AAL Options History — January 2016

In January 2016, AAL traded between $37.56 and $42.03. ATM implied volatility averaged 42.5%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 8.8% (HV 20d: 33.7%). Max pain ranged from $40.50 to $42.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.66.

Notable Days

  • 2016-01-28: Highest Volume — 94,438 contracts
  • 2016-01-29: Largest IV drop — 14.5% change
  • 2016-01-20: Highest IV Rank — 64.1%
  • 2016-01-28: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.90$37.56$42.03$40.90$37.56
Max Pain$41.53$40.50$42.00$42.00$40.50
ATM IV42.5%38.6%47.7%40.2%39.9%
Expected Move12.1%10.7%14.0%11.2%11.5%
HV 20d33.7%29.6%36.5%36.5%36.1%
HV 60d30.4%28.3%32.0%31.7%32.0%
IV Rank44.5%29.9%64.1%35.9%34.8%
IV Percentile73.5%49.2%95.2%58.3%57.9%
Term Structure-1.0%-2.0%0.6%0.1%0.6%
VWIV42.1%37.2%49.1%38.8%39.9%
Skew 25d6.1%3.8%10.0%6.1%5.2%
Skew 10d11.9%7.9%14.7%9.7%10.8%
Call IV 25d40.3%36.8%45.2%37.9%38.1%
Put IV 25d46.4%42.1%53.3%44.0%43.3%
Bid-Ask Spread %16.427.9334.4528.5713.99
Gamma HHI0.120.070.220.140.08
Net GEX11.8M1.4M20.8M15.8M3.1M
Net DEX-80.4M-372.7M287.8M-106.5M44.0M
Net VEX-4.5M-4.8M-4.1M-4.1M-4.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.221.301.300.56
Total Volume59,279.63237,14994,43866,77842,275
Total OI768,631.316540,649984,705875,310637,498

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-01-04$40.90$42.0040.2%11.2%36.5%35.9%38.8%6.1%0.1%15.8M-106.5M-4.1M1.3028.5728,98637,792559,376315,934
2016-01-05$40.64$42.0041.0%10.8%33.0%38.7%38.2%6.5%-1.9%15.5M-67.4M-4.1M1.1629.5721,93225,472566,699324,438
2016-01-06$41.26$42.0040.2%10.8%32.8%35.8%39.9%5.9%-1.1%19.1M-176.0M-4.2M0.9934.4519,10318,945571,722330,973
2016-01-07$40.58$42.0042.0%11.7%32.5%42.6%40.0%5.6%-0.9%15.8M-53.2M-4.1M0.4228.5738,92316,342574,912335,671
2016-01-08$40.33$42.0042.8%11.8%31.5%45.8%41.2%8.2%-1.2%15.8M-40.6M-4.1M0.7914.2038,42630,414600,875338,920
2016-01-11$41.13$42.0041.1%11.6%32.3%39.1%40.4%4.9%-0.3%20.8M-184.0M-4.2M0.228.6174,91316,598596,015339,468
2016-01-12$42.03$42.0038.6%10.7%29.6%29.9%37.2%4.7%-1.5%20.6M-372.7M-4.5M0.309.8054,11716,211608,470343,185
2016-01-13$40.06$42.0044.2%12.2%34.0%50.7%42.9%6.0%-1.6%15.1M-16.3M-4.5M0.5311.7254,39329,061615,089345,167
2016-01-14$40.45$42.0042.4%11.9%33.2%44.3%41.2%3.8%-1.0%19.0M-127.9M-4.7M0.6919.7233,65423,340630,615349,128
2016-01-15$38.76$42.0046.1%13.0%35.3%58.1%44.6%10.0%-0.8%4.3M287.8M-4.4M0.9024.3744,73440,356635,735348,970
2016-01-19$39.01$42.0045.3%12.9%35.3%54.9%44.9%5.9%-2.0%1.4M-15.8M-4.6M0.6312.1026,52216,627329,598211,051
2016-01-20$39.07$41.0047.7%13.7%33.8%64.1%48.4%6.7%-1.5%3.8M-45.2M-4.6M0.5112.3648,10924,363344,193217,157
2016-01-21$39.97$41.0043.6%12.6%33.2%48.8%44.9%5.7%-0.7%7.7M-154.2M-4.8M0.9211.0926,19424,221365,047225,166
2016-01-22$40.13$41.0039.0%11.3%32.9%31.2%38.5%6.3%-1.0%13.0M-175.1M-4.8M0.7312.2926,56519,282368,711232,221
2016-01-25$38.89$41.0042.7%12.5%33.9%45.4%42.6%6.6%-0.8%6.3M-64.4M-4.6M0.5710.9324,38813,914353,608216,631
2016-01-26$39.55$41.0042.7%12.6%34.3%45.3%44.1%6.0%-1.3%8.8M-111.3M-4.7M0.4711.5525,21911,930362,233219,042
2016-01-27$39.67$41.0041.5%12.3%34.3%40.6%43.2%6.3%-0.5%10.0M-123.5M-4.7M0.417.9327,31211,242366,727221,453
2016-01-28$38.14$40.5046.7%14.0%36.1%60.2%49.1%6.0%-1.5%7.5M-25.2M-4.5M0.4110.1567,20927,229379,090223,207
2016-01-29$37.56$40.5039.9%11.5%36.1%34.8%39.9%5.2%0.6%3.1M44.0M-4.4M0.5613.9927,14715,128403,137234,361