AAL Options History — January 2018

In January 2018, AAL traded between $52.03 and $58.39. ATM implied volatility averaged 30.2%, placing in the 43.3% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 4.3% (HV 20d: 25.9%). Max pain ranged from $42.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2018-01-24: Highest Volume — 162,583 contracts
  • 2018-01-24: Largest IV spike — 14.3% change
  • 2018-01-24: Highest IV Rank — 69.5%
  • 2018-01-24: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.90$52.03$58.39$52.96$54.26
Max Pain$48.24$42.00$50.00$42.00$50.00
ATM IV30.2%27.7%33.3%28.3%29.9%
Expected Move8.5%6.8%10.2%6.8%8.8%
HV 20d25.9%15.0%38.5%17.2%38.5%
HV 60d25.2%22.1%27.1%24.4%27.1%
IV Rank43.3%21.7%69.5%24.3%43.1%
IV Percentile53.5%14.3%90.5%25.0%52.8%
Term Structure-0.2%-5.2%2.6%0.1%-0.2%
VWIV30.7%24.7%36.2%24.7%31.0%
Skew 25d2.7%0.3%9.1%2.9%1.8%
Skew 10d7.1%-1.4%28.4%7.8%-1.4%
Call IV 25d29.3%26.2%32.8%27.5%29.4%
Put IV 25d32.0%27.3%39.6%30.4%31.1%
Bid-Ask Spread %13.432.3319.2814.7017.77
Gamma HHI0.230.110.350.290.13
Net GEX27.2M15.6M36.0M33.3M23.7M
Net DEX-816.1M-1.53B-204.6M-933.9M-344.6M
Net VEX-3.0M-3.5M-2.6M-2.8M-3.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.201.701.190.55
Total Volume48,267.1919,836162,58324,82829,803
Total OI583,983.286353,602728,898677,558407,686

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-01-02$52.96$42.0028.3%6.8%17.2%24.3%24.7%2.9%0.1%33.3M-933.9M-2.8M1.1914.7011,35213,476363,665313,893
2018-01-03$52.36$42.0029.0%6.9%17.3%28.6%25.3%4.3%0.3%31.5M-851.1M-2.7M1.7019.2810,04917,084366,112318,968
2018-01-04$52.72$48.0029.1%7.9%16.8%30.9%29.1%2.5%0.6%31.3M-885.6M-2.7M0.9713.9311,64011,323366,959325,827
2018-01-05$52.68$48.0027.7%7.6%16.8%21.7%29.0%3.0%2.6%28.4M-886.3M-2.7M0.6511.9815,93410,331369,383327,666
2018-01-08$52.13$48.0029.8%8.3%15.0%35.9%28.7%3.2%0.0%26.6M-796.2M-2.6M0.4615.0439,43418,199365,894322,376
2018-01-09$52.03$48.0032.2%8.6%15.1%52.4%30.3%3.5%-2.5%26.3M-768.2M-2.6M0.8613.3413,07911,298363,548325,786
2018-01-10$53.82$48.0032.0%8.0%19.0%56.1%28.9%0.3%-5.2%36.0M-1.02B-2.6M0.6413.3522,47714,370366,076328,658
2018-01-11$56.48$48.0030.3%8.7%23.9%46.7%31.4%3.0%-0.2%34.1M-1.35B-2.6M0.2013.13109,60621,761369,188332,646
2018-01-12$58.39$48.0031.7%8.7%25.1%57.3%32.6%9.1%-2.2%34.8M-1.53B-2.9M0.3414.3857,34219,537377,550340,354
2018-01-16$58.05$48.0031.2%8.8%25.5%53.7%33.5%2.3%1.2%33.5M-1.43B-3.0M0.7314.0823,92217,472376,478334,928
2018-01-17$58.12$49.0030.0%8.6%25.4%44.4%34.6%1.8%1.1%31.1M-1.40B-3.0M0.6512.4118,52312,078372,977344,499
2018-01-18$58.32$49.0030.2%8.6%25.4%45.4%31.1%2.4%0.3%27.8M-1.39B-3.0M0.3014.9348,02414,427372,093346,228
2018-01-19$58.10$49.0028.2%8.1%25.5%30.4%31.4%2.4%0.5%24.2M-1.33B-3.1M0.817.7524,09019,399377,466351,432
2018-01-22$58.10$49.0028.9%8.5%25.5%35.8%29.1%2.4%0.3%27.8M-537.7M-3.0M0.732.3316,24211,807202,064151,538
2018-01-23$58.37$49.0029.1%8.6%25.3%37.1%30.2%2.0%0.0%28.2M-573.2M-3.0M0.694.6816,26911,151205,100153,074
2018-01-24$54.54$50.0033.3%10.2%36.2%69.5%36.2%2.3%-0.7%18.9M-283.7M-3.0M0.2913.98126,19436,389210,039156,758
2018-01-25$53.11$50.0030.2%8.9%37.5%45.4%31.4%1.9%0.0%18.8M-210.8M-3.3M0.6313.7835,70022,567250,143168,246
2018-01-26$53.04$50.0030.2%8.9%37.5%45.5%31.9%2.4%0.2%22.9M-215.4M-3.4M0.6716.2736,08624,296262,607175,825
2018-01-29$52.68$50.0030.8%9.1%37.6%50.4%32.2%1.8%0.1%15.6M-204.6M-3.4M0.6517.6812,7578,287228,743167,617
2018-01-30$52.68$50.0031.3%9.2%37.5%54.5%32.3%2.0%-0.3%16.1M-207.9M-3.5M0.8217.3010,8878,949233,466170,093
2018-01-31$54.26$50.0029.9%8.8%38.5%43.1%31.0%1.8%-0.2%23.7M-344.6M-3.5M0.5517.7719,17110,632236,603171,083