AAL Options History — February 2018

In February 2018, AAL traded between $48.42 and $54.99. ATM implied volatility averaged 32.5%, placing in the 52.6% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 8.7% (HV 20d: 41.3%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.76.

Notable Days

  • 2018-02-21: Highest Volume — 37,727 contracts
  • 2018-02-08: Largest IV spike — 13.5% change
  • 2018-02-06: Highest IV Rank — 100.0%
  • 2018-02-09: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.89$48.42$54.99$53.86$54.31
Max Pain$53.79$50.00$55.00$50.00$53.50
ATM IV32.5%28.5%41.3%29.0%30.0%
Expected Move9.4%8.2%11.6%8.3%8.8%
HV 20d41.3%36.3%46.1%38.3%38.0%
HV 60d31.2%27.2%32.7%27.2%32.3%
IV Rank52.6%24.3%100.0%36.6%33.4%
IV Percentile69.8%27.4%100.0%38.5%52.8%
Term Structure0.3%-3.4%9.5%-0.0%0.2%
VWIV32.7%28.9%40.1%28.9%31.4%
Skew 25d3.8%-1.9%21.9%1.7%2.7%
Skew 10d6.6%-4.9%26.8%3.7%2.3%
Call IV 25d32.0%27.2%43.1%28.6%30.4%
Put IV 25d35.8%30.3%61.2%30.3%33.1%
Bid-Ask Spread %11.454.4020.3114.5020.31
Gamma HHI0.150.100.260.120.23
Net GEX11.0M4.4M22.9M22.9M13.7M
Net DEX-149.4M-338.7M70.3M-304.4M-294.4M
Net VEX-3.5M-3.6M-3.3M-3.5M-3.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.431.211.051.20
Total Volume28,64018,99437,72728,52918,994
Total OI404,108.316339,601449,886415,726368,973

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-02-01$53.86$50.0029.0%8.3%38.3%36.6%28.9%1.7%-0.0%22.9M-304.4M-3.5M1.0514.5013,89214,637241,552174,174
2018-02-02$52.16$55.0031.4%9.5%40.0%55.2%31.4%2.3%0.1%13.9M-150.9M-3.5M0.8210.5719,98816,333247,620180,863
2018-02-05$50.00$55.0035.1%10.8%42.7%83.6%37.1%1.4%9.5%7.8M-20.4M-3.4M0.4511.1325,61911,569238,514176,744
2018-02-06$51.13$55.0038.7%10.3%43.5%100.0%36.1%-1.9%-3.4%14.0M-110.5M-3.5M0.684.8316,11411,033251,151178,250
2018-02-07$51.59$55.0033.6%9.8%43.6%64.7%33.4%2.5%0.4%17.1M-132.0M-3.5M0.514.6317,8989,205254,296179,788
2018-02-08$48.69$55.0038.1%11.0%46.1%96.3%37.8%4.3%0.7%5.6M54.4M-3.3M0.684.4013,9519,534251,933179,992
2018-02-09$48.42$55.0041.3%11.6%41.6%100.0%40.1%21.9%-1.0%4.4M70.3M-3.3M0.677.4421,68414,554254,236181,031
2018-02-12$50.17$55.0036.2%10.3%41.9%69.6%34.9%4.9%0.1%7.8M-40.8M-3.4M0.636.6520,76513,130246,066177,054
2018-02-13$50.89$55.0033.2%9.5%42.6%52.4%34.0%4.1%0.7%9.2M-88.3M-3.4M0.6811.1016,22510,974250,855181,306
2018-02-14$51.10$55.0031.4%9.0%42.7%41.5%30.7%4.1%-0.1%8.9M-99.1M-3.3M0.6211.8921,95113,608254,193184,056
2018-02-15$51.58$55.0030.7%8.8%43.0%37.4%31.1%3.5%-0.7%6.3M-147.6M-3.3M0.706.2714,96710,505260,279186,327
2018-02-16$51.72$55.0031.1%9.0%43.1%39.6%32.4%3.7%-0.7%7.5M-165.0M-3.5M0.829.2415,03712,279262,136187,750
2018-02-20$51.74$50.0031.1%8.9%43.1%39.7%31.2%3.5%-0.1%7.6M-120.9M-3.4M1.0313.769,91010,254184,609154,992
2018-02-21$52.96$52.0030.3%8.7%44.2%35.2%30.5%0.1%0.6%9.9M-197.5M-3.4M0.4615.6625,79011,937187,435156,600
2018-02-22$52.96$52.5029.5%8.5%37.4%30.4%30.1%3.6%0.1%12.1M-213.5M-3.5M1.0011.869,5999,579200,003159,307
2018-02-23$53.33$52.5029.5%8.2%36.3%30.5%29.2%3.0%-1.0%11.1M-239.4M-3.6M0.7418.6814,08110,453201,610162,428
2018-02-26$54.99$53.0028.5%8.2%37.8%24.3%29.3%3.4%-0.2%13.8M-338.7M-3.6M0.4316.3624,68810,619198,481159,355
2018-02-27$54.32$53.5029.3%8.7%38.0%29.4%31.0%3.8%0.3%14.8M-300.4M-3.6M1.2118.2010,33712,467203,741160,358
2018-02-28$54.31$53.5030.0%8.8%38.0%33.4%31.4%2.7%0.2%13.7M-294.4M-3.6M1.2020.318,65110,343205,351163,622