AAL Options History — April 2016

In April 2016, AAL traded between $34.69 and $41.32. ATM implied volatility averaged 33.1%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 4.6% (HV 20d: 28.6%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2016-04-21: Highest Volume — 98,691 contracts
  • 2016-04-21: Largest IV spike — 11.9% change
  • 2016-04-07: Highest IV Rank — 25.5%
  • 2016-04-07: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.88$34.69$41.32$39.51$34.69
Max Pain$40.10$40.00$42.00$42.00$40.00
ATM IV33.1%30.3%36.4%34.1%36.1%
Expected Move9.4%8.4%10.5%8.4%10.5%
HV 20d28.6%25.6%31.0%30.3%30.5%
HV 60d33.9%30.5%36.0%36.0%31.2%
IV Rank13.7%3.6%25.5%17.2%24.1%
IV Percentile19.0%3.2%45.2%22.6%45.2%
Term Structure-0.1%-1.5%3.8%1.1%-1.1%
VWIV32.7%29.4%37.0%29.4%37.0%
Skew 25d4.5%3.3%5.7%5.1%3.8%
Skew 10d9.2%0.7%19.7%8.3%7.7%
Call IV 25d31.4%28.7%35.2%32.1%35.2%
Put IV 25d35.9%32.7%39.8%37.2%39.0%
Bid-Ask Spread %8.343.4027.5627.569.00
Gamma HHI0.100.080.110.100.08
Net GEX13.5M982.2K28.0M11.7M982.2K
Net DEX-159.0M-485.5M268.8M-182.7M268.8M
Net VEX-5.2M-5.7M-4.4M-5.3M-4.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.311.020.500.61
Total Volume43,533.23818,81898,69159,86868,447
Total OI732,066.286676,588811,618676,588811,618

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$39.51$42.0034.1%8.4%30.3%17.2%29.4%5.1%1.1%11.7M-182.7M-5.3M0.5027.5639,81920,049452,440224,148
2016-04-04$39.31$40.0033.8%9.8%30.1%15.9%32.8%5.4%3.8%12.9M-185.7M-5.3M0.857.0914,51212,312454,201224,055
2016-04-05$38.89$40.0034.4%9.8%29.7%18.3%34.0%5.0%-0.7%11.5M-142.1M-5.3M0.373.4040,18115,063457,922226,736
2016-04-06$38.87$40.0035.1%9.7%27.7%20.9%33.0%4.5%-0.1%12.0M-149.9M-5.3M0.315.8834,62010,689468,798231,884
2016-04-07$38.30$40.0036.4%10.5%26.8%25.5%36.5%4.9%0.1%10.7M-99.6M-5.2M0.595.9123,78914,002473,359234,369
2016-04-08$38.50$40.0034.2%9.9%27.0%17.6%33.5%5.7%-0.5%8.4M-112.6M-5.3M1.026.5412,27112,552476,847237,691
2016-04-11$38.77$40.0035.0%9.9%25.6%20.3%34.7%4.4%0.1%12.7M-146.8M-5.3M0.665.0414,9539,916471,312235,005
2016-04-12$39.19$40.0035.0%9.8%26.1%20.4%33.6%5.7%-0.7%15.0M-188.3M-5.4M0.725.3113,95310,052475,982237,622
2016-04-13$39.91$40.0032.8%9.3%27.0%12.3%32.6%5.0%-0.5%18.7M-279.2M-5.5M0.626.5527,29717,051481,702240,045
2016-04-14$41.18$40.0032.3%9.0%29.5%10.6%31.9%4.6%-1.2%28.0M-485.5M-5.7M0.557.2630,13516,581495,097246,862
2016-04-15$40.92$40.0032.1%8.9%29.5%10.0%30.6%4.9%-1.5%22.9M-437.4M-5.6M1.025.6819,42019,715495,442248,926
2016-04-18$40.88$40.0030.4%8.6%26.6%3.9%30.7%4.0%0.4%23.1M-398.8M-5.5M0.886.5610,0028,816468,580233,659
2016-04-19$41.32$40.0030.7%8.8%27.0%4.8%30.1%4.0%-0.0%25.1M-464.2M-5.6M0.397.0021,4038,273471,085236,140
2016-04-20$41.29$40.0030.3%8.7%26.5%3.6%30.3%4.1%-0.1%27.3M-471.4M-5.6M0.715.1516,19911,533483,416238,218
2016-04-21$39.99$40.0033.9%9.8%27.9%16.5%34.7%4.0%-1.1%19.8M-290.5M-5.5M0.619.5361,13037,561489,739243,263
2016-04-22$38.24$40.0031.3%8.9%29.7%7.2%31.9%3.9%0.5%8.6M-18.3M-5.0M0.6711.7044,45029,961513,281264,560
2016-04-25$37.02$40.0032.0%9.3%31.0%9.6%32.3%4.3%-0.5%4.4M77.1M-4.7M0.615.4426,87816,429499,283261,715
2016-04-26$36.95$40.0031.8%9.1%30.4%8.9%32.4%3.9%-0.3%3.9M82.5M-4.8M0.5611.5034,88619,449504,642267,873
2016-04-27$36.73$40.0031.6%8.9%30.3%8.1%31.9%3.7%-0.6%3.5M102.3M-4.8M0.7211.8017,93212,863520,089276,575
2016-04-28$35.92$40.0032.7%9.3%30.9%12.2%32.7%3.3%-0.1%1.8M182.7M-4.6M0.6011.2424,41214,642518,089281,122
2016-04-29$34.69$40.0036.1%10.5%30.5%24.1%37.0%3.8%-1.1%982.2K268.8M-4.4M0.619.0042,45325,994527,240284,378