AAL Options History — March 2017

In March 2017, AAL traded between $40.40 and $47.31. ATM implied volatility averaged 31.3%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 2.6% (HV 20d: 28.6%). Max pain ranged from $42.00 to $46.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.62.

Notable Days

2017-03-14: Highest Volume — 102,905 contracts
2017-03-21: Largest IV spike — 7.5% change
2017-03-27: Highest IV Rank — 18.4%
2017-03-14: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.99	$40.40	$47.31	$47.31	$42.48
Max Pain	$43.26	$42.00	$46.00	$46.00	$42.00
ATM IV	31.3%	28.5%	33.4%	29.1%	31.7%
Expected Move	8.8%	8.2%	9.5%	8.5%	8.2%
HV 20d	28.6%	20.8%	32.8%	20.8%	29.4%
HV 60d	29.2%	27.8%	30.1%	28.5%	29.9%
IV Rank	11.5%	2.1%	18.4%	4.2%	12.8%
IV Percentile	22.3%	0.4%	44.8%	2.4%	23.0%
Term Structure	0.4%	-3.1%	3.0%	0.1%	-0.9%
VWIV	31.0%	28.5%	33.7%	30.2%	28.5%
Skew 25d	2.5%	1.4%	3.4%	2.4%	2.7%
Skew 10d	3.8%	-3.1%	7.1%	2.4%	1.5%
Call IV 25d	30.3%	27.8%	33.1%	28.4%	31.2%
Put IV 25d	32.9%	29.5%	35.7%	30.8%	33.9%
Bid-Ask Spread %	12.08	2.27	38.78	3.95	8.92
Gamma HHI	0.09	0.07	0.11	0.11	0.11
Net GEX	10.8M	1.2M	25.2M	25.2M	5.4M
Net DEX	-246.5M	-620.9M	25.5M	-620.9M	-339.3M
Net VEX	-5.5M	-5.8M	-5.0M	-5.8M	-5.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.27	1.26	0.73	0.40
Total Volume	53,404.696	24,394	102,905	37,081	41,915
Total OI	710,360.304	628,705	780,013	632,729	780,013

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2017-03-01	$47.31	$46.00	29.1%	8.5%	20.8%	4.2%	30.2%	2.4%	0.1%	25.2M	-620.9M	-5.8M	0.73	3.95	21,490	15,591	381,366	251,363
2017-03-02	$45.77	$46.00	29.3%	8.6%	24.5%	4.7%	30.3%	1.9%	-0.1%	16.6M	-427.8M	-5.6M	0.92	6.16	14,737	13,536	385,746	250,760
2017-03-03	$46.72	$46.00	28.5%	8.2%	25.2%	2.1%	28.7%	1.7%	0.4%	23.6M	-549.8M	-5.7M	0.39	3.89	32,960	12,998	388,519	253,809
2017-03-06	$45.34	$45.00	30.6%	9.1%	27.8%	9.1%	31.2%	2.2%	0.2%	14.7M	-383.7M	-5.6M	0.31	2.62	56,355	17,747	380,112	248,593
2017-03-07	$44.86	$43.00	30.0%	9.0%	27.3%	7.1%	31.2%	2.6%	0.3%	15.4M	-362.7M	-5.6M	1.26	2.44	14,287	17,984	401,417	253,937
2017-03-08	$44.89	$43.00	29.6%	8.7%	27.3%	5.7%	30.5%	2.6%	0.7%	14.8M	-357.4M	-5.6M	1.05	4.87	19,792	20,831	406,656	261,748
2017-03-09	$43.47	$44.00	31.1%	9.1%	29.5%	11.0%	31.2%	2.8%	0.6%	8.0M	-187.7M	-5.4M	0.27	3.32	73,693	19,806	413,689	266,249
2017-03-10	$43.85	$44.00	30.7%	8.7%	27.8%	9.6%	30.7%	1.9%	0.7%	4.8M	-219.5M	-5.4M	0.35	2.27	46,959	16,639	428,411	270,490
2017-03-13	$42.48	$44.00	32.2%	9.0%	29.6%	14.6%	31.2%	3.0%	-0.1%	5.8M	-109.0M	-5.2M	0.60	2.89	29,894	17,975	405,757	263,582
2017-03-14	$41.23	$44.00	32.6%	9.5%	28.4%	15.8%	32.9%	2.6%	1.1%	1.2M	25.5M	-5.0M	0.42	3.87	72,364	30,541	412,797	275,062
2017-03-15	$41.94	$43.00	33.1%	9.4%	29.2%	17.5%	33.6%	1.4%	0.0%	6.0M	-93.3M	-5.3M	0.64	11.03	52,464	33,752	444,633	281,848
2017-03-16	$42.10	$43.00	31.9%	9.0%	27.9%	13.5%	31.5%	2.3%	-1.1%	6.4M	-133.8M	-5.4M	0.50	4.04	31,284	15,546	456,477	290,388
2017-03-17	$41.61	$44.00	30.8%	8.5%	27.8%	9.7%	30.8%	2.1%	-3.1%	11.7M	-55.0M	-5.3M	0.97	11.47	49,430	47,938	457,545	293,097
2017-03-20	$41.75	$42.00	29.3%	8.4%	28.0%	4.8%	31.0%	2.4%	3.0%	7.5M	-173.9M	-5.4M	0.85	32.02	17,285	14,694	423,293	292,470
2017-03-21	$40.46	$42.00	31.5%	9.0%	29.3%	12.2%	32.2%	3.3%	2.7%	2.6M	-36.9M	-5.2M	0.82	38.78	17,959	14,768	427,725	298,827
2017-03-22	$40.40	$42.00	32.5%	9.3%	29.3%	15.6%	33.7%	3.2%	1.3%	1.7M	-27.5M	-5.3M	0.54	36.97	48,113	25,740	432,704	303,840
2017-03-23	$41.41	$42.00	31.7%	9.0%	31.3%	12.9%	31.7%	3.0%	1.8%	8.0M	-176.3M	-5.5M	0.40	27.31	50,437	20,240	439,967	304,742
2017-03-24	$41.74	$42.00	32.5%	9.1%	31.5%	15.6%	31.4%	3.4%	2.1%	14.9M	-239.7M	-5.6M	0.59	33.99	28,142	16,532	450,558	308,120
2017-03-27	$41.82	$42.00	33.4%	9.0%	31.6%	18.4%	31.7%	2.8%	-0.1%	10.8M	-231.4M	-5.6M	0.41	6.74	34,837	14,359	442,738	302,393
2017-03-28	$42.69	$42.00	32.7%	8.6%	32.8%	16.3%	30.2%	2.5%	-0.0%	16.6M	-366.1M	-5.7M	0.63	13.65	22,523	14,217	455,974	306,247
2017-03-29	$41.98	$42.00	32.5%	8.5%	31.8%	15.5%	29.5%	3.0%	-0.3%	12.1M	-262.7M	-5.6M	0.61	9.42	15,135	9,259	460,094	309,899
2017-03-30	$42.49	$42.00	32.4%	8.3%	30.8%	15.1%	29.2%	2.3%	-0.3%	15.5M	-340.2M	-5.6M	0.49	7.17	17,149	8,411	463,014	311,618
2017-03-31	$42.48	$42.00	31.7%	8.2%	29.4%	12.8%	28.5%	2.7%	-0.9%	5.4M	-339.3M	-5.6M	0.40	8.92	30,012	11,903	467,708	312,305