AAL Options History — December 2017

In December 2017, AAL traded between $49.09 and $52.79. ATM implied volatility averaged 27.2%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 5.2% (HV 20d: 22.0%). Max pain ranged from $42.00 to $47.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.80.

Notable Days

  • 2017-12-15: Highest Volume — 78,958 contracts
  • 2017-12-26: Largest IV spike — 13.8% change
  • 2017-12-01: Highest IV Rank — 38.4%
  • 2017-12-01: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.15$49.09$52.79$49.09$52.09
Max Pain$42.25$42.00$47.00$47.00$42.00
ATM IV27.2%24.3%31.1%31.1%27.0%
Expected Move7.6%6.6%9.1%9.1%6.8%
HV 20d22.0%19.9%23.6%22.3%19.9%
HV 60d27.2%24.1%29.5%29.3%24.1%
IV Rank14.8%0.0%38.4%38.4%16.2%
IV Percentile13.2%0.0%57.9%57.9%8.3%
Term Structure1.1%-5.2%5.9%-5.2%1.7%
VWIV27.1%24.0%32.3%32.3%24.2%
Skew 25d3.0%-0.8%5.3%4.0%3.4%
Skew 10d7.4%0.9%17.4%17.4%10.0%
Call IV 25d25.9%23.0%30.5%24.0%25.3%
Put IV 25d28.9%25.5%33.3%28.1%28.7%
Bid-Ask Spread %12.557.1525.4625.4620.52
Gamma HHI0.210.130.370.220.22
Net GEX30.3M20.4M45.2M21.2M45.2M
Net DEX-796.2M-981.1M-609.2M-609.2M-851.3M
Net VEX-2.9M-3.2M-2.7M-3.2M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.131.631.170.56
Total Volume31,604.5518,42878,95830,52435,542
Total OI668,739.2647,275695,285650,846695,285

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$49.09$47.0031.1%9.1%22.3%38.4%32.3%4.0%-5.2%21.2M-609.2M-3.2M1.1725.4614,08016,444345,750305,096
2017-12-04$49.95$42.0029.4%8.7%23.0%27.5%30.5%3.9%0.1%23.4M-690.7M-3.2M0.6615.1717,79211,801339,268308,007
2017-12-05$49.49$42.0028.4%8.6%23.4%21.1%30.8%5.3%0.3%23.0M-629.2M-3.1M1.478.708,83112,953340,531310,407
2017-12-06$49.57$42.0028.6%8.4%21.5%21.8%31.5%-0.8%5.9%23.4M-635.4M-3.1M0.6810.5512,4998,469341,485316,266
2017-12-07$50.89$42.0028.2%8.1%22.9%19.3%28.4%2.3%0.4%27.7M-782.0M-3.0M1.049.809,0319,397343,799318,574
2017-12-08$50.94$42.0027.9%8.0%22.0%17.2%28.1%2.4%0.8%30.1M-791.6M-3.0M1.1611.7412,39114,343344,710320,093
2017-12-11$51.27$42.0027.8%8.0%22.0%16.6%30.4%2.5%-0.3%27.1M-806.5M-3.0M0.2311.9031,4127,100344,775318,198
2017-12-12$50.49$42.0028.8%8.1%23.1%23.6%29.5%3.6%-0.6%31.1M-741.1M-2.9M0.9613.389,6909,336349,531320,017
2017-12-13$50.02$42.0027.6%7.9%23.6%15.4%27.7%2.9%-0.1%32.2M-676.1M-2.9M0.4013.6919,1557,598349,153323,215
2017-12-14$50.21$42.0026.9%7.6%21.7%11.1%26.9%2.8%-0.4%38.8M-706.7M-2.8M0.318.7429,4879,195353,920325,319
2017-12-15$51.07$42.0025.4%7.2%22.1%1.1%24.3%2.5%0.4%20.4M-826.8M-2.7M0.137.6569,8379,121351,290326,791
2017-12-18$51.49$42.0025.1%7.1%21.8%0.0%24.9%3.0%3.4%31.8M-815.1M-2.8M0.847.1512,75710,703350,305299,860
2017-12-19$51.44$42.0024.7%7.1%21.9%0.0%25.4%2.7%4.6%33.6M-813.9M-2.8M1.118.7911,43212,640354,486304,619
2017-12-20$51.97$42.0024.3%7.0%21.2%0.0%24.3%3.0%3.2%33.1M-881.9M-2.8M0.4710.7516,8327,879356,618309,376
2017-12-21$52.74$42.0025.4%7.0%21.5%6.7%24.3%2.9%3.4%32.2M-981.1M-2.8M0.4611.4435,12816,126359,241310,609
2017-12-22$52.59$42.0024.5%6.8%21.5%0.9%25.0%2.5%2.7%31.5M-971.6M-2.8M0.7515.4026,90020,153369,818316,330
2017-12-26$52.79$42.0027.9%7.1%21.4%21.7%25.1%2.3%-0.9%32.7M-942.0M-2.9M1.6315.2910,07816,432362,132319,312
2017-12-27$52.43$42.0027.5%7.0%21.2%19.3%24.7%4.6%1.6%33.0M-868.6M-2.9M1.1111.0714,05515,570362,173318,517
2017-12-28$52.45$42.0027.3%6.6%21.3%18.1%24.0%3.5%0.9%34.5M-902.8M-2.8M0.9613.8710,1589,744367,859322,049
2017-12-29$52.09$42.0027.0%6.8%19.9%16.2%24.2%3.4%1.7%45.2M-851.3M-2.8M0.5620.5222,85512,687368,522326,763