AAL Options History — March 2016

In March 2016, AAL traded between $40.48 and $43.48. ATM implied volatility averaged 31.7%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 4.5% (HV 20d: 27.2%). Max pain ranged from $38.00 to $42.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.04.

Notable Days

  • 2016-03-18: Highest Volume — 62,720 contracts
  • 2016-03-22: Largest IV spike — 8.1% change
  • 2016-03-24: Highest IV Rank — 25.7%
  • 2016-03-01: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.87$40.48$43.48$41.88$41.04
Max Pain$41.23$38.00$42.00$38.00$42.00
ATM IV31.7%29.3%36.5%31.9%32.6%
Expected Move8.7%7.7%9.4%9.4%8.1%
HV 20d27.2%23.0%38.8%38.8%27.9%
HV 60d36.1%35.0%37.7%37.7%35.1%
IV Rank7.0%0.0%25.7%4.8%11.9%
IV Percentile8.3%0.0%41.3%3.6%12.3%
Term Structure1.2%-0.9%5.1%1.3%-0.4%
VWIV30.6%26.9%33.9%33.8%28.6%
Skew 25d5.6%4.6%7.1%5.2%5.5%
Skew 10d12.5%5.3%20.0%18.1%12.1%
Call IV 25d29.1%25.5%34.0%29.7%30.2%
Put IV 25d34.7%30.4%39.9%35.0%35.7%
Bid-Ask Spread %15.764.1340.8140.8123.14
Gamma HHI0.100.090.160.090.11
Net GEX24.4M13.5M33.2M25.5M19.6M
Net DEX-526.3M-768.4M-301.3M-578.5M-369.8M
Net VEX-5.9M-6.0M-5.6M-6.0M-5.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.282.060.691.13
Total Volume32,885.09116,71362,72057,96521,584
Total OI644,081.182601,831669,670622,902669,670

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$41.88$38.0031.9%9.4%38.8%4.8%33.8%5.2%1.3%25.5M-578.5M-6.0M0.6940.8134,34323,622423,157199,745
2016-03-02$41.56$38.0030.9%9.2%31.0%0.8%32.5%5.8%1.3%25.7M-542.5M-6.0M0.9216.7519,94318,339431,164208,637
2016-03-03$42.13$41.0030.3%9.0%31.0%0.0%32.1%4.8%0.8%29.6M-614.0M-6.0M0.846.9518,83715,839433,584211,342
2016-03-04$41.61$41.0030.4%8.8%31.2%0.4%32.4%5.0%1.8%24.1M-551.9M-6.0M1.1010.8312,94814,244434,011215,502
2016-03-07$42.12$41.0030.8%9.0%25.8%1.8%30.8%5.5%0.3%26.2M-590.9M-6.0M1.3136.3212,00715,789426,762208,008
2016-03-08$40.76$41.0032.8%9.3%26.6%9.1%33.9%4.6%-0.6%21.6M-439.2M-5.8M1.689.5310,65217,845431,021212,360
2016-03-09$41.55$41.0031.5%9.1%26.6%4.6%31.3%5.4%-0.2%24.9M-512.4M-5.9M1.828.5011,79521,521431,390216,666
2016-03-10$41.52$41.0031.9%8.9%25.9%6.0%31.9%7.1%-0.8%25.4M-503.5M-6.0M2.0618.297,93816,345435,190221,493
2016-03-11$42.42$41.0029.8%8.5%25.4%0.0%28.8%5.9%0.5%33.2M-637.9M-6.0M0.586.3822,75513,204435,902223,557
2016-03-14$42.56$41.0029.3%8.4%23.5%0.0%30.7%5.1%5.1%29.8M-636.8M-6.0M1.306.107,2759,438430,775217,301
2016-03-15$42.05$41.0030.3%8.7%23.8%3.4%30.0%5.6%5.0%28.8M-564.3M-5.9M1.154.4110,53812,089431,633219,620
2016-03-16$42.29$42.0029.6%8.5%23.0%1.1%28.0%5.1%4.7%30.3M-592.9M-5.8M1.1619.5312,60614,617431,785221,229
2016-03-17$42.06$42.0029.4%8.2%23.3%0.3%28.7%5.6%4.2%29.9M-563.1M-5.8M1.4623.129,46113,810434,181223,606
2016-03-18$43.48$42.0029.5%8.1%25.6%0.8%28.3%4.8%3.8%32.3M-768.4M-5.8M0.2829.1648,90013,820437,464225,289
2016-03-21$43.44$42.0030.0%7.7%24.3%2.3%26.9%6.1%1.7%22.5M-626.6M-5.9M0.634.6616,35910,385402,443199,388
2016-03-22$42.71$42.0032.4%8.4%24.9%11.0%29.0%5.8%-0.3%20.9M-540.9M-5.8M1.494.1713,61920,348409,817206,118
2016-03-23$41.90$42.0033.9%8.8%26.1%16.5%30.9%6.4%-0.4%17.3M-443.5M-5.8M0.764.1320,59615,611413,974212,215
2016-03-24$40.48$42.0036.5%9.2%28.4%25.7%31.7%5.9%-0.4%13.5M-301.3M-5.6M0.649.2432,55820,798424,706215,317
2016-03-28$40.90$42.0035.6%9.1%28.4%22.6%32.3%6.0%-0.1%16.5M-370.7M-5.7M0.8315.6616,13313,408422,014213,721
2016-03-29$41.39$42.0034.5%8.6%28.7%18.4%31.3%5.8%0.0%18.4M-410.6M-5.8M0.3823.4723,4389,004428,144217,860
2016-03-30$41.38$42.0032.6%8.2%27.9%11.6%28.3%5.9%-0.9%21.3M-419.2M-5.7M0.6925.5617,23711,874443,405218,620
2016-03-31$41.04$42.0032.6%8.1%27.9%11.9%28.6%5.5%-0.4%19.6M-369.8M-5.7M1.1323.1410,14711,437448,548221,122