AAL Options History — July 2016

In July 2016, AAL traded between $28.33 and $36.60. ATM implied volatility averaged 39.4%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 25.9% (HV 20d: 65.3%). Max pain ranged from $29.00 to $33.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.58.

Notable Days

2016-07-12: Highest Volume — 215,353 contracts
2016-07-22: Largest IV drop — 14.3% change
2016-07-06: Highest IV Rank — 55.3%
2016-07-06: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.91	$28.33	$36.60	$29.36	$35.54
Max Pain	$32.05	$29.00	$33.00	$29.00	$33.00
ATM IV	39.4%	34.4%	45.0%	41.2%	35.2%
Expected Move	11.2%	9.9%	12.8%	11.2%	10.2%
HV 20d	65.3%	49.1%	75.4%	64.9%	50.8%
HV 60d	48.9%	44.3%	51.6%	44.3%	49.9%
IV Rank	35.7%	17.8%	55.3%	41.8%	20.9%
IV Percentile	65.2%	33.7%	91.3%	76.2%	40.1%
Term Structure	-0.3%	-1.0%	0.9%	-0.1%	-0.1%
VWIV	40.0%	35.7%	45.0%	40.6%	36.6%
Skew 25d	3.9%	2.9%	4.5%	4.1%	3.1%
Skew 10d	8.5%	-0.6%	15.1%	9.1%	-0.6%
Call IV 25d	38.5%	33.7%	44.1%	40.0%	34.7%
Put IV 25d	42.3%	37.3%	48.4%	44.1%	37.8%
Bid-Ask Spread %	7.18	4.91	11.73	8.74	9.94
Gamma HHI	0.10	0.06	0.17	0.07	0.10
Net GEX	15.5M	5.3M	22.5M	5.8M	12.8M
Net DEX	-288.6M	-632.1M	231.6M	112.8M	-326.4M
Net VEX	-5.4M	-6.0M	-3.9M	-4.1M	-5.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.20	0.87	0.40	0.50
Total Volume	66,811.85	29,925	215,353	69,834	50,712
Total OI	945,253.9	905,272	990,436	949,485	959,250

Daily Data (20 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
2016-07-01	$29.36	$29.00	41.2%	11.2%	64.9%	41.8%	40.6%	4.1%	-0.1%	5.8M	112.8M	-4.1M	0.40	8.74	50,020	19,814	620,139	329,346
2016-07-05	$28.96	$31.00	43.0%	12.3%	64.8%	48.2%	42.9%	4.2%	0.2%	5.9M	181.1M	-4.0M	0.63	5.39	24,615	15,605	593,533	311,739
2016-07-06	$28.33	$31.00	45.0%	12.8%	63.4%	55.3%	45.0%	4.3%	-0.5%	5.3M	231.6M	-3.9M	0.67	5.30	32,886	21,920	601,304	314,883
2016-07-07	$29.40	$31.00	44.3%	12.4%	65.2%	52.7%	42.9%	4.3%	-0.7%	8.0M	123.6M	-4.2M	0.53	5.10	34,933	18,428	612,264	321,475
2016-07-08	$30.05	$31.00	40.3%	11.3%	64.9%	38.6%	40.5%	4.1%	-0.3%	13.6M	42.5M	-4.3M	0.47	7.17	37,583	17,556	623,251	323,469
2016-07-11	$31.18	$31.00	41.8%	12.0%	66.5%	44.0%	42.7%	4.5%	0.9%	10.9M	-39.4M	-4.6M	0.25	8.61	79,069	20,118	611,425	317,640
2016-07-12	$34.70	$32.00	42.6%	11.9%	75.4%	47.0%	43.2%	3.5%	-0.9%	17.5M	-490.9M	-5.7M	0.20	7.09	180,154	35,199	629,847	327,152
2016-07-13	$34.46	$32.00	41.4%	11.9%	73.2%	42.8%	42.6%	3.6%	0.2%	17.3M	-432.6M	-5.7M	0.64	9.39	35,644	22,976	628,792	335,829
2016-07-14	$35.94	$32.00	40.2%	11.4%	74.2%	38.2%	40.7%	4.3%	-0.4%	20.3M	-632.1M	-6.0M	0.64	5.96	62,458	39,796	628,560	343,614
2016-07-15	$35.87	$32.00	39.6%	11.1%	71.8%	36.1%	40.2%	2.9%	-1.0%	22.5M	-604.6M	-5.9M	0.64	5.77	30,336	19,492	635,567	354,869
2016-07-18	$36.10	$32.00	40.6%	11.6%	71.8%	39.9%	41.3%	4.1%	-0.4%	17.6M	-476.5M	-6.0M	0.43	6.70	46,365	19,885	589,124	322,147
2016-07-19	$35.99	$33.00	39.1%	11.2%	71.9%	34.4%	39.5%	4.3%	-0.6%	18.7M	-451.1M	-6.0M	0.51	7.13	33,148	16,851	600,854	329,194
2016-07-20	$35.93	$33.00	38.8%	11.1%	72.0%	33.3%	39.6%	3.7%	-0.7%	19.0M	-445.1M	-6.0M	0.62	8.58	33,174	20,730	605,464	335,286
2016-07-21	$35.03	$33.00	40.1%	11.5%	72.9%	38.0%	41.0%	3.9%	-0.7%	16.0M	-315.5M	-5.8M	0.87	11.73	43,473	37,655	612,337	341,099
2016-07-22	$36.32	$33.00	34.4%	9.9%	73.6%	17.8%	35.7%	3.4%	0.1%	18.8M	-511.7M	-5.9M	0.62	7.65	49,232	30,601	618,097	353,916
2016-07-25	$35.80	$33.00	35.7%	10.3%	59.8%	22.4%	37.4%	4.1%	-0.2%	18.0M	-374.3M	-5.8M	0.84	5.61	24,975	20,967	596,495	334,062
2016-07-26	$36.60	$33.00	35.6%	10.3%	50.6%	22.2%	36.4%	3.6%	0.1%	21.2M	-485.9M	-5.9M	0.63	6.21	29,920	18,779	599,556	340,348
2016-07-27	$36.19	$33.00	35.3%	10.2%	49.5%	21.1%	36.3%	3.7%	-0.1%	19.2M	-424.4M	-5.9M	0.81	6.52	17,230	14,013	601,454	348,381
2016-07-28	$36.39	$33.00	34.6%	10.1%	49.1%	18.8%	35.8%	3.8%	0.3%	21.8M	-452.5M	-5.8M	0.77	4.91	16,928	12,997	604,076	349,240
2016-07-29	$35.54	$33.00	35.2%	10.2%	50.8%	20.9%	36.6%	3.1%	-0.1%	12.8M	-326.4M	-5.7M	0.50	9.94	33,860	16,852	607,459	351,791