AAL Options History — April 2017

In April 2017, AAL traded between $40.83 and $46.70. ATM implied volatility averaged 33.5%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 6.2% (HV 20d: 27.2%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.72.

Notable Days

  • 2017-04-27: Highest Volume — 81,732 contracts
  • 2017-04-25: Largest IV drop — 6.8% change
  • 2017-04-17: Highest IV Rank — 31.3%
  • 2017-04-17: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.71$40.83$46.70$42.28$42.70
Max Pain$42.16$42.00$43.00$42.00$43.00
ATM IV33.5%28.8%37.2%32.9%28.8%
Expected Move9.4%8.0%10.6%8.4%8.0%
HV 20d27.2%23.4%33.6%27.9%33.6%
HV 60d29.9%26.4%30.8%29.8%29.6%
IV Rank18.8%3.3%31.3%16.9%3.3%
IV Percentile44.7%2.4%75.0%41.7%2.4%
Term Structure-0.0%-1.5%1.9%1.2%-0.6%
VWIV33.2%27.7%36.3%29.4%27.7%
Skew 25d3.0%1.2%4.5%3.7%2.3%
Skew 10d5.4%3.0%10.2%5.9%5.2%
Call IV 25d32.1%27.7%35.2%31.4%27.7%
Put IV 25d35.1%30.0%38.9%35.1%30.0%
Bid-Ask Spread %9.972.1648.7611.039.08
Gamma HHI0.110.080.170.090.09
Net GEX22.0M6.3M33.3M13.8M12.9M
Net DEX-479.1M-814.4M-125.1M-300.0M-223.3M
Net VEX-5.4M-5.6M-5.0M-5.5M-5.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.351.140.410.52
Total Volume40,481.21115,67981,73238,23452,601
Total OI753,171.211685,856786,513744,012746,005

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-04-03$42.28$42.0032.9%8.4%27.9%16.9%29.4%3.7%1.2%13.8M-300.0M-5.5M0.4111.0327,16711,067437,892306,120
2017-04-04$40.83$42.0033.6%8.8%30.0%19.1%30.6%3.1%1.9%6.3M-125.1M-5.3M0.4510.1025,77711,658445,626307,976
2017-04-05$41.37$42.0034.3%8.7%30.6%21.7%30.8%2.5%1.1%9.7M-194.6M-5.4M0.6021.5033,35320,108450,581310,465
2017-04-06$41.63$42.0034.6%10.0%28.9%22.8%36.3%2.7%0.9%10.2M-221.6M-5.5M0.644.2322,52114,515450,683318,498
2017-04-07$41.84$42.0033.0%9.7%28.8%17.4%33.3%2.8%1.5%14.3M-254.4M-5.4M0.753.1020,43415,291452,185319,018
2017-04-10$42.38$42.0034.0%9.9%27.0%20.5%33.3%3.7%0.2%15.9M-326.3M-5.4M0.773.2022,17417,170448,844317,733
2017-04-11$43.85$42.0034.9%9.9%27.2%23.8%35.6%3.0%-0.3%25.5M-553.4M-5.6M0.712.5830,16421,481455,773318,410
2017-04-12$43.98$42.0035.4%10.1%26.7%25.3%35.6%4.5%0.7%27.2M-580.2M-5.6M0.605.7927,84716,764461,996319,938
2017-04-13$43.48$42.0035.7%10.3%27.1%26.4%34.9%4.3%0.6%29.5M-492.0M-5.5M1.0010.8115,47315,413465,380321,133
2017-04-17$43.46$42.0037.2%10.6%26.7%31.3%35.6%3.6%-1.4%22.8M-464.3M-5.4M1.1415.337,6158,684452,735315,862
2017-04-18$43.93$42.0035.7%10.2%26.9%26.4%35.6%3.5%-1.3%26.8M-536.9M-5.4M1.142.587,3208,359455,739316,211
2017-04-19$44.37$42.0035.7%10.2%23.8%26.3%36.0%3.3%-1.5%29.5M-603.0M-5.4M0.922.4611,22610,282456,427316,958
2017-04-20$45.34$42.0033.6%9.6%24.4%19.1%34.6%2.5%-1.0%32.9M-752.9M-5.4M0.662.1619,89513,165457,795318,494
2017-04-21$45.30$42.0033.7%9.7%23.4%19.4%34.3%2.9%-0.8%33.3M-731.8M-5.4M0.835.8821,31917,645452,682320,099
2017-04-24$46.36$42.0031.8%8.8%24.3%13.1%32.3%2.8%-0.5%28.7M-763.6M-5.2M0.8914.2118,58516,520419,445266,411
2017-04-25$46.70$42.0029.6%8.7%24.3%5.8%31.7%1.7%-0.4%29.6M-814.4M-5.2M0.575.5426,38414,987422,257269,076
2017-04-26$46.62$43.0030.1%9.1%23.8%7.6%32.9%2.3%-0.7%28.3M-774.6M-5.2M0.3511.1047,85416,593419,764274,001
2017-04-27$43.98$43.0030.9%8.6%31.9%10.1%30.4%1.2%0.0%21.2M-389.5M-5.1M0.7448.7646,97834,754443,415278,626
2017-04-28$42.70$43.0028.8%8.0%33.6%3.3%27.7%2.3%-0.6%12.9M-223.3M-5.0M0.529.0834,56118,040458,190287,815