AAL Options History — May 2017

In May 2017, AAL traded between $42.29 and $48.78. ATM implied volatility averaged 28.7%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 6.2% (HV 20d: 34.9%). Max pain ranged from $41.00 to $46.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.78.

Notable Days

  • 2017-05-09: Highest Volume — 79,869 contracts
  • 2017-05-17: Largest IV spike — 19.8% change
  • 2017-05-17: Highest IV Rank — 18.0%
  • 2017-05-17: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.97$42.29$48.78$42.29$48.37
Max Pain$44.18$41.00$46.00$43.00$46.00
ATM IV28.7%26.4%32.8%28.2%28.9%
Expected Move8.3%7.5%9.4%8.2%8.6%
HV 20d34.9%28.6%39.1%33.7%28.6%
HV 60d31.1%29.6%32.4%29.6%30.9%
IV Rank4.6%0.0%18.0%1.2%8.0%
IV Percentile7.8%0.0%44.0%0.4%8.7%
Term Structure0.4%-0.5%1.0%0.8%-0.4%
VWIV29.4%27.2%33.1%29.2%30.0%
Skew 25d2.5%1.8%4.4%2.9%2.2%
Skew 10d4.9%3.4%8.6%4.4%5.6%
Call IV 25d28.0%25.8%31.3%27.5%28.2%
Put IV 25d30.5%28.0%35.6%30.4%30.4%
Bid-Ask Spread %4.851.8715.424.713.41
Gamma HHI0.090.080.150.090.09
Net GEX25.1M10.4M36.1M10.4M26.2M
Net DEX-603.3M-910.1M-189.7M-189.7M-774.2M
Net VEX-5.1M-5.3M-4.9M-4.9M-5.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.271.501.080.78
Total Volume40,677.09125,64879,86928,57525,648
Total OI706,015.364616,446759,523710,755641,217

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$42.29$43.0028.2%8.2%33.7%1.2%29.2%2.9%0.8%10.4M-189.7M-4.9M1.084.7113,73614,839427,280283,475
2017-05-02$43.73$43.0028.0%8.3%35.7%0.5%29.2%1.8%1.0%18.7M-379.8M-5.2M0.2715.4246,73212,811429,736288,132
2017-05-03$44.01$43.0028.0%8.1%33.0%0.6%29.1%3.0%0.7%24.3M-451.7M-5.2M0.694.4416,19011,225456,621291,998
2017-05-04$43.93$41.0028.2%8.3%32.9%1.0%30.4%2.1%0.6%23.6M-441.2M-5.2M0.986.5619,01518,720451,569293,313
2017-05-05$44.40$43.0027.7%8.3%33.0%0.0%29.8%2.3%0.9%28.0M-513.9M-5.3M0.712.4822,25415,777459,008300,515
2017-05-08$44.82$43.0027.4%8.0%33.1%0.0%28.4%2.0%0.2%29.3M-554.8M-5.2M0.822.2514,48011,818448,684289,654
2017-05-09$47.03$43.0027.5%8.1%36.6%0.4%28.8%2.0%0.8%36.1M-909.4M-5.2M0.476.4454,23925,630450,881292,261
2017-05-10$47.17$43.0027.9%8.1%34.9%1.8%28.7%1.9%0.3%35.9M-910.1M-5.2M0.424.7129,40612,343456,158298,515
2017-05-11$46.69$43.0028.8%8.4%35.3%4.9%31.2%2.0%0.8%34.0M-816.5M-5.3M0.742.8235,99926,645455,102300,326
2017-05-12$45.83$45.0029.7%8.6%35.8%7.8%31.0%2.3%0.5%23.5M-542.0M-5.2M0.941.9717,90016,833427,675308,895
2017-05-15$46.72$45.0028.9%8.3%36.2%5.0%27.2%2.6%0.8%29.9M-674.2M-5.2M0.821.8718,86815,559421,393301,423
2017-05-16$46.89$45.0027.4%7.9%36.1%0.1%28.1%2.3%0.9%32.8M-705.8M-5.2M0.863.3714,43812,358426,224302,970
2017-05-17$45.06$45.0032.8%9.4%39.1%18.0%33.1%4.4%-0.3%18.2M-430.6M-5.2M0.774.9022,64717,487430,077305,306
2017-05-18$44.82$45.0032.7%9.4%38.3%17.6%32.6%3.7%0.6%19.0M-386.4M-5.1M1.505.3021,17931,722432,788307,921
2017-05-19$45.21$45.0031.2%8.9%38.5%12.6%30.3%3.0%0.7%21.9M-451.4M-5.1M0.682.7630,32520,470435,821320,653
2017-05-22$46.13$45.0029.7%8.2%38.3%7.7%28.6%2.8%-0.0%16.2M-528.9M-5.0M0.535.0321,39311,395361,747254,699
2017-05-23$46.54$45.0028.4%7.9%38.3%3.5%27.9%2.4%0.3%21.2M-589.2M-5.1M0.593.0017,56310,431368,626258,126
2017-05-24$46.74$45.0028.4%7.9%38.3%3.4%28.2%2.4%0.1%24.4M-617.4M-5.1M0.898.1717,35815,491373,311261,455
2017-05-25$48.00$45.0026.6%7.6%32.6%0.0%27.3%2.1%0.2%28.4M-778.3M-5.1M0.864.2822,53119,416376,929267,062
2017-05-26$48.78$45.0026.4%7.5%30.2%0.0%27.7%2.2%0.2%27.2M-878.6M-5.0M1.206.8524,81629,713379,889272,172
2017-05-30$48.27$46.0028.7%8.6%30.3%7.4%30.2%2.2%-0.5%23.6M-748.7M-5.0M0.565.9823,99813,498369,457253,274
2017-05-31$48.37$46.0028.9%8.6%28.6%8.0%30.0%2.2%-0.4%26.2M-774.2M-5.1M0.783.4114,44711,201384,026257,191