AAL Options History — August 2016

In August 2016, AAL traded between $33.50 and $37.03. ATM implied volatility averaged 34.0%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 3.3% (HV 20d: 37.2%). Max pain ranged from $33.00 to $35.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.54.

Notable Days

2016-08-02: Highest Volume — 145,784 contracts
2016-08-02: Largest IV spike — 10.9% change
2016-08-02: Highest IV Rank — 35.7%
2016-08-02: Largest Expected Move — 11.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.55	$33.50	$37.03	$35.55	$36.24
Max Pain	$34.80	$33.00	$35.50	$33.00	$35.50
ATM IV	34.0%	30.7%	39.4%	35.6%	35.2%
Expected Move	9.8%	8.7%	11.6%	10.3%	10.1%
HV 20d	37.2%	21.1%	55.0%	49.8%	23.1%
HV 60d	50.5%	49.9%	51.4%	49.9%	50.1%
IV Rank	16.4%	5.0%	35.7%	22.0%	20.6%
IV Percentile	30.7%	5.6%	68.3%	44.0%	45.6%
Term Structure	0.4%	-0.4%	1.0%	0.0%	-0.2%
VWIV	35.2%	30.3%	43.8%	36.8%	37.1%
Skew 25d	4.2%	3.4%	5.0%	4.3%	5.0%
Skew 10d	9.8%	-8.2%	21.7%	8.3%	9.9%
Call IV 25d	32.8%	29.7%	39.1%	34.4%	33.0%
Put IV 25d	37.0%	33.6%	42.6%	38.7%	38.0%
Bid-Ask Spread %	5.52	3.59	8.36	7.54	7.03
Gamma HHI	0.09	0.07	0.11	0.11	0.08
Net GEX	15.1M	9.5M	25.5M	16.8M	12.4M
Net DEX	-285.3M	-516.2M	-50.2M	-314.4M	-278.2M
Net VEX	-5.6M	-5.7M	-5.2M	-5.6M	-5.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.21	0.97	0.66	0.83
Total Volume	48,313.217	14,396	145,784	31,423	56,806
Total OI	922,192.348	744,478	1,032,591	944,780	790,252

Daily Data (23 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
2016-08-01	$35.55	$33.00	35.6%	10.3%	49.8%	22.0%	36.8%	4.3%	0.0%	16.8M	-314.4M	-5.6M	0.66	7.54	18,907	12,516	600,592	344,188
2016-08-02	$33.50	$33.00	39.4%	11.6%	55.0%	35.7%	43.8%	3.5%	-0.4%	9.9M	-65.2M	-5.2M	0.31	5.81	111,504	34,280	604,530	345,489
2016-08-03	$33.52	$34.00	37.9%	11.0%	54.0%	30.1%	40.5%	4.2%	0.3%	9.5M	-50.2M	-5.3M	0.21	6.57	62,463	13,167	611,431	356,243
2016-08-04	$33.59	$35.00	37.5%	10.8%	53.0%	29.0%	39.0%	4.1%	0.5%	10.3M	-75.9M	-5.5M	0.28	5.58	56,431	15,532	628,023	357,521
2016-08-05	$34.45	$35.00	38.7%	11.2%	53.1%	33.1%	38.7%	4.1%	-0.2%	14.0M	-189.9M	-5.7M	0.43	4.59	55,077	23,934	635,157	358,699
2016-08-08	$34.32	$35.00	36.7%	10.7%	52.0%	26.0%	38.1%	3.7%	0.7%	16.2M	-186.8M	-5.6M	0.51	5.57	39,821	20,124	645,572	360,408
2016-08-09	$34.61	$35.00	34.9%	10.0%	35.5%	19.8%	35.4%	3.9%	0.1%	17.3M	-219.0M	-5.6M	0.44	5.06	36,789	16,186	651,264	364,129
2016-08-10	$34.19	$35.00	34.5%	10.2%	35.7%	18.2%	37.5%	3.5%	1.0%	14.6M	-140.2M	-5.5M	0.60	5.66	35,392	21,306	653,208	364,880
2016-08-11	$34.97	$35.00	34.3%	10.0%	33.2%	17.7%	35.9%	3.4%	0.9%	19.2M	-259.1M	-5.6M	0.56	4.69	29,690	16,573	653,683	367,520
2016-08-12	$34.92	$35.00	33.2%	9.7%	33.2%	13.8%	34.6%	3.8%	0.8%	16.6M	-249.6M	-5.5M	0.44	4.50	27,863	12,342	657,293	370,804
2016-08-15	$35.94	$35.00	33.1%	9.5%	34.8%	13.4%	33.7%	4.3%	0.5%	21.7M	-391.5M	-5.7M	0.36	4.93	30,399	10,987	649,571	365,279
2016-08-16	$36.74	$35.00	32.3%	9.3%	35.6%	10.6%	33.2%	4.5%	0.9%	25.5M	-516.2M	-5.7M	0.32	3.61	41,514	13,282	653,830	366,248
2016-08-17	$36.60	$35.00	32.5%	9.3%	35.7%	11.0%	33.9%	4.5%	0.8%	23.3M	-484.3M	-5.7M	0.34	4.45	15,069	5,192	657,646	371,180
2016-08-18	$36.67	$35.00	32.0%	9.1%	34.3%	9.4%	33.2%	4.2%	1.0%	22.8M	-499.4M	-5.7M	0.60	4.79	8,975	5,421	659,893	371,050
2016-08-19	$36.52	$35.00	31.8%	9.0%	31.9%	8.7%	33.0%	3.9%	0.9%	11.3M	-480.7M	-5.7M	0.60	4.33	28,078	16,852	660,120	372,471
2016-08-22	$36.00	$35.00	32.6%	9.2%	31.9%	11.4%	33.5%	3.8%	0.2%	9.8M	-255.9M	-5.6M	0.74	5.30	20,061	14,753	443,195	301,283
2016-08-23	$36.50	$35.00	30.7%	8.7%	31.3%	5.0%	30.3%	3.8%	0.6%	11.5M	-309.0M	-5.6M	0.70	3.59	16,318	11,482	449,759	308,175
2016-08-24	$36.65	$35.00	31.9%	9.1%	31.0%	9.1%	32.2%	5.0%	0.3%	12.3M	-324.2M	-5.7M	0.32	7.82	19,777	6,259	452,355	308,743
2016-08-25	$36.76	$35.00	31.2%	8.8%	31.0%	6.7%	33.3%	4.3%	0.2%	14.7M	-348.7M	-5.7M	0.77	8.36	15,388	11,782	463,706	311,933
2016-08-26	$36.25	$35.00	32.1%	9.0%	30.2%	9.7%	31.9%	5.0%	0.3%	11.0M	-283.3M	-5.7M	0.62	6.38	18,382	11,355	465,873	315,706
2016-08-29	$36.20	$35.00	31.3%	8.7%	30.2%	6.8%	32.2%	4.5%	0.2%	11.6M	-268.5M	-5.6M	0.97	3.97	10,255	9,955	457,181	311,061
2016-08-30	$37.03	$35.00	31.9%	9.1%	21.1%	9.2%	32.5%	5.0%	0.1%	14.0M	-372.8M	-5.6M	0.74	6.77	30,370	22,595	459,996	313,284
2016-08-31	$36.24	$35.50	35.2%	10.1%	23.1%	20.6%	37.1%	5.0%	-0.2%	12.4M	-278.2M	-5.6M	0.83	7.03	30,961	25,845	469,365	320,887