AAL Options History — February 2017

In February 2017, AAL traded between $43.95 and $47.53. ATM implied volatility averaged 30.1%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 3.4% (HV 20d: 33.5%). Max pain ranged from $45.00 to $47.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.55.

Notable Days

  • 2017-02-03: Highest Volume — 77,609 contracts
  • 2017-02-22: Largest IV spike — 7.3% change
  • 2017-02-01: Highest IV Rank — 13.0%
  • 2017-02-01: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.98$43.95$47.53$44.21$46.41
Max Pain$45.74$45.00$47.00$45.00$46.00
ATM IV30.1%27.9%33.0%33.0%30.4%
Expected Move8.8%8.2%9.7%9.7%8.9%
HV 20d33.5%20.8%36.0%34.8%20.8%
HV 60d28.7%28.4%29.6%29.6%28.5%
IV Rank5.9%0.0%13.0%13.0%8.7%
IV Percentile9.0%0.0%34.1%34.1%9.9%
Term Structure0.2%-0.5%0.9%0.3%0.1%
VWIV30.6%28.6%32.5%32.5%31.7%
Skew 25d2.2%1.5%3.1%2.8%2.4%
Skew 10d3.9%1.2%7.3%6.0%7.3%
Call IV 25d29.3%26.9%31.9%31.9%29.6%
Put IV 25d31.6%29.2%34.7%34.7%31.9%
Bid-Ask Spread %4.232.8711.4311.434.21
Gamma HHI0.120.070.210.080.11
Net GEX21.6M8.4M38.8M10.1M18.9M
Net DEX-490.9M-759.3M-232.5M-267.1M-500.7M
Net VEX-5.5M-5.8M-5.3M-5.4M-5.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.200.890.770.89
Total Volume41,275.57923,18577,60924,58728,505
Total OI659,309.789581,275717,585644,636623,104

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-02-01$44.21$45.0033.0%9.7%34.8%13.0%32.5%2.8%0.3%10.1M-267.1M-5.4M0.7711.4313,86710,720376,887267,749
2017-02-02$43.95$47.0032.3%9.4%34.5%10.6%32.3%2.7%0.4%8.4M-232.5M-5.3M0.762.9321,69116,542380,062269,623
2017-02-03$44.16$46.0030.1%8.9%34.2%2.6%31.2%1.7%0.9%9.4M-246.4M-5.3M0.205.4764,89512,714383,151277,083
2017-02-06$44.97$46.0030.8%8.9%34.9%5.0%30.1%3.1%0.1%28.1M-449.3M-5.5M0.473.1129,54213,958437,147271,281
2017-02-07$45.13$45.0031.3%9.1%34.1%7.0%31.2%2.7%0.5%21.5M-429.0M-5.5M0.773.1919,13814,788412,058276,336
2017-02-08$45.08$45.0030.4%8.9%32.6%3.7%30.1%2.8%0.3%20.5M-406.9M-5.4M0.292.8740,22711,601415,871279,093
2017-02-09$46.33$45.0029.8%8.7%34.1%1.5%30.9%2.1%0.7%33.7M-583.4M-5.6M0.392.8844,51817,259416,988279,480
2017-02-10$46.22$45.0027.9%8.2%33.8%0.0%28.6%2.3%0.9%33.8M-565.7M-5.5M0.433.3629,08512,590425,694279,884
2017-02-13$47.53$45.0028.6%8.2%35.4%2.6%29.7%2.4%-0.0%37.2M-759.3M-5.5M0.613.2838,71623,579402,171269,309
2017-02-14$46.57$46.0028.5%8.2%35.5%2.3%29.2%2.5%-0.2%29.8M-583.3M-5.5M0.483.1726,17412,491403,599279,685
2017-02-15$47.51$46.0028.8%8.3%35.8%3.3%29.4%1.9%-0.0%38.8M-749.9M-5.6M0.473.4534,43116,149408,706282,428
2017-02-16$46.91$46.0029.0%8.4%36.0%4.0%29.4%2.0%-0.4%27.3M-630.4M-5.4M0.524.7331,56716,381408,593285,404
2017-02-17$46.76$46.0029.2%8.4%35.6%4.5%29.6%2.3%-0.5%19.3M-602.0M-5.6M0.633.6024,19715,143423,795293,790
2017-02-21$46.87$46.0028.7%8.4%35.0%3.0%29.4%2.1%0.3%15.8M-506.1M-5.5M0.604.1414,4648,721341,109240,166
2017-02-22$46.29$46.0030.8%9.0%34.9%10.0%31.4%1.5%0.1%13.8M-444.2M-5.5M0.494.2822,74811,094344,368243,188
2017-02-23$46.10$46.0031.2%9.1%34.8%11.2%31.8%1.7%-0.3%13.7M-441.3M-5.6M0.563.8119,13710,626358,528246,987
2017-02-24$46.25$46.0030.6%8.9%32.6%9.4%31.2%1.7%-0.0%14.4M-454.9M-5.7M0.606.3819,48911,643365,002249,944
2017-02-27$46.29$46.0030.9%9.0%26.9%10.4%31.7%1.6%0.1%16.7M-474.9M-5.7M0.614.0716,1009,746363,834244,789
2017-02-28$46.41$46.0030.4%8.9%20.8%8.7%31.7%2.4%0.1%18.9M-500.7M-5.8M0.894.2115,10113,404375,077248,027