AAL Options History — July 2017

In July 2017, AAL traded between $49.66 and $54.24. ATM implied volatility averaged 30.2%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 6.5% (HV 20d: 23.7%). Max pain ranged from $45.00 to $49.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.73.

Notable Days

  • 2017-07-27: Highest Volume — 89,005 contracts
  • 2017-07-28: Largest IV drop — 14.6% change
  • 2017-07-27: Highest IV Rank — 43.6%
  • 2017-07-27: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.04$49.66$54.24$50.39$50.79
Max Pain$45.45$45.00$49.00$49.00$46.00
ATM IV30.2%27.7%32.8%30.3%27.7%
Expected Move8.6%7.5%10.0%8.2%7.9%
HV 20d23.7%20.8%26.7%21.2%26.1%
HV 60d27.5%25.3%28.9%27.8%25.4%
IV Rank25.1%10.3%43.6%22.0%10.3%
IV Percentile25.8%3.2%57.9%23.0%3.2%
Term Structure-0.3%-2.3%1.7%1.4%-0.3%
VWIV31.2%27.6%34.4%29.2%28.5%
Skew 25d3.0%1.9%4.9%3.6%2.7%
Skew 10d7.7%3.8%12.8%6.7%6.1%
Call IV 25d29.6%27.1%32.9%29.5%27.1%
Put IV 25d32.6%29.9%35.7%33.1%29.9%
Bid-Ask Spread %10.131.8053.8023.023.32
Gamma HHI0.130.100.160.140.15
Net GEX25.4M20.6M31.4M24.0M31.4M
Net DEX-990.9M-1.28B-655.4M-857.8M-825.4M
Net VEX-1533.01B-30660.14B-4.3M-4.8M-4.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.331.520.690.71
Total Volume38,433.4522,70389,00522,70331,630
Total OI662,808.5628,910701,150628,910678,257

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-07-03$50.39$49.0030.3%8.2%21.2%22.0%29.2%3.6%1.4%24.0M-857.8M-4.8M0.6923.0213,4569,247368,783260,127
2017-07-05$51.27$49.0029.1%7.5%22.0%15.6%27.6%3.2%0.3%27.3M-966.2M-4.6M0.4710.5824,45911,415370,486261,726
2017-07-06$51.94$45.0031.4%9.1%20.8%27.9%31.4%4.9%-2.3%27.7M-1.05B-4.6M0.514.8929,38115,029376,735264,304
2017-07-07$53.09$45.0032.7%8.8%21.9%36.4%33.5%1.9%0.1%24.3M-1.16B-4.7M0.528.4130,15015,799381,261269,746
2017-07-10$52.62$45.0030.6%8.4%20.9%27.2%31.3%2.9%-1.1%25.7M-1.08B-4.6M1.523.5110,08715,355374,597266,293
2017-07-11$51.59$45.0031.4%9.0%21.2%32.1%32.5%3.5%0.1%23.8M-959.9M-4.7M0.993.2514,63214,425377,145273,878
2017-07-12$53.80$45.0030.9%8.6%25.5%28.7%32.1%3.1%-0.3%27.1M-1.21B-4.6M0.694.1718,67012,931384,698279,522
2017-07-13$53.90$45.0030.3%8.5%25.2%27.3%30.9%3.0%-0.9%28.1M-1.24B-4.5M1.232.4614,52717,889387,227285,339
2017-07-14$54.24$45.0029.2%8.3%25.0%20.2%31.7%3.2%-0.4%26.0M-1.28B-4.5M1.103.2414,97016,454387,441293,583
2017-07-17$53.96$45.0029.5%8.4%24.9%22.5%32.2%2.6%0.3%25.4M-1.19B-4.5M1.111.8011,43612,642376,874280,766
2017-07-18$53.24$45.0029.8%8.5%25.2%24.4%31.5%2.3%0.1%26.0M-1.12B-4.5M0.742.0123,78917,589382,543284,245
2017-07-19$52.65$45.0029.4%8.4%22.7%21.5%32.1%2.1%-0.3%26.0M-1.07B-4.5M0.666.3125,86817,148396,079292,154
2017-07-20$52.44$45.0030.6%8.8%22.8%29.2%31.0%2.8%-1.5%25.8M-1.04B-4.6M0.397.6030,01711,647405,277295,873
2017-07-21$51.90$45.0029.5%8.6%23.3%22.4%30.0%2.9%-1.4%26.1M-964.2M-4.3M0.512.3023,49612,035397,827297,458
2017-07-24$51.33$45.0029.0%8.5%23.6%18.7%30.0%3.2%0.7%20.6M-835.8M-4.5M0.692.4618,46912,703367,560272,591
2017-07-25$50.60$45.0030.6%8.8%24.4%29.6%31.3%3.0%-1.3%21.6M-765.5M-4.4M0.3629.4032,55811,880376,451275,354
2017-07-26$51.08$45.0030.9%9.2%24.5%31.5%33.3%2.8%1.7%23.7M-815.2M-4.4M0.5717.8119,76411,254378,103276,806
2017-07-27$49.66$45.0032.8%10.0%26.4%43.6%34.4%3.6%-1.1%20.9M-655.4M-4.5M0.3353.8066,83922,166382,268278,386
2017-07-28$50.29$45.0028.0%8.0%26.7%11.9%28.6%2.2%-0.9%27.3M-723.7M-30660.14B0.7512.2932,51324,350408,721289,686
2017-07-31$50.79$46.0027.7%7.9%26.1%10.3%28.5%2.7%-0.3%31.4M-825.4M-4.4M0.713.3218,50413,126397,732280,525