AAL Options History — November 2017

In November 2017, AAL traded between $45.73 and $50.48. ATM implied volatility averaged 29.2%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 3.6% (HV 20d: 25.6%). Max pain ranged from $47.00 to $49.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2017-11-21: Highest Volume — 37,863 contracts
  • 2017-11-27: Largest IV spike — 7.8% change
  • 2017-11-01: Highest IV Rank — 39.9%
  • 2017-11-02: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.58$45.73$50.48$47.83$50.48
Max Pain$47.43$47.00$49.00$47.00$47.00
ATM IV29.2%25.7%31.4%31.4%30.0%
Expected Move8.4%7.5%9.1%9.0%8.5%
HV 20d25.6%19.3%31.3%31.2%19.8%
HV 60d31.3%28.5%33.5%33.4%28.8%
IV Rank25.9%3.3%39.9%39.9%31.4%
IV Percentile29.5%0.4%57.1%57.1%43.3%
Term Structure0.1%-1.8%1.3%0.1%-1.8%
VWIV29.6%26.7%31.9%31.9%29.5%
Skew 25d3.4%1.9%7.1%3.4%3.3%
Skew 10d7.3%4.1%12.2%11.8%4.5%
Call IV 25d28.0%20.3%30.7%30.2%29.8%
Put IV 25d31.4%27.4%34.7%33.6%33.1%
Bid-Ask Spread %8.873.8925.788.6515.34
Gamma HHI0.140.090.220.110.21
Net GEX15.5M5.4M31.0M14.3M27.3M
Net DEX-406.0M-793.3M-155.3M-411.1M-793.3M
Net VEX-3.4M-3.6M-3.2M-3.6M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.281.690.750.28
Total Volume28,082.38116,24237,86324,16937,291
Total OI670,572.095619,747706,951679,231651,327

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$47.83$47.0031.4%9.0%31.2%39.9%31.9%3.4%0.1%14.3M-411.1M-3.6M0.758.6513,79510,374363,435315,796
2017-11-02$47.42$49.0031.1%9.1%31.3%38.5%31.9%2.4%-0.4%13.3M-361.3M-3.6M0.795.5511,3058,880365,756319,480
2017-11-03$47.41$48.0029.8%8.8%30.6%29.9%31.6%3.9%0.3%20.1M-357.2M-3.6M1.216.7513,58916,458368,715320,182
2017-11-06$47.48$48.0028.9%8.5%30.4%24.2%30.2%3.3%1.3%13.2M-370.4M-3.4M0.659.1116,61710,869360,805320,841
2017-11-07$46.42$48.0030.1%8.8%24.6%32.0%30.7%4.9%0.5%8.9M-240.8M-3.5M1.694.5110,03716,942362,280323,174
2017-11-08$46.33$48.0030.0%8.7%24.6%31.4%30.0%3.4%0.2%7.6M-215.4M-3.5M1.194.6310,07111,984364,078328,424
2017-11-09$45.76$48.0030.5%8.8%24.7%34.4%31.3%2.3%0.6%5.4M-155.3M-3.4M0.765.5117,16813,005365,229329,850
2017-11-10$45.84$48.0030.8%8.9%24.7%36.5%31.0%4.1%0.5%7.7M-171.9M-3.4M1.284.3010,26713,146365,842331,209
2017-11-13$45.73$48.0030.3%8.7%24.8%33.3%30.7%3.4%1.0%6.6M-173.7M-3.4M0.824.5914,90212,177355,850323,013
2017-11-14$45.82$47.0029.7%8.6%24.9%29.4%30.5%3.7%0.1%7.4M-187.5M-3.3M0.444.2225,60211,296358,906326,110
2017-11-15$47.19$47.0029.8%8.5%28.0%29.8%30.0%3.7%0.6%14.7M-367.4M-3.3M0.573.8919,31811,019361,465327,156
2017-11-16$47.71$47.0028.6%8.2%28.4%22.4%29.4%2.7%-0.2%16.8M-439.6M-3.3M0.436.3224,84610,682366,333328,075
2017-11-17$47.42$47.0028.4%8.1%28.0%20.7%27.5%3.1%0.8%11.3M-410.2M-3.4M0.535.6720,97411,104377,372329,579
2017-11-20$47.66$47.0027.5%7.9%27.7%15.3%26.9%3.5%0.8%12.9M-413.9M-3.3M0.686.5314,1039,526326,998292,749
2017-11-21$48.64$47.0028.0%7.9%27.8%18.0%27.5%3.3%-1.0%17.6M-535.3M-3.4M0.299.5929,2678,596334,293296,392
2017-11-22$48.69$47.0027.8%7.9%27.3%16.9%27.9%3.0%-0.3%21.3M-560.0M-3.4M0.7418.2913,0979,657345,091296,913
2017-11-24$48.56$47.0025.7%7.5%20.5%3.3%26.7%7.1%-0.4%31.0M-554.9M-3.3M0.778.869,1577,085346,241300,641
2017-11-27$48.41$47.0027.7%7.7%19.3%16.2%26.7%3.4%0.3%19.5M-537.1M-3.2M0.409.9416,0966,491340,304297,764
2017-11-28$49.19$47.0027.5%8.0%19.8%14.8%28.1%2.6%-0.3%24.4M-629.3M-3.2M0.4518.1817,8128,047348,156299,590
2017-11-29$49.24$47.0029.2%8.8%19.4%26.2%31.0%1.9%-0.5%24.1M-639.6M-3.3M0.3825.7826,91310,165346,091300,509
2017-11-30$50.48$47.0030.0%8.5%19.8%31.4%29.5%3.3%-1.8%27.3M-793.3M-3.2M0.2815.3429,0428,249348,539302,788