AAL Options History — June 2017

In June 2017, AAL traded between $48.12 and $51.37. ATM implied volatility averaged 28.9%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 5.1% (HV 20d: 23.8%). Max pain ranged from $46.00 to $48.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.70.

Notable Days

2017-06-12: Highest Volume — 55,966 contracts
2017-06-20: Largest IV spike — 10.7% change
2017-06-29: Highest IV Rank — 27.6%
2017-06-08: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.43	$48.12	$51.37	$49.09	$50.47
Max Pain	$47.86	$46.00	$48.50	$46.00	$48.50
ATM IV	28.9%	26.2%	31.8%	28.3%	29.6%
Expected Move	8.3%	7.5%	8.6%	8.2%	8.0%
HV 20d	23.8%	20.1%	28.8%	28.8%	21.3%
HV 60d	29.1%	27.6%	31.0%	31.0%	27.7%
IV Rank	9.5%	0.0%	27.6%	6.1%	18.2%
IV Percentile	12.6%	0.0%	36.5%	4.8%	19.0%
Term Structure	0.5%	-1.0%	2.3%	-0.5%	-0.3%
VWIV	29.4%	26.3%	30.7%	28.9%	28.8%
Skew 25d	2.6%	-2.8%	3.7%	2.1%	3.0%
Skew 10d	6.2%	4.3%	8.6%	4.3%	8.0%
Call IV 25d	28.4%	25.2%	34.6%	28.0%	28.8%
Put IV 25d	31.0%	28.1%	33.8%	30.0%	31.8%
Bid-Ask Spread %	3.96	2.74	7.36	3.54	3.63
Gamma HHI	0.12	0.09	0.19	0.10	0.14
Net GEX	24.5M	12.8M	32.7M	28.3M	12.8M
Net DEX	-827.1M	-1.15B	-582.5M	-881.5M	-887.1M
Net VEX	-4.9M	-5.1M	-4.7M	-5.1M	-4.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.41	1.01	0.66	0.94
Total Volume	33,356.182	18,709	55,966	37,614	40,486
Total OI	647,756.773	595,334	687,712	646,075	643,233

Daily Data (22 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
2017-06-01	$49.09	$46.00	28.3%	8.2%	28.8%	6.1%	28.9%	2.1%	-0.5%	28.3M	-881.5M	-5.1M	0.66	3.54	22,637	14,977	387,047	259,028
2017-06-02	$49.50	$46.00	27.8%	8.1%	28.7%	4.3%	29.2%	2.4%	-0.1%	29.5M	-952.2M	-5.1M	0.62	6.15	29,978	18,725	393,408	265,070
2017-06-05	$49.79	$47.00	28.0%	8.4%	28.6%	5.0%	29.7%	2.3%	1.0%	26.6M	-938.0M	-5.0M	1.01	3.18	13,229	13,426	385,482	261,428
2017-06-06	$49.70	$47.00	27.8%	8.3%	28.7%	4.5%	29.1%	2.3%	0.9%	27.6M	-927.9M	-4.9M	0.76	2.74	13,750	10,490	387,967	265,528
2017-06-07	$50.90	$47.00	27.9%	8.5%	25.0%	4.8%	30.1%	2.1%	0.6%	28.1M	-1.08B	-4.9M	0.86	2.94	24,768	21,365	390,747	267,510
2017-06-08	$51.37	$48.00	27.5%	8.6%	25.0%	3.4%	30.2%	2.1%	0.8%	28.3M	-1.15B	-4.9M	0.50	3.75	29,203	14,677	396,963	272,530
2017-06-09	$50.39	$48.00	28.1%	8.4%	25.9%	5.5%	30.3%	2.9%	0.3%	26.7M	-1.01B	-5.0M	0.54	7.36	28,433	15,302	400,439	276,073
2017-06-12	$49.50	$48.00	28.8%	8.5%	25.8%	7.8%	30.2%	3.0%	0.8%	27.7M	-891.9M	-5.0M	0.60	6.96	35,020	20,946	394,592	266,538
2017-06-13	$49.56	$48.00	28.8%	8.2%	25.2%	7.8%	30.7%	-2.8%	-0.3%	28.1M	-884.2M	-5.0M	0.41	5.44	26,893	10,968	398,619	273,386
2017-06-14	$49.31	$48.00	28.6%	8.5%	25.3%	7.1%	30.0%	3.2%	1.2%	28.2M	-860.4M	-5.0M	0.70	3.70	12,007	8,431	406,762	276,604
2017-06-15	$49.09	$48.00	29.3%	8.5%	20.1%	9.3%	29.8%	3.2%	0.8%	30.6M	-815.0M	-5.0M	0.82	3.91	15,165	12,428	407,440	279,003
2017-06-16	$48.71	$48.00	28.2%	8.1%	20.2%	5.9%	28.7%	3.7%	0.1%	32.7M	-752.4M	-4.9M	0.73	3.83	14,318	10,384	407,020	280,692
2017-06-19	$49.58	$48.00	26.2%	7.5%	20.8%	0.0%	26.3%	2.9%	2.3%	20.3M	-734.6M	-4.7M	0.77	3.53	14,904	11,519	348,602	246,732
2017-06-20	$48.12	$48.00	29.0%	8.3%	23.2%	8.9%	28.7%	3.2%	1.6%	17.0M	-582.5M	-4.7M	0.45	3.02	26,169	11,904	352,547	248,811
2017-06-21	$48.54	$48.50	28.8%	8.3%	23.2%	8.4%	28.8%	3.1%	1.8%	20.8M	-651.2M	-4.8M	0.76	3.01	10,659	8,050	366,513	253,392
2017-06-22	$48.91	$48.50	29.5%	8.4%	23.3%	10.7%	29.7%	2.7%	1.2%	21.8M	-698.0M	-4.8M	0.54	3.02	30,400	16,345	367,898	255,522
2017-06-23	$48.60	$48.50	29.7%	8.3%	21.6%	11.2%	29.6%	3.2%	1.6%	21.6M	-661.1M	-4.9M	0.73	3.44	16,533	12,017	377,202	261,844
2017-06-26	$48.80	$48.50	29.5%	8.1%	20.9%	10.6%	28.7%	3.0%	-0.2%	19.1M	-673.3M	-4.8M	0.65	2.99	16,458	10,775	365,914	257,563
2017-06-27	$48.70	$48.50	31.2%	8.5%	20.5%	16.0%	29.8%	3.5%	-0.4%	19.5M	-661.6M	-4.8M	0.75	3.07	11,702	8,759	370,610	259,283
2017-06-28	$49.35	$48.50	31.8%	8.2%	21.0%	25.6%	29.3%	3.0%	-0.4%	21.8M	-744.5M	-4.9M	0.96	3.32	12,974	12,401	374,601	260,535
2017-06-29	$49.54	$48.50	31.4%	8.4%	20.4%	27.6%	29.5%	3.1%	-1.0%	22.6M	-757.9M	-4.9M	0.71	4.57	14,194	10,067	375,774	264,197
2017-06-30	$50.47	$48.50	29.6%	8.0%	21.3%	18.2%	28.8%	3.0%	-0.3%	12.8M	-887.1M	-4.8M	0.94	3.63	20,821	19,665	377,227	266,006