AAL Options History — December 2015

In December 2015, AAL traded between $41.22 and $45.78. ATM implied volatility averaged 35.2%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 1.5% (HV 20d: 33.7%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.75.

Notable Days

  • 2015-12-17: Highest Volume — 101,007 contracts
  • 2015-12-11: Largest IV spike — 12.9% change
  • 2015-12-14: Highest IV Rank — 40.9%
  • 2015-12-14: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.25$41.22$45.78$43.26$42.38
Max Pain$40.45$40.00$45.00$45.00$40.00
ATM IV35.2%30.9%41.5%33.4%35.9%
Expected Move9.9%8.4%11.9%9.2%9.1%
HV 20d33.7%24.9%39.0%24.9%34.6%
HV 60d33.1%31.2%34.4%31.4%31.2%
IV Rank16.9%0.7%40.9%10.3%19.5%
IV Percentile22.0%0.4%63.5%8.7%25.8%
Term Structure0.7%-0.5%3.4%0.0%-0.2%
VWIV35.2%30.5%43.1%32.0%32.4%
Skew 25d4.9%3.8%6.5%3.8%5.5%
Skew 10d10.1%5.1%13.2%11.0%9.5%
Call IV 25d33.5%29.4%39.8%29.6%33.9%
Put IV 25d38.5%33.3%45.3%33.3%39.4%
Bid-Ask Spread %9.145.6523.089.2923.08
Gamma HHI0.110.080.470.080.10
Net GEX28.7M12.8M92.3M20.4M21.1M
Net DEX-478.6M-930.7M-124.5M-447.5M-324.0M
Net VEX-4.7M-5.1M-4.3M-4.9M-4.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.361.790.430.50
Total Volume58,251.63630,874101,00753,55469,262
Total OI938,647879,6061,030,199888,634899,401

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$43.26$45.0033.4%9.2%24.9%10.3%32.0%3.8%0.0%20.4M-447.5M-4.9M0.439.2937,41716,137559,921328,713
2015-12-02$43.84$45.0031.9%9.8%25.5%4.5%34.7%4.3%0.6%26.1M-573.2M-5.0M0.4813.5847,21422,689575,914330,758
2015-12-03$43.28$40.0033.8%10.0%25.1%11.8%35.6%4.3%0.1%25.5M-481.9M-5.0M0.535.6535,78119,028599,006335,695
2015-12-04$44.98$40.0030.9%9.1%29.0%0.7%33.7%3.8%-0.0%92.3M-816.6M-5.0M0.616.0541,82325,692604,565341,778
2015-12-07$45.78$40.0033.4%9.7%29.6%10.4%35.0%4.3%0.4%34.2M-930.7M-5.0M0.366.1944,39415,953584,092319,566
2015-12-08$44.81$40.0036.3%10.5%30.1%21.3%37.0%4.9%0.2%32.3M-754.3M-5.1M0.576.1231,45117,841605,265325,754
2015-12-09$43.63$40.0037.2%10.6%31.6%24.5%37.1%5.5%-0.3%26.5M-525.1M-5.0M0.399.4436,99714,392610,243330,775
2015-12-10$44.03$40.0035.4%10.3%31.8%17.9%35.3%4.2%0.5%31.9M-613.7M-4.9M0.546.6032,37717,363621,053330,928
2015-12-11$42.11$40.0040.0%11.6%34.9%35.1%40.2%6.5%0.5%13.2M-237.8M-4.8M0.497.3641,02320,133635,915339,680
2015-12-14$41.73$40.0041.5%11.9%34.9%40.9%43.1%5.5%1.6%17.7M-208.6M-4.7M0.4510.1156,93025,708635,920331,069
2015-12-15$42.64$40.0038.9%11.2%35.5%30.8%41.4%5.9%0.6%26.2M-361.6M-4.7M1.796.1220,03035,850668,126333,392
2015-12-16$43.29$40.0036.0%10.3%35.7%20.0%34.4%5.6%0.6%31.3M-479.2M-4.8M1.498.8028,07341,690671,793335,686
2015-12-17$42.59$40.0036.5%10.5%35.8%22.1%37.7%5.3%-0.5%23.7M-332.6M-4.8M0.9312.2452,40748,600679,555345,936
2015-12-18$41.22$40.0037.7%10.8%37.4%26.4%38.3%5.2%0.5%12.8M-124.5M-4.7M0.9112.0537,41133,956686,376343,823
2015-12-21$42.39$40.0035.3%10.0%38.8%17.4%35.2%5.1%2.4%22.7M-350.2M-4.7M1.148.6624,66227,993601,235308,332
2015-12-22$42.87$40.0033.7%9.2%39.0%11.5%32.8%4.3%1.7%27.8M-438.1M-4.6M0.896.7718,64416,671608,054310,708
2015-12-23$43.29$40.0031.1%8.6%37.9%1.6%31.0%4.0%3.3%32.6M-512.8M-4.6M1.157.3814,33016,544611,447314,746
2015-12-24$43.81$40.0030.9%8.4%38.0%0.8%30.5%4.3%3.4%34.1M-616.2M-4.5M0.808.5821,07416,951612,433315,757
2015-12-28$43.23$40.0034.4%9.2%38.4%14.0%33.0%5.2%0.1%26.5M-481.4M-4.4M1.1410.1616,72819,125568,801310,805
2015-12-29$43.53$40.0034.0%8.6%38.1%12.6%32.6%5.5%0.3%29.3M-513.2M-4.4M0.567.9634,89919,441572,966313,111
2015-12-30$42.76$40.0035.3%9.2%34.9%17.4%32.2%5.6%-0.4%24.0M-406.1M-4.3M0.428.8547,08419,768576,630314,511
2015-12-31$42.38$40.0035.9%9.1%34.6%19.5%32.4%5.5%-0.2%21.1M-324.0M-4.3M0.5023.0846,24823,014582,461316,940