AAL Options History — February 2016

In February 2016, AAL traded between $35.55 and $41.33. ATM implied volatility averaged 40.2%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 4.7% (HV 20d: 44.9%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.57.

Notable Days

  • 2016-02-19: Highest Volume — 76,768 contracts
  • 2016-02-02: Largest IV spike — 12.9% change
  • 2016-02-08: Highest IV Rank — 72.5%
  • 2016-02-08: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.72$35.55$41.33$39.35$41.12
Max Pain$38.30$38.00$40.00$40.00$38.00
ATM IV40.2%33.9%49.9%37.7%33.9%
Expected Move11.6%10.0%14.1%11.2%10.0%
HV 20d44.9%40.6%47.6%40.6%41.4%
HV 60d37.6%33.6%39.1%33.6%37.6%
IV Rank35.9%12.3%72.5%26.5%12.3%
IV Percentile56.2%13.9%98.8%44.0%13.9%
Term Structure-0.4%-1.2%0.4%0.3%0.4%
VWIV40.2%34.4%49.0%39.6%34.4%
Skew 25d6.5%5.4%8.0%5.5%5.8%
Skew 10d14.3%9.8%19.7%10.6%19.7%
Call IV 25d37.6%31.2%47.3%35.6%31.2%
Put IV 25d44.1%37.0%53.6%41.2%37.0%
Bid-Ask Spread %20.808.4245.4911.2941.74
Gamma HHI0.100.080.160.090.09
Net GEX15.2M5.4M33.0M14.1M21.4M
Net DEX-239.7M-536.3M34.7M-248.8M-509.5M
Net VEX-5.5M-6.0M-4.9M-5.5M-6.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.290.950.790.51
Total Volume46,734.723,82776,76846,38130,892
Total OI704,420.4602,073785,615687,774620,740

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$39.35$40.0037.7%11.2%40.6%26.5%39.6%5.5%0.3%14.1M-248.8M-5.5M0.7911.2925,95520,426459,778227,996
2016-02-02$37.03$40.0042.6%12.8%44.1%44.9%44.0%6.7%-0.1%7.1M-38.0M-5.1M0.478.4233,34615,568467,840232,367
2016-02-03$37.48$40.0041.7%12.2%44.5%41.5%43.9%5.8%0.2%9.2M-70.2M-5.3M0.5817.0429,79617,297484,381235,627
2016-02-04$38.20$38.0040.5%11.7%44.7%37.1%40.1%5.7%0.2%12.4M-156.6M-5.4M0.419.5630,01112,402497,834241,577
2016-02-05$36.59$38.0045.7%12.8%46.7%56.5%44.5%7.1%-0.6%8.4M-17.5M-5.2M0.3612.8738,40813,713500,442242,620
2016-02-08$35.55$38.0049.9%14.1%47.4%72.5%49.0%6.3%-0.9%5.4M34.7M-4.9M0.4232.8130,98213,139486,887234,811
2016-02-09$36.21$38.0047.7%13.6%47.4%64.1%47.7%7.4%-1.1%6.7M-12.4M-5.1M0.9513.8420,71919,750495,114239,946
2016-02-10$37.12$38.0045.8%12.9%47.6%56.9%44.8%6.8%-0.8%8.8M-71.5M-5.2M0.4628.8932,76214,909493,171244,068
2016-02-11$36.60$38.0047.3%13.3%45.1%62.7%44.6%8.0%-1.2%6.9M-22.9M-5.2M0.4133.0230,04712,396498,668246,256
2016-02-12$37.82$38.0042.9%12.2%46.8%45.9%41.9%7.5%-0.3%13.3M-126.5M-5.4M0.2915.4452,67315,297506,446246,679
2016-02-16$38.57$38.0040.5%11.6%45.1%37.0%41.7%7.2%0.4%11.2M-195.2M-5.5M0.6615.7426,89717,810491,541245,153
2016-02-17$39.35$38.0038.7%11.1%45.6%30.1%36.5%7.4%-0.9%16.7M-302.7M-5.6M0.3810.6142,12416,158502,153244,963
2016-02-18$39.49$38.0037.7%10.8%45.6%26.3%35.5%7.6%-0.8%19.3M-317.5M-5.6M0.8128.3021,75917,620522,636250,921
2016-02-19$39.78$38.0036.9%10.6%44.9%23.5%36.0%6.1%-0.3%14.3M-346.5M-5.6M0.6124.9547,65329,115530,815254,800
2016-02-22$40.83$38.0034.6%10.0%45.9%14.9%35.3%5.9%-0.3%20.7M-458.7M-5.8M0.528.6235,20818,267402,006200,067
2016-02-23$40.41$38.0035.6%10.5%44.5%18.7%36.5%6.2%-0.6%23.3M-449.4M-5.8M0.9111.5517,78716,200425,171200,603
2016-02-24$40.66$38.0035.3%10.3%44.2%17.4%36.3%5.7%-0.9%25.0M-463.9M-5.8M0.9517.2512,21011,617428,931206,576
2016-02-25$41.33$38.0034.9%10.2%44.5%15.8%35.5%5.4%-0.8%33.0M-536.3M-6.0M0.3828.5832,65112,370432,569209,118
2016-02-26$40.91$38.0034.4%10.1%42.0%13.9%35.8%6.1%-0.7%26.3M-485.6M-5.9M0.5045.4932,58716,173425,834211,303
2016-02-29$41.12$38.0033.9%10.0%41.4%12.3%34.4%5.8%0.4%21.4M-509.5M-6.0M0.5141.7420,41010,482423,435197,305