AAL Options History — December 2016

In December 2016, AAL traded between $45.74 and $49.49. ATM implied volatility averaged 33.9%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 7.2% (HV 20d: 26.8%). Max pain ranged from $38.00 to $43.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2016-12-09: Highest Volume — 66,563 contracts
  • 2016-12-27: Largest IV spike — 7.0% change
  • 2016-12-30: Highest IV Rank — 34.4%
  • 2016-12-01: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.83$45.74$49.49$45.74$46.55
Max Pain$38.90$38.00$43.00$43.00$39.00
ATM IV33.9%30.4%39.1%33.7%39.1%
Expected Move9.6%8.7%10.2%10.2%10.1%
HV 20d26.8%19.9%29.9%23.8%28.9%
HV 60d26.8%26.1%27.5%26.6%27.2%
IV Rank16.2%4.0%34.4%15.5%34.4%
IV Percentile37.9%5.6%76.6%35.3%76.6%
Term Structure1.1%-0.2%3.6%0.1%0.5%
VWIV33.9%30.9%36.8%36.0%35.5%
Skew 25d2.7%1.8%3.9%3.2%3.7%
Skew 10d4.1%1.1%10.7%10.7%5.3%
Call IV 25d33.1%30.0%37.4%32.8%37.4%
Put IV 25d35.8%32.1%41.1%36.0%41.1%
Bid-Ask Spread %6.614.6412.2812.285.11
Gamma HHI0.100.090.110.100.10
Net GEX21.0M12.9M24.9M21.4M12.9M
Net DEX-1.38B-1.65B-1.15B-1.15B-1.16B
Net VEX-5.1M-5.3M-4.9M-5.1M-5.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.492.960.700.77
Total Volume34,730.33322,21866,56331,58940,929
Total OI855,011.381811,137882,325819,435879,774

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$45.74$43.0033.7%10.2%23.8%15.5%36.0%3.2%0.1%21.4M-1.15B-5.1M0.7012.2818,57513,014501,780317,655
2016-12-02$46.07$43.0033.7%9.9%22.9%15.3%34.8%3.5%0.2%22.8M-1.20B-5.1M0.967.4315,18714,506506,298319,480
2016-12-05$45.79$38.0032.0%9.3%23.5%9.6%33.1%2.8%0.8%22.7M-1.17B-4.9M2.966.7312,40836,687495,398315,739
2016-12-06$46.43$38.0032.7%9.6%19.9%11.9%33.9%2.9%0.9%22.3M-1.23B-5.3M1.367.2617,02423,192497,733343,388
2016-12-07$48.71$38.0033.3%9.6%24.9%13.8%35.4%1.8%0.7%23.5M-1.55B-5.1M1.194.9926,62531,721506,786336,896
2016-12-08$48.17$38.0033.4%9.7%25.5%14.2%33.5%2.1%1.1%23.4M-1.48B-5.2M0.497.4922,78511,185513,752347,924
2016-12-09$49.40$38.0033.3%9.7%26.0%14.0%35.1%2.3%0.9%24.9M-1.65B-5.1M0.565.0542,76523,798515,996350,280
2016-12-12$47.72$38.0035.0%10.0%29.9%20.0%35.4%3.0%-0.2%21.7M-1.39B-5.2M0.836.7921,11917,523511,474345,795
2016-12-13$47.86$38.0035.1%10.1%29.8%20.3%35.9%2.4%0.1%22.0M-1.41B-5.2M0.607.8317,33910,382515,780350,434
2016-12-14$48.04$38.0035.4%10.1%28.2%21.6%36.8%2.3%-0.1%21.6M-1.43B-5.2M0.657.9617,93911,692515,928352,707
2016-12-15$48.37$38.0033.8%9.6%27.8%15.6%34.4%3.1%0.1%22.2M-1.49B-5.1M0.665.7924,44016,241519,625355,012
2016-12-16$47.72$38.0032.6%9.3%26.9%11.6%33.7%2.8%-0.0%20.0M-1.37B-5.2M1.065.7415,23216,148522,123360,202
2016-12-19$48.46$39.0030.5%8.7%27.1%4.3%30.9%2.1%3.1%19.8M-1.42B-4.9M0.796.7012,4369,782498,729340,975
2016-12-20$49.19$39.0030.4%8.7%27.4%4.0%31.0%2.0%3.0%21.3M-1.51B-4.9M0.905.7414,66713,223502,356342,977
2016-12-21$49.49$39.0030.6%8.8%27.2%4.7%31.1%2.0%3.3%22.2M-1.55B-5.0M0.706.1517,63912,363505,414348,230
2016-12-22$48.69$39.0032.5%9.2%28.1%11.4%31.9%2.4%3.3%20.7M-1.44B-5.0M1.007.9513,75013,752507,836350,410
2016-12-23$48.51$39.0033.4%9.2%28.0%14.4%32.6%2.1%3.6%19.5M-1.42B-5.0M1.196.5411,31813,470511,802353,084
2016-12-27$48.68$39.0035.7%9.2%27.9%22.6%32.6%3.4%1.2%20.4M-1.44B-5.0M1.335.4010,24513,653507,188350,267
2016-12-28$47.69$39.0037.5%9.7%29.0%29.0%34.1%3.9%0.8%18.4M-1.31B-5.0M1.034.6413,54013,916509,892353,837
2016-12-29$47.25$39.0038.7%10.1%29.2%33.0%35.3%3.4%0.5%18.1M-1.26B-5.1M1.005.2013,55413,573516,953357,330
2016-12-30$46.55$39.0039.1%10.1%28.9%34.4%35.5%3.7%0.5%12.9M-1.16B-5.0M0.775.1123,15617,773520,597359,177