AAL Options History — September 2017

In September 2017, AAL traded between $43.63 and $47.70. ATM implied volatility averaged 30.1%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 4.7% (HV 20d: 34.8%). Max pain ranged from $44.00 to $45.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.79.

Notable Days

  • 2017-09-06: Highest Volume — 51,609 contracts
  • 2017-09-25: Largest IV spike — 12.6% change
  • 2017-09-27: Highest IV Rank — 61.5%
  • 2017-09-27: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.89$43.63$47.70$45.29$47.50
Max Pain$44.27$44.00$45.50$45.50$45.00
ATM IV30.1%26.8%35.1%28.7%29.6%
Expected Move8.5%7.7%9.3%8.0%7.7%
HV 20d34.8%29.9%40.2%32.5%30.0%
HV 60d28.5%26.5%29.7%26.5%29.3%
IV Rank30.4%9.9%61.5%22.1%27.7%
IV Percentile35.3%3.6%83.7%17.5%34.1%
Term Structure1.1%-0.6%3.6%1.5%-0.6%
VWIV29.9%26.6%33.2%29.0%26.6%
Skew 25d2.4%0.7%3.6%3.4%1.6%
Skew 10d4.9%1.8%7.9%7.2%3.9%
Call IV 25d29.4%25.7%34.7%27.7%28.8%
Put IV 25d31.8%28.1%36.7%31.1%30.4%
Bid-Ask Spread %6.943.8623.755.4623.75
Gamma HHI0.080.070.110.080.09
Net GEX13.7M4.5M23.4M14.0M13.0M
Net DEX-376.6M-581.1M-97.9M-337.8M-564.8M
Net VEX-3.8M-4.0M-3.7M-4.0M-3.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.342.140.600.87
Total Volume33,721.4520,88551,60931,23432,215
Total OI618,851.85578,174648,235621,926648,235

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$45.29$45.5028.7%8.0%32.5%22.1%29.0%3.4%1.5%14.0M-337.8M-4.0M0.605.4619,54511,689356,089265,837
2017-09-05$43.89$44.0030.8%9.1%33.8%34.7%32.1%3.0%-0.0%8.3M-167.6M-3.9M0.885.0920,08417,607344,527263,160
2017-09-06$44.33$44.0031.6%9.3%34.3%39.8%33.2%2.4%0.5%8.8M-210.4M-3.8M0.554.4333,40118,208345,476266,016
2017-09-07$43.80$44.0031.0%9.1%34.2%35.9%32.1%3.6%0.0%6.9M-152.6M-3.8M2.145.2612,48126,709352,335271,553
2017-09-08$43.63$44.0031.3%9.0%34.0%37.9%31.7%3.6%0.6%4.5M-97.9M-3.9M0.884.6213,29411,668354,270290,954
2017-09-11$45.90$44.0030.1%8.6%39.4%30.8%31.0%1.8%0.0%16.8M-391.1M-3.8M0.504.6328,30014,203347,246279,041
2017-09-12$46.26$44.0028.6%8.3%39.3%21.0%29.7%2.4%0.5%19.7M-439.9M-3.9M0.854.4514,67212,517351,853282,365
2017-09-13$46.94$44.0028.0%8.3%39.8%17.7%29.3%2.0%0.8%20.8M-517.1M-3.9M0.555.7427,60515,051352,442286,287
2017-09-14$46.16$44.0027.6%8.2%40.2%15.2%28.8%3.4%1.3%18.9M-426.4M-3.9M1.014.2413,62413,712355,596289,306
2017-09-15$45.99$44.0026.8%7.9%35.8%9.9%28.1%2.7%1.2%13.6M-380.7M-3.9M1.078.0213,61214,606352,433293,230
2017-09-18$45.30$44.0028.2%8.1%36.1%19.0%28.6%2.5%3.5%9.0M-292.3M-3.8M0.594.9113,1547,731316,229261,945
2017-09-19$44.37$44.0029.1%8.4%36.8%24.5%29.2%2.5%3.5%7.6M-211.3M-3.7M0.603.8621,90913,102322,819264,272
2017-09-20$45.44$44.0028.5%8.2%37.9%20.8%28.7%2.3%3.3%12.2M-312.5M-3.7M0.864.5313,23511,323328,339268,312
2017-09-21$46.33$44.0027.6%7.7%36.6%14.9%27.2%1.8%3.6%14.7M-396.9M-3.7M0.764.0120,17515,272328,076270,060
2017-09-22$47.07$44.0029.2%8.0%35.1%24.9%28.4%1.9%3.6%14.0M-484.8M-3.8M0.415.8224,59110,128330,257272,664
2017-09-25$47.70$44.0032.9%8.6%29.9%47.7%30.5%2.4%0.8%15.6M-534.6M-3.8M0.347.4630,61210,502324,111267,422
2017-09-26$47.57$45.0034.3%9.1%29.9%56.5%32.1%0.7%-0.3%17.0M-555.4M-3.9M0.9612.0713,95413,330339,216271,076
2017-09-27$46.87$45.0035.1%9.3%30.3%61.5%32.3%2.1%-0.2%16.3M-477.5M-3.9M0.6016.5623,78614,385344,658278,003
2017-09-28$47.53$45.0032.5%8.4%30.2%45.2%29.4%2.2%-0.6%23.4M-581.1M-3.8M0.813.9017,89014,547357,763283,564
2017-09-29$47.50$45.0029.6%7.7%30.0%27.7%26.6%1.6%-0.6%13.0M-564.8M-3.8M0.8723.7517,19315,022360,343287,892