AAL Options History — March 2018

In March 2018, AAL traded between $50.91 and $56.57. ATM implied volatility averaged 31.1%, placing in the 39.8% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 5.8% (HV 20d: 25.4%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2018-03-01: Highest Volume — 31,452 contracts
  • 2018-03-22: Largest IV spike — 15.5% change
  • 2018-03-28: Highest IV Rank — 79.3%
  • 2018-03-28: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.84$50.91$56.57$53.61$52.10
Max Pain$54.38$50.00$55.00$53.50$55.00
ATM IV31.1%27.2%37.8%33.5%34.5%
Expected Move8.7%7.7%9.9%9.5%8.9%
HV 20d25.4%18.3%36.9%36.9%25.9%
HV 60d32.2%31.4%33.7%31.9%33.7%
IV Rank39.8%16.7%79.3%53.8%59.7%
IV Percentile58.2%8.7%98.8%90.9%93.7%
Term Structure1.3%-1.6%8.5%-0.2%-0.2%
VWIV30.8%27.5%34.6%32.4%30.8%
Skew 25d4.4%-3.4%10.4%4.2%4.8%
Skew 10d9.7%3.7%17.6%7.8%11.8%
Call IV 25d29.0%22.4%35.2%30.7%32.5%
Put IV 25d33.4%28.8%40.7%34.9%37.4%
Bid-Ask Spread %12.703.1518.9017.8217.25
Gamma HHI0.170.110.290.230.13
Net GEX11.2M2.5M22.8M12.6M2.5M
Net DEX-232.4M-469.4M-12.3M-242.3M-88.2M
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 Ratio0.990.601.570.660.98
Total Volume23,760.95216,89431,45231,45218,702
Total OI368,807.762337,116401,449369,360359,554

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$53.61$53.5033.5%9.5%36.9%53.8%32.4%4.2%-0.2%12.6M-242.3M-3.6M0.6617.8218,91112,541205,810163,550
2018-03-02$53.22$53.5032.3%9.0%36.9%46.6%30.9%4.2%0.7%11.9M-206.9M-3.6M0.9318.9011,42910,584210,231166,668
2018-03-05$53.21$50.0030.6%8.6%34.9%36.8%31.1%4.3%0.2%13.0M-213.6M-3.5M1.0212.7410,04810,264205,125163,742
2018-03-06$53.51$50.0029.9%8.5%31.0%33.0%30.4%4.6%1.3%14.0M-236.5M-3.5M1.4113.119,91714,027206,009166,963
2018-03-07$54.09$55.0030.3%8.7%30.3%34.8%31.8%2.8%-0.1%15.4M-275.4M-3.5M1.4712.837,76111,393206,959170,517
2018-03-08$54.85$55.0029.8%8.7%30.5%31.8%30.8%4.4%0.4%17.6M-338.0M-3.6M0.729.5417,70812,721207,979173,718
2018-03-09$56.03$55.0027.9%8.4%21.0%20.7%29.1%3.5%0.9%22.8M-446.7M-3.5M0.649.1118,61611,942210,921177,285
2018-03-12$56.57$55.0030.4%8.6%20.5%35.5%30.0%10.4%0.3%18.6M-469.4M-3.5M1.3214.2910,32313,615209,661174,330
2018-03-13$56.18$55.0028.4%8.4%18.3%24.1%28.7%5.5%1.4%18.0M-438.7M-3.5M0.7813.9815,97412,500211,975180,921
2018-03-14$55.18$55.0028.4%8.2%19.8%24.2%30.1%3.6%0.4%15.0M-334.8M-3.5M0.933.2612,67711,832213,457185,540
2018-03-15$55.20$55.0028.8%7.9%19.8%26.5%27.5%4.0%-1.6%19.1M-338.2M-3.4M1.1214.1810,08411,275214,671186,177
2018-03-16$55.48$55.0027.2%7.7%19.7%16.7%27.9%3.5%-0.3%15.3M-397.5M-3.4M0.8610.7311,6189,973214,558186,891
2018-03-19$54.62$55.0029.6%8.4%20.9%30.9%29.3%4.8%3.3%8.8M-226.1M-3.4M0.603.1512,7817,669180,089157,027
2018-03-20$55.34$55.0028.1%8.0%21.2%22.2%28.9%4.7%4.2%9.3M-254.9M-3.3M1.523.779,44014,317177,916159,768
2018-03-21$54.17$55.0028.6%8.2%21.5%24.9%29.7%4.5%3.9%4.5M-176.4M-3.3M1.5715.3910,62116,643179,617164,630
2018-03-22$52.40$55.0033.0%9.3%24.7%50.9%33.5%5.7%3.1%3.5M-71.4M-3.3M0.7115.4815,35810,945182,660166,933
2018-03-23$51.13$55.0036.1%9.7%26.0%69.3%34.1%5.1%8.5%3.1M-12.3M-3.2M1.0018.6410,57010,531184,698167,439
2018-03-26$51.96$55.0033.0%9.1%24.0%51.0%32.4%-3.4%0.9%3.7M-72.9M-3.2M0.6315.5815,5839,866179,966162,602
2018-03-27$50.93$55.0035.2%9.6%24.5%63.8%33.9%5.4%1.0%3.0M-20.6M-3.2M0.9014.0811,20510,122187,037165,140
2018-03-28$50.91$55.0037.8%9.9%24.5%79.3%34.6%5.5%-1.1%2.8M-19.1M-3.2M0.9412.818,7148,180189,274166,955
2018-03-29$52.10$55.0034.5%8.9%25.9%59.7%30.8%4.8%-0.2%2.5M-88.2M-3.2M0.9817.259,4259,277192,129167,425