AAL Options History — October 2016

In October 2016, AAL traded between $37.48 and $40.67. ATM implied volatility averaged 36.6%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 8.2% (HV 20d: 28.4%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2016-10-20: Highest Volume — 80,292 contracts
  • 2016-10-20: Largest IV drop — 12.2% change
  • 2016-10-12: Highest IV Rank — 42.2%
  • 2016-10-12: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.04$37.48$40.67$37.60$40.63
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV36.6%31.8%41.3%38.2%33.9%
Expected Move10.7%9.1%11.8%11.5%10.3%
HV 20d28.4%24.9%31.5%31.5%27.9%
HV 60d30.0%27.0%37.4%37.4%27.0%
IV Rank25.6%8.6%42.2%31.3%16.0%
IV Percentile55.5%15.1%85.7%67.9%36.1%
Term Structure-0.2%-2.3%1.0%0.9%0.2%
VWIV38.2%32.8%43.0%40.9%37.4%
Skew 25d5.3%4.3%6.2%5.5%5.2%
Skew 10d10.0%5.7%20.1%11.6%7.6%
Call IV 25d34.7%30.4%39.2%35.7%32.0%
Put IV 25d40.0%35.1%45.0%41.2%37.2%
Bid-Ask Spread %6.022.1512.5212.5210.47
Gamma HHI0.140.100.310.100.15
Net GEX25.9M17.0M40.9M17.2M27.7M
Net DEX-675.0M-1.03B-428.4M-468.9M-834.0M
Net VEX-5.5M-5.7M-5.4M-5.6M-5.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.331.190.460.80
Total Volume38,655.52419,15680,29232,74919,156
Total OI877,976.524842,740959,177842,740858,320

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$37.60$35.0038.2%11.5%31.5%31.3%40.9%5.5%0.9%17.2M-468.9M-5.6M0.4612.5222,41510,334513,809328,931
2016-10-04$37.65$35.0038.7%11.6%31.4%33.1%41.4%5.2%0.9%19.8M-489.7M-5.6M0.5911.0525,01314,745523,982331,625
2016-10-05$37.89$35.0038.2%11.5%26.4%31.3%40.3%5.3%1.0%21.6M-519.4M-5.7M0.4610.8218,6788,653529,499333,878
2016-10-06$38.14$35.0038.6%11.1%25.8%32.5%40.0%5.5%0.6%22.5M-561.4M-5.7M0.782.5915,57112,080532,996335,122
2016-10-07$37.79$35.0040.3%11.7%24.9%38.8%42.2%4.9%0.3%22.3M-509.1M-5.6M0.882.9914,04712,387532,735338,055
2016-10-10$38.87$35.0039.3%11.2%26.9%35.1%39.6%5.8%-0.3%20.1M-632.5M-5.5M0.812.3213,04710,617513,422331,697
2016-10-11$38.28$35.0039.8%11.5%25.4%36.8%40.6%6.2%0.5%18.9M-551.0M-5.5M0.592.1522,84013,371518,537335,044
2016-10-12$37.48$35.0041.3%11.8%25.1%42.2%43.0%5.9%0.3%17.0M-428.4M-5.4M0.734.3822,42216,273523,025337,403
2016-10-13$39.21$35.0039.3%11.0%29.4%35.3%38.9%4.3%-1.8%23.9M-709.3M-5.5M0.623.0247,55529,659530,815343,390
2016-10-14$38.65$35.0038.6%10.7%29.0%32.7%38.7%5.3%-1.7%19.5M-618.1M-5.5M0.602.7424,78814,886545,063355,725
2016-10-17$38.53$35.0038.7%11.0%28.9%33.1%39.5%6.0%-1.1%21.5M-590.2M-5.5M0.662.7012,8898,528539,581345,689
2016-10-18$39.34$35.0038.2%10.9%29.2%31.4%38.9%5.7%-2.3%24.0M-727.4M-5.4M0.872.5823,05220,100541,785346,902
2016-10-19$40.49$35.0036.1%10.4%29.3%24.1%36.7%5.5%-1.5%26.7M-924.2M-5.5M0.335.0357,89619,075550,553354,349
2016-10-20$40.67$35.0031.8%9.1%29.1%8.6%32.9%5.1%-0.4%34.6M-1.03B-5.5M0.492.2953,99426,298576,405359,787
2016-10-21$39.81$35.0031.8%9.2%30.9%8.6%32.8%5.3%-1.1%39.3M-862.1M-5.6M0.633.2727,95117,494593,996365,181
2016-10-24$39.86$35.0032.0%9.4%29.9%9.4%35.0%4.7%0.3%30.0M-754.5M-5.5M0.983.4312,89212,594536,373321,022
2016-10-25$39.69$35.0032.8%9.9%28.8%12.3%34.8%4.6%0.3%30.9M-728.3M-5.5M0.7310.5817,16912,582541,174325,338
2016-10-26$39.33$35.0033.7%10.2%29.0%15.4%35.5%5.1%0.0%29.8M-654.1M-5.5M0.7612.0220,44815,511543,633328,439
2016-10-27$39.85$35.0033.3%10.1%29.2%14.1%36.8%4.7%0.1%35.0M-763.2M-5.5M0.909.0616,84115,239549,625333,526
2016-10-28$40.03$35.0034.0%10.3%28.4%16.4%36.8%5.3%0.3%40.9M-814.6M-5.5M1.1910.4814,89117,785556,109334,967
2016-10-31$40.63$35.0033.9%10.3%27.9%16.0%37.4%5.2%0.2%27.7M-834.0M-5.5M0.8010.4710,6458,511532,632325,688