AAL Options History — August 2017

In August 2017, AAL traded between $42.84 and $50.90. ATM implied volatility averaged 28.0%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 4.1% (HV 20d: 23.9%). Max pain ranged from $45.50 to $50.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 0.59.

Notable Days

2017-08-24: Highest Volume — 94,632 contracts
2017-08-17: Largest IV spike — 20.5% change
2017-08-24: Highest IV Rank — 33.2%
2017-08-24: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.34	$42.84	$50.90	$50.90	$44.76
Max Pain	$48.09	$45.50	$50.00	$46.00	$45.50
ATM IV	28.0%	25.2%	30.5%	27.3%	29.9%
Expected Move	8.0%	7.2%	8.7%	7.6%	8.3%
HV 20d	23.9%	16.2%	32.2%	26.1%	32.2%
HV 60d	24.1%	21.6%	26.8%	25.4%	26.4%
IV Rank	14.7%	0.0%	33.2%	7.6%	29.3%
IV Percentile	12.9%	0.0%	36.1%	1.2%	32.5%
Term Structure	0.3%	-1.4%	1.9%	0.2%	-1.4%
VWIV	28.0%	24.7%	30.3%	27.5%	28.9%
Skew 25d	3.1%	2.2%	4.3%	2.5%	3.2%
Skew 10d	6.1%	3.0%	12.8%	3.8%	4.7%
Call IV 25d	27.0%	24.1%	29.0%	27.1%	28.3%
Put IV 25d	30.1%	26.6%	33.4%	29.6%	31.5%
Bid-Ask Spread %	8.47	1.97	31.87	3.80	5.49
Gamma HHI	0.12	0.07	0.22	0.16	0.07
Net GEX	15.0M	4.5M	35.5M	33.6M	10.7M
Net DEX	-439.5M	-845.7M	-66.8M	-845.7M	-256.6M
Net VEX	-4.0M	-4.4M	-3.7M	-4.4M	-4.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.21	0.93	0.53	0.26
Total Volume	37,372.087	18,435	94,632	40,859	41,643
Total OI	628,900.217	559,687	684,948	684,948	608,040

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
2017-08-01	$50.90	$46.00	27.3%	7.6%	26.1%	7.6%	27.5%	2.5%	0.2%	33.6M	-845.7M	-4.4M	0.53	3.80	26,637	14,222	401,724	283,224
2017-08-02	$50.47	$46.00	26.9%	7.5%	25.5%	5.2%	27.0%	2.2%	-0.1%	33.0M	-772.6M	-4.4M	0.93	9.64	19,905	18,480	397,709	284,663
2017-08-03	$50.55	$50.00	26.6%	7.9%	25.0%	2.6%	27.5%	3.0%	-0.2%	35.5M	-786.5M	-4.3M	0.48	7.93	20,502	9,870	397,722	286,959
2017-08-04	$50.85	$50.00	26.2%	8.0%	23.6%	0.0%	27.4%	2.9%	1.0%	25.4M	-830.9M	-4.3M	0.50	25.30	25,000	12,473	396,244	286,035
2017-08-07	$50.60	$50.00	26.9%	8.0%	23.5%	4.7%	27.6%	2.6%	0.5%	21.7M	-775.2M	-4.2M	0.78	29.54	12,938	10,100	366,329	272,520
2017-08-08	$49.99	$50.00	26.7%	7.9%	22.9%	3.9%	27.6%	2.4%	1.0%	19.8M	-700.0M	-4.2M	0.66	31.87	13,778	9,101	369,276	274,471
2017-08-09	$49.33	$50.00	26.8%	7.6%	16.5%	4.2%	27.7%	2.4%	1.9%	16.5M	-610.5M	-4.1M	0.40	30.36	29,713	12,006	374,168	278,227
2017-08-10	$48.56	$50.00	28.8%	8.3%	16.8%	17.3%	28.7%	3.5%	0.5%	12.8M	-465.5M	-4.2M	0.56	3.30	24,964	14,028	362,564	281,065
2017-08-11	$48.36	$50.00	28.9%	8.3%	16.2%	18.0%	28.4%	3.0%	0.2%	12.8M	-440.3M	-4.2M	0.62	3.27	19,147	11,877	367,646	284,299
2017-08-14	$48.85	$49.00	26.5%	7.7%	17.2%	2.4%	26.8%	2.9%	0.0%	15.6M	-516.2M	-4.0M	0.81	2.16	10,169	8,266	358,011	279,364
2017-08-15	$48.57	$49.00	26.2%	7.5%	16.9%	0.6%	26.0%	2.6%	0.7%	13.4M	-477.7M	-4.0M	0.66	2.04	13,231	8,686	358,969	281,632
2017-08-16	$48.39	$49.00	25.2%	7.2%	16.7%	0.0%	24.7%	2.5%	0.3%	11.1M	-451.6M	-3.9M	0.53	1.97	16,808	8,927	361,028	282,471
2017-08-17	$45.97	$49.00	30.3%	8.7%	23.6%	32.1%	29.4%	4.3%	0.0%	5.3M	-216.5M	-3.9M	0.46	3.28	49,384	22,615	361,233	283,971
2017-08-18	$45.69	$48.00	28.0%	8.0%	23.6%	17.3%	27.4%	3.9%	0.2%	7.0M	-184.0M	-3.9M	0.76	3.18	24,267	18,498	382,142	292,236
2017-08-21	$45.66	$48.00	28.1%	8.1%	23.6%	18.2%	27.9%	3.6%	0.6%	10.2M	-277.5M	-3.9M	0.31	3.15	24,338	7,585	318,169	241,518
2017-08-22	$45.42	$48.00	27.4%	7.8%	23.4%	13.6%	27.1%	3.6%	0.3%	9.8M	-261.4M	-3.9M	0.93	2.56	9,733	9,088	321,256	242,556
2017-08-23	$44.03	$48.00	29.8%	8.5%	24.4%	28.4%	29.7%	3.6%	-0.3%	6.2M	-158.7M	-3.7M	0.69	2.59	28,302	19,621	323,745	244,169
2017-08-24	$42.84	$47.00	30.5%	8.7%	24.3%	33.2%	30.3%	3.9%	0.6%	4.5M	-66.8M	-3.7M	0.21	3.87	77,984	16,648	330,298	251,773
2017-08-25	$45.25	$46.50	28.2%	8.2%	32.2%	18.9%	28.8%	2.5%	0.5%	11.2M	-304.7M	-4.1M	0.63	5.68	38,384	24,218	340,703	257,284
2017-08-28	$45.01	$46.00	29.6%	8.4%	31.7%	27.7%	29.5%	3.0%	-0.0%	10.7M	-274.6M	-4.0M	0.47	3.12	17,855	8,475	331,426	254,598
2017-08-29	$44.66	$45.50	29.3%	8.2%	31.6%	25.4%	28.5%	3.3%	0.4%	9.4M	-235.7M	-3.9M	0.71	3.95	15,472	11,018	334,333	257,313
2017-08-30	$44.21	$45.50	29.5%	8.7%	31.6%	27.1%	30.2%	4.3%	-0.0%	7.9M	-200.3M	-3.9M	0.59	6.63	14,808	8,794	339,301	262,321
2017-08-31	$44.76	$45.50	29.9%	8.3%	32.2%	29.3%	28.9%	3.2%	-1.4%	10.7M	-256.6M	-4.0M	0.26	5.49	32,936	8,707	344,191	263,849