AAL Options History — October 2017

In October 2017, AAL traded between $46.82 and $53.04. ATM implied volatility averaged 32.3%, placing in the 45.3% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 0.5% (HV 20d: 31.8%). Max pain ranged from $45.00 to $47.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.06.

Notable Days

  • 2017-10-03: Highest Volume — 63,159 contracts
  • 2017-10-16: Largest IV spike — 7.8% change
  • 2017-10-19: Highest IV Rank — 59.8%
  • 2017-10-19: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.74$46.82$53.04$47.70$46.82
Max Pain$45.91$45.00$47.00$45.00$47.00
ATM IV32.3%30.1%34.4%32.3%31.6%
Expected Move9.3%8.3%10.0%8.4%9.4%
HV 20d31.8%29.0%36.9%29.9%30.0%
HV 60d31.3%29.0%33.2%29.0%33.2%
IV Rank45.3%30.6%59.8%44.4%41.3%
IV Percentile64.9%38.1%86.9%63.1%59.1%
Term Structure-0.7%-3.2%1.0%-0.7%0.5%
VWIV33.0%29.3%35.5%29.3%32.1%
Skew 25d2.9%1.7%6.4%2.3%3.7%
Skew 10d6.1%0.3%19.0%0.7%7.3%
Call IV 25d31.4%29.5%33.0%31.7%30.4%
Put IV 25d34.3%31.5%36.7%34.0%34.2%
Bid-Ask Spread %9.102.9124.6512.405.41
Gamma HHI0.110.090.130.090.10
Net GEX18.3M10.7M22.6M17.3M10.7M
Net DEX-781.4M-1.06B-297.6M-547.9M-297.6M
Net VEX-3.6M-3.7M-3.5M-3.7M-3.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.431.791.190.83
Total Volume38,367.81824,00163,15928,01826,810
Total OI653,374.091618,323686,172618,323674,797

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$47.70$45.0032.3%8.4%29.9%44.4%29.3%2.3%-0.7%17.3M-547.9M-3.7M1.1912.4012,78915,229340,532277,791
2017-10-03$50.53$45.0033.3%8.4%33.0%50.3%30.2%1.9%-0.3%19.5M-844.0M-3.7M0.548.4941,03322,126343,689281,310
2017-10-04$50.73$46.0033.1%8.3%33.0%49.5%29.6%1.8%-0.3%21.0M-871.5M-3.7M0.6510.2828,14218,257349,882286,059
2017-10-05$50.56$45.0032.4%9.2%32.5%44.8%33.6%2.1%-0.1%20.9M-841.4M-3.7M0.953.2113,75113,082356,439289,763
2017-10-06$51.30$45.0032.2%9.3%32.3%43.5%33.3%2.1%-0.7%20.2M-921.4M-3.6M0.993.9216,91716,798356,889290,338
2017-10-09$50.59$45.0033.1%9.5%29.0%49.1%34.0%2.9%0.4%19.7M-803.8M-3.7M1.523.3610,08515,353348,627285,538
2017-10-10$53.04$45.0032.5%9.1%32.6%45.7%34.0%2.1%-0.8%20.8M-1.06B-3.5M0.435.2041,48617,792350,352290,456
2017-10-11$52.82$45.0030.1%8.6%32.7%30.6%31.8%1.7%0.4%22.1M-1.04B-3.5M0.754.9629,48822,160355,802294,871
2017-10-12$52.63$46.0030.9%8.7%31.8%35.3%31.7%2.1%-0.6%22.6M-1.02B-3.6M1.486.9614,32421,220365,016303,926
2017-10-13$52.67$46.0031.0%8.6%31.7%37.3%31.1%1.7%-1.4%21.6M-1.02B-3.5M1.585.3213,06720,630366,182308,172
2017-10-16$52.29$46.0033.4%9.7%31.1%52.8%33.8%2.9%-3.1%20.7M-941.8M-3.6M0.782.9121,37716,626358,360298,855
2017-10-17$52.06$46.0034.0%9.8%29.7%56.8%33.5%2.9%-2.4%19.5M-909.1M-3.6M1.516.5612,06118,191359,290302,507
2017-10-18$52.01$46.0033.9%9.7%29.2%56.5%34.0%3.2%-2.4%19.6M-910.4M-3.7M1.033.8714,28514,701363,913307,549
2017-10-19$51.42$46.0034.4%10.0%29.5%59.8%35.3%3.6%-2.0%18.9M-854.6M-3.6M1.125.7623,81426,661366,031309,015
2017-10-20$51.91$46.0033.3%9.9%29.3%52.7%35.0%3.5%-3.2%17.0M-911.8M-3.6M1.3913.6612,42617,210370,111316,061
2017-10-23$50.96$46.0032.2%9.7%30.2%45.4%35.3%2.9%-0.2%18.1M-723.2M-3.5M1.796.888,59715,404341,052290,783
2017-10-24$51.93$46.0031.6%9.4%30.6%41.3%35.5%2.2%-0.1%19.2M-816.4M-3.5M1.105.2312,15913,397341,842295,545
2017-10-25$50.98$47.0031.4%9.7%30.9%40.1%34.7%6.4%0.1%18.3M-713.3M-3.6M1.1218.5816,57218,556347,015298,303
2017-10-26$48.47$47.0031.3%9.5%36.2%39.6%32.8%4.2%1.0%12.3M-455.1M-3.5M0.5617.9040,46522,664349,809303,723
2017-10-27$47.56$47.0030.8%9.2%36.9%36.5%31.9%3.8%0.8%11.9M-354.5M-3.6M1.1324.6528,52032,144357,115311,648
2017-10-30$47.27$47.0031.7%9.5%36.9%42.1%32.9%3.0%-0.2%11.3M-339.0M-3.7M0.7924.6015,44712,276356,153313,119
2017-10-31$46.82$47.0031.6%9.4%30.0%41.3%32.1%3.7%0.5%10.7M-297.6M-3.6M0.835.4114,62412,186360,280314,517