AAL Options History — April 2018

In April 2018, AAL traded between $42.40 and $52.24. ATM implied volatility averaged 37.6%, placing in the 59.2% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 2.7% (HV 20d: 40.3%). Max pain ranged from $49.00 to $55.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2018-04-10: Highest Volume — 102,021 contracts
  • 2018-04-03: Largest IV drop — 17.2% change
  • 2018-04-02: Highest IV Rank — 100.0%
  • 2018-04-11: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.21$42.40$52.24$49.74$42.99
Max Pain$50.50$49.00$55.00$55.00$49.00
ATM IV37.6%28.7%46.7%46.7%31.5%
Expected Move10.5%8.9%11.7%11.1%9.2%
HV 20d40.3%30.4%48.4%30.4%46.1%
HV 60d36.5%34.9%38.4%34.9%37.9%
IV Rank59.2%19.5%100.0%100.0%32.0%
IV Percentile92.0%32.1%100.0%100.0%74.6%
Term Structure0.0%-3.3%6.4%6.4%0.2%
VWIV37.2%31.2%40.5%38.8%32.0%
Skew 25d4.9%0.5%17.3%17.3%4.3%
Skew 10d9.9%0.1%21.7%21.7%9.9%
Call IV 25d36.1%29.8%47.2%36.0%30.0%
Put IV 25d41.0%33.1%53.2%53.2%34.3%
Bid-Ask Spread %9.333.1317.6512.629.43
Gamma HHI0.120.080.160.120.08
Net GEX3.8M-2.7M9.3M2.4M941.0K
Net DEX104.2M-114.8M330.6M30.1M226.5M
Net VEX-3.0M-3.3M-2.5M-3.0M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.241.160.530.76
Total Volume42,129.95215,678102,02129,03532,758
Total OI443,727.286353,869520,014353,869512,601

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-04-02$49.74$55.0046.7%11.1%30.4%100.0%38.8%17.3%6.4%2.4M30.1M-3.0M0.5312.6218,99610,039187,732166,137
2018-04-03$51.40$55.0038.7%10.0%33.0%64.1%36.2%6.6%5.5%6.2M-67.1M-3.2M0.7615.5013,21610,074198,357168,040
2018-04-04$52.10$52.5037.0%9.6%33.4%56.5%34.9%5.8%3.3%8.2M-114.8M-3.3M0.8617.6515,91013,625203,239171,295
2018-04-05$52.24$50.0037.9%10.6%33.1%60.6%39.1%6.6%0.1%9.3M-113.9M-3.3M0.9413.6410,3699,762212,161177,508
2018-04-06$50.20$50.0038.3%11.0%35.2%62.1%38.7%6.4%-3.3%3.9M19.5M-3.2M1.1611.508,6099,958213,457178,801
2018-04-09$50.10$50.0038.8%11.0%33.9%64.7%40.5%8.3%-0.9%4.4M20.3M-3.1M0.6213.859,6596,019209,513177,604
2018-04-10$47.56$50.0040.7%11.2%37.1%73.1%38.0%4.9%-2.0%659.7K148.5M-2.9M0.2410.8682,16519,856212,918178,680
2018-04-11$45.57$50.0044.7%11.7%39.0%91.0%40.3%1.8%-0.9%1.3M193.7M-3.0M0.6310.5930,27619,161251,020186,289
2018-04-12$46.64$50.0040.7%11.3%40.7%73.0%39.8%0.5%-1.6%4.3M121.9M-3.1M0.665.6925,70417,054262,052190,812
2018-04-13$45.84$50.0039.7%11.0%40.6%68.6%38.6%3.9%-1.9%1.9M190.5M-3.0M0.8011.7913,71010,917266,292198,657
2018-04-16$46.55$50.0035.8%10.2%41.3%51.1%36.1%3.2%-0.8%2.8M148.9M-3.0M0.494.0117,1328,337260,317196,331
2018-04-17$45.90$50.0036.3%10.3%41.2%53.2%36.1%3.5%-0.6%2.2M189.4M-2.9M0.787.0717,88614,001264,221197,416
2018-04-18$48.07$50.0035.9%10.3%45.1%51.7%36.5%2.5%-0.6%8.3M2.1M-3.2M0.358.8450,02317,380271,405202,962
2018-04-19$46.77$50.0036.6%10.5%45.4%54.7%37.6%3.2%-0.7%5.8M104.4M-3.2M0.795.4816,04912,632283,561206,289
2018-04-20$46.64$50.0036.6%10.5%44.3%54.6%38.2%4.2%-0.4%5.9M114.6M-3.1M0.423.1328,45811,983286,964207,771
2018-04-23$46.46$50.0036.8%10.8%43.8%55.6%37.5%4.2%-1.4%6.1M94.5M-3.1M0.334.1230,19010,031268,832192,071
2018-04-24$45.57$50.0038.6%11.5%43.4%63.8%39.6%4.5%-1.6%4.7M134.2M-3.0M0.475.1420,1769,395274,798193,521
2018-04-25$45.40$50.0036.5%10.7%43.1%54.1%36.8%4.2%-2.8%4.1M152.6M-2.9M0.308.0662,55918,762277,969195,058
2018-04-26$42.40$50.0033.3%9.6%48.4%39.9%33.7%4.1%-0.8%-2.7M330.6M-2.5M0.459.7061,34927,362293,732201,876
2018-04-27$43.28$49.0028.7%8.9%48.2%19.5%31.2%3.3%4.9%-1.0M261.9M-2.7M0.377.2246,18317,004311,122208,892
2018-04-30$42.99$49.0031.5%9.2%46.1%32.0%32.0%4.3%0.2%941.0K226.5M-2.9M0.769.4318,64314,115309,821202,780