AAL Options History — June 2016

In June 2016, AAL traded between $25.29 and $33.44. ATM implied volatility averaged 39.2%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 1.6% (HV 20d: 37.6%). Max pain ranged from $29.00 to $33.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.60.

Notable Days

  • 2016-06-24: Highest Volume — 131,074 contracts
  • 2016-06-24: Largest IV spike — 31.1% change
  • 2016-06-27: Highest IV Rank — 100.0%
  • 2016-06-27: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.15$25.29$33.44$31.95$28.22
Max Pain$31.36$29.00$33.00$33.00$29.00
ATM IV39.2%31.3%57.7%31.4%41.8%
Expected Move11.2%8.8%17.4%8.8%11.4%
HV 20d37.6%24.4%63.4%29.8%63.4%
HV 60d33.2%28.8%43.4%29.5%43.4%
IV Rank35.1%7.2%100.0%7.5%44.1%
IV Percentile56.7%9.1%100.0%9.5%81.3%
Term Structure0.1%-2.2%1.3%0.0%0.8%
VWIV39.0%30.9%60.5%30.9%39.5%
Skew 25d4.8%2.8%8.4%3.5%4.7%
Skew 10d9.9%5.1%15.4%6.9%15.4%
Call IV 25d37.4%30.2%54.3%30.4%39.8%
Put IV 25d42.3%33.4%60.2%33.9%44.5%
Bid-Ask Spread %8.485.7911.708.359.07
Gamma HHI0.080.070.110.080.07
Net GEX5.5M167.6K16.0M7.5M5.6M
Net DEX203.5M-47.5M383.8M149.8M220.7M
Net VEX-3.8M-4.5M-2.9M-4.0M-3.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.270.980.670.80
Total Volume57,663.04524,088131,07427,34133,398
Total OI825,550.455742,332947,502742,332947,502

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$31.95$33.0031.4%8.8%29.8%7.5%30.9%3.5%0.0%7.5M149.8M-4.0M0.678.3516,36410,977495,316247,016
2016-06-02$31.63$33.0031.7%9.4%26.4%8.6%32.0%3.9%0.4%7.0M176.1M-4.0M0.696.3914,2159,873502,306250,079
2016-06-03$30.88$33.0032.5%9.4%27.4%11.4%32.9%3.9%-0.2%3.6M241.3M-3.7M0.986.8036,23235,664505,217251,408
2016-06-06$31.26$33.0031.3%9.3%27.8%7.2%32.4%2.8%1.0%2.9M227.4M-3.7M0.709.9221,56915,135500,065264,578
2016-06-07$32.37$33.0032.4%9.6%30.8%10.9%33.6%4.0%1.3%7.7M98.7M-4.1M0.3911.5452,43320,228508,041268,497
2016-06-08$32.53$33.0031.9%9.3%29.7%9.3%32.5%2.8%0.4%10.0M72.6M-4.2M0.548.6926,12114,209524,699271,192
2016-06-09$33.44$32.0031.9%9.4%29.9%9.3%32.1%3.2%1.0%16.0M-47.5M-4.5M0.5011.7032,12915,960531,186272,741
2016-06-10$33.11$33.0033.0%9.5%24.4%13.1%33.4%4.4%0.5%11.7M-20.9M-4.5M0.777.7421,86216,758541,340275,591
2016-06-13$31.78$32.0036.5%10.5%28.8%25.6%36.0%5.1%1.3%5.0M151.1M-4.1M0.658.1320,54513,424527,700269,149
2016-06-14$30.33$32.0041.9%12.0%32.6%45.0%40.7%6.1%-0.2%1.8M254.5M-3.8M0.728.1927,67319,813534,696272,154
2016-06-15$30.45$32.0038.8%11.1%31.6%33.8%37.5%5.8%-0.1%1.0M268.0M-3.8M0.5911.5830,21617,683548,029281,383
2016-06-16$29.14$32.0040.7%11.6%34.7%40.7%40.3%5.6%0.9%1.4M353.7M-3.5M0.756.7637,09527,643555,824285,354
2016-06-17$29.29$32.0041.8%11.9%34.9%44.7%40.9%6.1%0.4%3.1M325.3M-3.7M0.787.8647,94437,281571,690292,982
2016-06-20$29.71$30.0040.5%11.2%35.5%39.9%39.1%6.3%0.0%4.2M211.7M-3.8M0.638.5121,74213,665532,106268,105
2016-06-21$30.03$30.0041.5%11.5%35.8%43.5%40.2%5.8%-0.1%5.5M184.6M-4.0M0.276.8845,04512,079540,169269,302
2016-06-22$29.93$30.0043.1%12.0%35.3%49.3%42.3%5.8%-0.8%7.3M174.9M-4.0M0.415.7926,66111,064562,505272,751
2016-06-23$30.30$30.0039.0%11.0%35.7%34.6%39.8%4.9%0.4%11.1M144.3M-4.1M0.328.7238,56712,387573,500274,319
2016-06-24$27.16$30.0051.1%15.0%51.8%78.1%50.7%8.4%-0.9%2.1M343.4M-3.2M0.566.9584,26246,812579,534276,993
2016-06-27$25.29$30.0057.7%17.4%56.2%100.0%60.5%5.9%-2.2%167.6K383.8M-2.9M0.567.4278,07543,999577,604290,236
2016-06-28$26.77$29.0048.0%13.5%60.9%65.8%47.7%3.8%-1.4%2.6M301.0M-3.3M0.4611.5363,77029,144605,421312,021
2016-06-29$27.67$29.0043.2%12.1%62.7%48.8%42.4%3.9%-0.5%3.6M262.7M-3.6M0.498.0046,24622,625609,919321,890
2016-06-30$28.22$29.0041.8%11.4%63.4%44.1%39.5%4.7%0.8%5.6M220.7M-3.7M0.809.0718,60514,793619,581327,921