AAL Options History — November 2016

In November 2016, AAL traded between $39.36 and $46.84. ATM implied volatility averaged 32.3%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 6.3% (HV 20d: 26.0%). Max pain ranged from $36.00 to $43.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2016-11-15: Highest Volume — 78,553 contracts
  • 2016-11-07: Largest IV drop — 9.8% change
  • 2016-11-04: Highest IV Rank — 27.6%
  • 2016-11-02: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.78$39.36$46.84$39.88$46.59
Max Pain$40.93$36.00$43.00$36.00$43.00
ATM IV32.3%30.3%37.1%35.6%31.6%
Expected Move9.4%8.7%10.7%10.6%9.3%
HV 20d26.0%22.2%30.9%29.0%22.2%
HV 60d27.8%26.9%28.5%27.3%27.7%
IV Rank10.6%3.3%27.6%22.2%7.9%
IV Percentile21.8%2.4%63.1%52.0%15.1%
Term Structure0.2%-0.8%1.2%-0.3%0.2%
VWIV33.9%30.8%40.2%36.4%32.7%
Skew 25d4.3%2.5%6.6%5.5%2.7%
Skew 10d8.4%3.5%17.0%3.5%7.3%
Call IV 25d31.0%28.5%34.7%33.9%30.8%
Put IV 25d35.3%32.6%40.9%39.4%33.5%
Bid-Ask Spread %5.602.7914.2411.8312.07
Gamma HHI0.120.090.150.150.10
Net GEX26.2M22.8M31.5M26.0M25.1M
Net DEX-1.15B-1.64B-600.9M-715.8M-1.28B
Net VEX-5.1M-5.4M-4.9M-5.4M-5.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.311.190.410.87
Total Volume38,865.42918,01278,55336,71727,054
Total OI851,891.571784,945926,030862,445814,639

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$39.88$36.0035.6%10.6%29.0%22.2%36.4%5.5%-0.3%26.0M-715.8M-5.4M0.4111.8326,01410,703534,833327,612
2016-11-02$39.76$36.0034.9%10.7%29.0%19.6%40.2%4.8%-0.3%25.6M-693.0M-5.4M0.4414.2412,4705,542535,977329,939
2016-11-03$39.36$40.0036.0%10.6%29.3%23.6%37.2%6.2%0.2%23.9M-600.9M-5.4M0.744.2013,62310,054525,099330,733
2016-11-04$39.68$40.0037.1%10.7%29.1%27.6%38.0%6.3%0.3%24.7M-661.4M-5.3M0.873.9015,59113,631526,645333,738
2016-11-07$41.35$40.0033.5%9.8%30.9%14.7%34.9%6.6%1.0%28.2M-901.8M-5.3M0.644.3119,06112,233519,256330,896
2016-11-08$41.79$40.0031.8%9.3%30.3%8.7%34.4%5.9%0.6%29.9M-984.1M-5.1M1.194.569,38411,137524,158334,247
2016-11-09$42.48$40.0030.3%9.0%29.0%3.3%32.5%5.0%1.2%31.2M-1.11B-5.0M0.583.9724,67614,386525,634338,369
2016-11-10$42.25$41.0031.4%9.2%25.3%7.1%32.8%5.2%1.1%31.5M-1.07B-5.1M0.993.6821,32421,126529,097342,437
2016-11-11$42.87$41.0031.0%9.0%24.6%5.8%32.3%4.9%0.8%29.2M-1.14B-5.2M1.003.4616,72816,724530,749346,325
2016-11-14$43.41$41.0033.0%9.5%24.6%12.8%34.7%4.5%-0.8%26.8M-1.23B-5.0M0.513.5626,93213,662527,966341,946
2016-11-15$44.75$42.0031.9%9.2%25.5%8.9%33.7%3.8%0.3%24.9M-1.44B-4.9M0.413.4755,53623,017540,579346,873
2016-11-16$44.37$42.0032.4%9.3%24.6%10.8%32.0%4.0%-0.5%25.6M-1.37B-5.1M0.383.5829,38411,261547,361355,421
2016-11-17$45.69$42.0032.1%9.2%26.1%9.9%34.1%3.8%0.6%25.0M-1.56B-5.0M0.313.6459,51718,555551,986357,417
2016-11-18$46.25$42.0032.0%9.2%24.2%9.4%33.5%3.3%0.1%23.8M-1.64B-5.1M0.402.7952,65720,944564,383361,647
2016-11-21$46.22$42.0030.7%8.7%24.2%4.9%31.8%3.4%0.1%22.8M-1.28B-5.1M0.543.3231,04616,748488,995295,950
2016-11-22$46.00$42.0030.5%8.7%24.3%4.1%30.8%3.3%0.2%25.0M-1.26B-5.0M1.162.9817,42220,162501,434299,335
2016-11-23$46.33$42.0030.3%8.7%23.5%3.4%30.9%2.6%0.2%24.8M-1.23B-5.3M0.863.1516,55014,168497,664307,588
2016-11-25$46.82$42.0030.8%8.8%23.4%5.2%31.8%2.5%-0.1%27.0M-1.33B-5.0M1.006.1114,50114,438501,892311,752
2016-11-28$46.60$42.5031.2%9.2%23.8%6.6%32.9%3.0%-0.0%24.7M-1.27B-5.0M0.929.5715,92114,677493,551307,273
2016-11-29$46.84$43.0030.9%9.2%23.7%5.7%33.8%2.5%-0.1%25.2M-1.31B-5.0M0.989.2213,92913,686497,010311,317
2016-11-30$46.59$43.0031.6%9.3%22.2%7.9%32.7%2.7%0.2%25.1M-1.28B-5.0M0.8712.0714,47412,580499,937314,702