AAL Options History — May 2016

In May 2016, AAL traded between $31.36 and $34.57. ATM implied volatility averaged 35.2%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 3.1% (HV 20d: 32.1%). Max pain ranged from $33.00 to $40.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.58.

Notable Days

2016-05-06: Highest Volume — 82,529 contracts
2016-05-04: Largest IV spike — 12.4% change
2016-05-04: Highest IV Rank — 37.2%
2016-05-04: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.54	$31.36	$34.57	$34.51	$31.93
Max Pain	$34.88	$33.00	$40.00	$40.00	$33.00
ATM IV	35.2%	30.3%	39.7%	35.1%	30.9%
Expected Move	10.1%	8.4%	12.2%	10.3%	8.6%
HV 20d	32.1%	29.4%	34.8%	30.5%	29.8%
HV 60d	29.9%	29.1%	30.9%	30.9%	29.7%
IV Rank	21.0%	3.6%	37.2%	20.6%	5.6%
IV Percentile	37.8%	3.6%	70.6%	36.5%	6.7%
Term Structure	0.4%	-0.4%	1.8%	1.0%	-0.2%
VWIV	35.1%	28.9%	43.0%	37.8%	30.5%
Skew 25d	3.8%	2.8%	5.1%	4.3%	2.8%
Skew 10d	5.8%	-0.2%	12.5%	6.4%	10.6%
Call IV 25d	34.0%	29.5%	38.3%	33.8%	30.2%
Put IV 25d	37.8%	32.4%	42.5%	38.0%	33.0%
Bid-Ask Spread %	8.14	4.14	29.22	6.28	7.69
Gamma HHI	0.08	0.07	0.09	0.09	0.09
Net GEX	5.4M	-141.8K	12.0M	1.9M	6.8M
Net DEX	245.8M	115.4M	394.8M	225.4M	144.6M
Net VEX	-4.2M	-4.4M	-3.8M	-4.4M	-4.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.30	1.14	0.80	1.14
Total Volume	47,247.286	24,350	82,529	32,867	29,536
Total OI	836,015.762	717,009	942,500	776,733	729,814

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2016-05-02	$34.51	$40.00	35.1%	10.3%	30.5%	20.6%	37.8%	4.3%	1.0%	1.9M	225.4M	-4.4M	0.80	6.28	18,235	14,632	498,082	278,651
2016-05-03	$34.57	$40.00	35.3%	10.5%	30.6%	21.5%	36.8%	3.9%	0.4%	2.8M	211.0M	-4.4M	0.53	5.63	25,564	13,541	505,021	280,157
2016-05-04	$33.17	$40.00	39.7%	12.2%	33.0%	37.2%	43.0%	4.2%	0.1%	1.9M	295.3M	-4.2M	0.42	29.22	43,993	18,454	510,353	283,264
2016-05-05	$32.84	$35.00	38.6%	10.9%	32.9%	33.2%	37.6%	4.8%	0.3%	2.9M	318.2M	-4.1M	0.43	16.94	49,336	21,377	534,118	290,569
2016-05-06	$33.03	$35.00	38.6%	11.0%	32.9%	33.0%	37.7%	3.8%	0.4%	6.0M	293.4M	-4.2M	0.51	5.19	54,674	27,855	553,313	300,063
2016-05-09	$33.01	$34.00	37.9%	10.8%	32.6%	30.8%	37.2%	5.1%	0.0%	3.6M	285.9M	-4.3M	0.65	4.16	24,729	16,171	558,680	303,449
2016-05-10	$33.76	$34.00	34.5%	10.0%	33.7%	18.7%	34.9%	3.1%	-0.1%	6.7M	219.9M	-4.4M	0.48	4.14	39,783	19,034	564,477	303,434
2016-05-11	$32.88	$34.00	35.7%	10.3%	32.9%	22.8%	35.1%	4.2%	0.6%	4.3M	291.8M	-4.2M	0.33	4.34	36,232	11,909	582,560	306,014
2016-05-12	$31.36	$34.00	38.5%	11.3%	31.7%	32.7%	38.3%	5.0%	1.8%	512.6K	394.8M	-3.9M	0.30	8.38	60,053	17,949	599,410	307,360
2016-05-13	$31.55	$34.00	39.3%	11.1%	32.4%	35.7%	38.8%	4.1%	-0.4%	-141.8K	345.3M	-4.2M	0.42	5.85	40,709	17,070	627,466	315,034
2016-05-16	$32.09	$34.00	36.8%	10.6%	33.9%	26.8%	36.6%	3.7%	0.1%	4.3M	312.2M	-4.2M	0.53	5.46	37,733	20,045	605,175	314,484
2016-05-17	$32.72	$34.00	36.5%	10.5%	34.8%	25.7%	37.4%	3.3%	0.9%	9.5M	229.2M	-4.4M	0.75	6.64	16,689	12,452	617,601	314,327
2016-05-18	$32.56	$34.00	34.4%	9.8%	34.6%	18.0%	34.4%	3.5%	0.6%	8.6M	257.9M	-4.3M	0.58	6.86	31,145	18,105	616,301	315,017
2016-05-19	$32.21	$34.00	35.7%	10.2%	33.8%	22.9%	34.7%	3.2%	0.6%	7.1M	284.1M	-4.2M	0.66	6.73	25,764	16,996	616,844	313,303
2016-05-20	$31.97	$34.00	34.2%	9.7%	31.4%	17.3%	33.9%	3.2%	0.7%	6.6M	303.8M	-4.2M	1.02	7.23	22,584	23,029	625,537	313,257
2016-05-23	$31.74	$34.00	33.5%	9.4%	30.1%	14.9%	32.5%	4.2%	0.2%	6.4M	150.8M	-4.0M	0.44	6.72	21,777	9,503	482,327	234,682
2016-05-24	$32.17	$34.00	31.7%	8.8%	31.0%	8.5%	30.5%	3.3%	0.6%	8.4M	123.0M	-4.1M	0.32	5.79	29,130	9,305	490,326	238,751
2016-05-25	$32.18	$34.00	30.8%	8.7%	31.1%	5.3%	30.1%	3.7%	0.5%	12.0M	115.4M	-4.1M	0.46	9.57	26,861	12,378	500,921	238,905
2016-05-26	$31.49	$34.00	31.1%	8.7%	31.0%	6.5%	30.3%	3.3%	0.5%	6.7M	184.9M	-3.8M	0.67	8.92	20,041	13,470	498,726	239,932
2016-05-27	$31.66	$33.50	30.3%	8.4%	29.4%	3.6%	28.9%	2.9%	0.6%	5.6M	175.8M	-3.9M	0.65	9.26	14,751	9,599	504,301	244,325
2016-05-31	$31.93	$33.00	30.9%	8.6%	29.8%	5.6%	30.5%	2.8%	-0.2%	6.8M	144.6M	-4.0M	1.14	7.69	13,793	15,743	490,269	239,545