AAL Options History — January 2017

In January 2017, AAL traded between $44.21 and $49.49. ATM implied volatility averaged 35.8%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 10.5% (HV 20d: 25.3%). Max pain ranged from $39.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.76.

Notable Days

  • 2017-01-27: Highest Volume — 90,102 contracts
  • 2017-01-30: Largest IV spike — 11.8% change
  • 2017-01-03: Highest IV Rank — 40.0%
  • 2017-01-09: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.14$44.21$49.49$46.25$44.21
Max Pain$43.20$39.00$45.00$39.00$45.00
ATM IV35.8%30.4%40.7%40.7%35.2%
Expected Move10.2%8.9%10.9%10.3%10.4%
HV 20d25.3%21.0%34.9%28.9%34.9%
HV 60d26.2%24.8%29.7%27.3%29.7%
IV Rank23.0%3.8%40.0%40.0%20.6%
IV Percentile53.6%4.8%84.1%84.1%55.2%
Term Structure-0.6%-1.5%0.5%-0.9%0.1%
VWIV36.0%31.5%38.6%36.5%36.2%
Skew 25d3.3%2.1%4.3%4.3%3.3%
Skew 10d6.4%-0.9%11.7%-0.9%8.6%
Call IV 25d34.7%29.7%39.2%39.1%33.8%
Put IV 25d38.0%32.1%43.4%43.4%37.1%
Bid-Ask Spread %6.231.7517.989.658.89
Gamma HHI0.110.080.220.090.08
Net GEX19.5M9.8M27.4M19.0M9.8M
Net DEX-1.02B-1.50B-269.2M-1.15B-269.2M
Net VEX-5.0M-5.4M-4.8M-4.9M-5.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.381.310.890.74
Total Volume51,127.7530,49790,10235,71041,416
Total OI795,965.8536,331952,957874,471633,661

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$46.25$39.0040.7%10.3%28.9%40.0%36.5%4.3%-0.9%19.0M-1.15B-4.9M0.899.6518,89716,813518,961355,510
2017-01-04$46.79$39.0039.2%9.7%29.1%35.0%34.2%3.4%-0.3%19.1M-1.23B-4.8M0.7817.9817,17213,325522,556359,730
2017-01-05$46.02$42.0039.6%10.9%29.3%36.4%38.6%3.7%-1.0%16.8M-1.09B-4.8M0.771.9122,19317,129520,340363,297
2017-01-06$46.17$42.0039.7%10.9%23.2%36.7%38.2%2.1%-1.1%18.7M-1.13B-4.8M1.312.0619,47525,554528,173365,231
2017-01-09$47.05$42.0039.3%10.9%24.1%35.3%37.9%3.9%-1.0%20.0M-1.26B-4.8M1.041.7515,11615,675524,843363,724
2017-01-10$48.26$42.0038.0%10.8%24.2%30.6%38.6%3.8%-0.7%24.0M-1.43B-4.8M0.381.9049,17618,471531,011367,647
2017-01-11$48.77$42.0036.8%10.3%21.0%26.2%36.5%3.6%-1.0%26.2M-1.50B-5.0M0.711.9427,15719,403536,222373,422
2017-01-12$48.16$43.0037.0%10.5%21.5%27.2%37.0%3.8%-0.4%24.8M-1.40B-5.0M0.962.3920,95620,062541,849378,371
2017-01-13$47.77$43.0034.6%9.9%21.7%18.8%35.0%3.5%-0.1%23.2M-1.33B-4.9M0.612.2231,13318,864544,973381,842
2017-01-17$46.88$44.0035.8%10.3%22.5%23.0%36.7%3.4%-1.3%17.6M-1.20B-4.8M0.872.4529,11725,257540,376376,177
2017-01-18$47.57$44.0034.7%10.0%22.7%19.1%35.4%3.5%-0.7%18.2M-1.31B-5.0M0.702.5524,96117,431548,639386,744
2017-01-19$47.20$44.0035.1%10.1%22.1%20.3%35.7%3.7%-1.3%14.8M-1.26B-5.0M0.442.9038,04116,706555,616388,928
2017-01-20$47.92$44.0033.4%9.7%22.1%14.4%35.0%3.3%-1.5%26.7M-1.38B-5.0M0.622.5435,80822,168562,338390,619
2017-01-23$47.03$44.0034.1%10.1%22.7%16.9%35.8%3.4%-0.2%17.4M-534.2M-5.0M0.987.7117,67017,348316,783219,548
2017-01-24$47.57$45.0033.5%10.0%22.6%14.7%35.8%2.9%-0.3%19.3M-586.6M-5.0M0.457.2930,74313,773321,503227,016
2017-01-25$47.97$45.0033.3%10.0%22.9%13.9%36.1%2.9%-0.2%27.4M-696.7M-5.0M1.096.9825,20027,510348,527230,877
2017-01-26$49.49$45.0032.3%9.7%25.5%10.5%34.4%2.8%-0.1%23.2M-840.7M-5.3M0.6017.6853,41432,279338,078244,899
2017-01-27$46.96$45.0030.4%8.9%31.0%3.8%31.5%2.4%0.2%13.3M-503.0M-5.3M0.6411.3555,03035,072358,529259,403
2017-01-30$44.82$45.0034.0%10.1%34.9%16.4%35.2%3.1%0.5%10.1M-301.9M-5.2M0.5912.4848,34228,698344,565248,788
2017-01-31$44.21$45.0035.2%10.4%34.9%20.6%36.2%3.3%0.1%9.8M-269.2M-5.4M0.748.8923,83817,578371,317262,344