.0M-4.7M-6.0M-4.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.451.470.490.49
Total Volume38,774.519,94767,02941,45522,802
Total OI946,788.35839,5031,008,285961,233876,383

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$46.45$44.0031.2%9.1%37.1%0.0%31.8%3.9%0.6%32.3M-951.1M-6.0M0.495.7427,80313,652607,382353,851
2015-11-03$46.52$44.0031.5%9.1%30.2%1.1%32.1%3.6%0.2%33.1M-950.6M-6.0M1.476.3316,36924,136606,220358,774
2015-11-04$45.62$44.0033.2%9.8%31.2%7.4%35.2%4.3%0.2%28.2M-789.7M-6.0M0.817.9125,14420,403611,454357,593
2015-11-05$45.61$48.0032.6%9.5%31.3%5.5%33.1%3.2%0.3%27.9M-787.0M-5.9M0.666.7321,72814,428617,486359,698
2015-11-06$45.34$48.0032.2%9.3%23.0%3.6%31.8%4.2%1.7%27.2M-727.8M-5.8M0.6010.7519,73611,934617,251361,693
2015-11-09$44.65$48.0033.0%9.5%21.4%6.8%33.5%3.9%-0.1%23.1M-603.1M-5.7M0.506.9913,2696,678602,013352,683
2015-11-10$44.51$47.0033.9%9.6%21.3%10.1%34.3%4.4%-0.2%22.0M-575.9M-5.7M1.117.5816,07217,819605,040354,572
2015-11-11$44.72$47.0033.4%9.6%21.2%8.3%34.4%3.6%-0.1%23.8M-624.7M-5.6M1.2536.6913,60417,002607,995355,721
2015-11-12$43.94$47.0033.3%9.6%21.5%7.9%33.8%3.9%0.3%18.9M-469.0M-5.5M0.936.1113,54212,623610,591357,998
2015-11-13$43.54$47.0034.3%9.8%21.0%11.7%34.5%4.9%-0.2%16.0M-388.3M-5.4M0.638.0431,87619,939611,394359,289
2015-11-16$42.83$47.0035.5%10.2%20.9%16.5%38.1%4.7%-0.3%16.0M-288.6M-5.2M1.186.9718,01021,205612,382352,572
2015-11-17$42.39$47.0039.0%11.2%21.0%30.0%39.6%5.5%-1.0%13.2M-223.7M-5.2M0.776.9132,61725,203614,232357,188
2015-11-18$41.79$46.0035.9%10.3%21.4%18.1%36.5%4.9%-0.2%8.2M-108.1M-5.1M0.777.8529,24222,394621,002365,055
2015-11-19$42.30$46.0036.4%10.5%16.7%20.0%34.8%5.5%-0.8%12.9M-195.0M-5.1M0.837.4225,21120,806624,402368,509
2015-11-20$42.18$45.0033.6%9.6%16.7%8.9%33.5%5.3%0.1%14.0M-168.2M-5.0M1.126.4722,55225,212634,124374,161
2015-11-23$42.30$45.0030.7%8.8%14.9%0.0%30.5%5.3%1.4%14.5M-242.9M-4.8M0.456.1514,9806,763535,575303,928
2015-11-24$41.23$45.0033.7%9.8%16.6%11.2%34.5%5.4%-1.1%11.1M-97.9M-4.7M1.028.4733,19333,836543,607306,875
2015-11-25$41.32$45.0031.6%9.2%16.5%3.3%32.2%4.7%1.1%10.9M-121.4M-4.8M1.186.6716,87319,961559,629321,682
2015-11-27$41.69$45.0032.3%9.4%17.1%6.0%33.7%4.9%0.1%12.2M-178.5M-4.8M1.298.4011,72915,144563,733332,030
2015-11-30$41.26$45.0032.0%9.4%16.4%5.0%32.5%4.4%0.4%9.5M-119.0M-4.7M0.4910.6615,3527,450551,234325,149