AAL Options History — September 2016

In September 2016, AAL traded between $34.74 and $39.34. ATM implied volatility averaged 35.8%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 7.9% (HV 20d: 27.9%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2016-09-07: Highest Volume — 78,732 contracts
  • 2016-09-26: Largest IV spike — 10.4% change
  • 2016-09-26: Highest IV Rank — 39.2%
  • 2016-09-26: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.49$34.74$39.34$36.24$36.75
Max Pain$35.76$35.00$37.00$36.00$35.00
ATM IV35.8%30.8%40.4%34.7%37.1%
Expected Move10.6%8.7%11.7%10.0%10.9%
HV 20d27.9%21.8%31.6%23.2%30.6%
HV 60d44.8%37.3%50.1%50.1%37.3%
IV Rank22.8%5.0%39.2%19.0%27.5%
IV Percentile50.5%6.0%78.6%42.5%63.5%
Term Structure0.5%-0.7%2.6%0.2%0.0%
VWIV36.8%28.5%41.0%35.1%37.3%
Skew 25d4.8%3.5%5.9%5.0%4.8%
Skew 10d8.9%1.7%19.7%11.4%9.7%
Call IV 25d34.0%29.8%38.3%32.6%35.0%
Put IV 25d38.9%33.3%43.6%37.6%39.7%
Bid-Ask Spread %8.053.1415.647.1610.28
Gamma HHI0.110.080.280.080.10
Net GEX14.7M8.6M30.6M13.6M17.1M
Net DEX-304.5M-687.5M-75.4M-283.5M-358.0M
Net VEX-5.5M-5.9M-5.2M-5.7M-5.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.250.950.860.55
Total Volume34,643.61921,67478,73224,12026,364
Total OI830,446.667791,447868,169810,146855,581

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$36.24$36.0034.7%10.0%23.2%19.0%35.1%5.0%0.2%13.6M-283.5M-5.7M0.867.1612,96211,158479,927330,219
2016-09-02$36.58$36.0032.6%8.7%21.8%11.7%31.5%4.1%0.3%30.6M-327.3M-5.7M0.458.3623,88110,792482,510329,855
2016-09-06$36.92$36.0032.5%10.3%21.8%11.2%36.6%4.5%0.7%14.2M-353.4M-5.6M0.824.9414,70211,992469,381322,066
2016-09-07$38.69$36.0031.7%10.0%26.6%8.3%35.7%3.6%1.1%18.6M-595.9M-5.8M0.376.4357,27821,454474,939324,476
2016-09-08$39.34$37.0030.8%9.9%26.0%5.0%35.3%3.5%0.9%21.5M-687.5M-5.9M0.573.1422,22512,672493,546331,810
2016-09-09$38.53$37.0033.5%10.3%27.1%14.6%36.8%5.4%0.6%22.6M-577.2M-5.9M0.743.4219,55914,410500,585335,778
2016-09-12$38.35$37.0034.1%10.4%27.3%17.0%38.4%5.0%2.2%18.1M-521.6M-5.8M0.494.2934,72316,971492,248332,108
2016-09-13$37.26$37.0036.7%11.3%28.2%26.0%40.3%5.8%2.6%14.6M-380.2M-5.8M0.744.5117,80113,205495,359335,363
2016-09-14$36.40$37.0037.2%10.9%28.5%27.8%39.0%5.9%0.7%11.4M-263.9M-5.6M0.595.9628,40816,835498,546339,021
2016-09-15$36.38$35.0035.2%10.4%28.4%20.8%32.7%4.6%1.4%12.5M-276.0M-5.6M0.695.2022,57215,543510,128342,327
2016-09-16$35.69$35.0035.6%10.3%29.2%22.2%28.5%4.7%0.6%9.9M-179.8M-5.5M0.938.3215,50814,464519,845348,324
2016-09-19$35.52$36.0036.4%10.5%29.2%24.9%36.3%5.4%1.1%10.0M-167.8M-5.4M0.798.9512,1079,567486,797311,218
2016-09-20$35.26$36.0037.2%10.7%28.9%27.7%37.5%5.2%-0.1%9.8M-135.2M-5.3M0.6010.0122,03713,175490,495312,723
2016-09-21$34.74$35.0036.9%10.6%28.7%26.6%36.3%4.8%-0.7%8.6M-75.4M-5.2M0.2515.6449,64112,283502,100320,102
2016-09-22$35.28$35.0036.6%10.5%29.3%25.6%36.9%4.3%-0.0%11.5M-160.6M-5.3M0.7911.3918,49014,630516,563323,914
2016-09-23$35.49$35.0036.6%10.5%29.4%25.7%37.5%4.5%-0.0%12.6M-184.0M-5.4M0.9211.1112,18211,167521,596328,537
2016-09-26$34.96$35.0040.4%11.7%29.5%39.2%41.0%5.3%-0.6%10.6M-128.1M-5.3M0.9510.6113,49012,840511,954324,231
2016-09-27$36.03$35.0038.7%11.2%31.6%32.9%39.2%5.0%-0.1%13.4M-253.9M-5.5M0.7311.0614,14610,330514,316328,630
2016-09-28$35.87$35.0038.2%11.2%30.4%31.4%39.2%5.0%-0.1%13.8M-240.6M-5.4M0.809.1613,14710,490519,196330,587
2016-09-29$35.92$35.0039.0%11.6%29.5%34.0%40.7%5.5%-0.6%14.2M-245.4M-5.4M0.939.1611,56110,754520,986331,493
2016-09-30$36.75$35.0037.1%10.9%30.6%27.5%37.3%4.8%0.0%17.1M-358.0M-5.5M0.5510.2817,0049,360522,118333,463