AAL Options History — May 2018

In May 2018, AAL traded between $41.65 and $44.83. ATM implied volatility averaged 30.9%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 5.5% (HV 20d: 36.4%). Max pain ranged from $43.50 to $49.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.60.

Notable Days

2018-05-08: Highest Volume — 72,268 contracts
2018-05-22: Largest IV spike — 8.8% change
2018-05-31: Highest IV Rank — 40.6%
2018-05-29: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.11	$41.65	$44.83	$43.28	$43.64
Max Pain	$44.48	$43.50	$49.00	$49.00	$43.50
ATM IV	30.9%	29.0%	33.4%	31.1%	33.4%
Expected Move	9.0%	8.3%	9.9%	9.3%	9.9%
HV 20d	36.4%	27.1%	44.0%	44.0%	29.0%
HV 60d	35.4%	34.6%	37.5%	37.5%	36.0%
IV Rank	29.3%	21.0%	40.6%	30.0%	40.6%
IV Percentile	62.7%	35.3%	86.5%	67.5%	86.5%
Term Structure	0.1%	-0.9%	1.3%	0.5%	-0.2%
VWIV	31.7%	29.2%	36.0%	32.8%	36.0%
Skew 25d	3.1%	2.4%	4.2%	4.2%	3.5%
Skew 10d	6.0%	-4.2%	23.2%	7.9%	5.4%
Call IV 25d	30.0%	28.4%	32.4%	29.5%	32.4%
Put IV 25d	33.1%	31.1%	35.9%	33.7%	35.9%
Bid-Ask Spread %	6.36	2.79	14.58	5.25	6.91
Gamma HHI	0.10	0.07	0.20	0.08	0.13
Net GEX	7.4M	-665.0K	22.6M	1.9M	17.0M
Net DEX	98.7M	-155.4M	262.2M	205.0M	-51.8M
Net VEX	-3.2M	-3.5M	-2.9M	-3.0M	-3.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.24	0.95	0.93	0.24
Total Volume	39,111	18,841	72,268	31,275	70,027
Total OI	533,034.227	459,940	585,989	524,582	518,124

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2018-05-01	$43.28	$49.00	31.1%	9.3%	44.0%	30.0%	32.8%	4.2%	0.5%	1.9M	205.0M	-3.0M	0.93	5.25	16,195	15,080	314,350	210,232
2018-05-02	$42.45	$49.00	31.4%	9.4%	43.3%	31.5%	33.5%	3.9%	-0.1%	-40.0K	254.0M	-2.9M	0.81	14.58	18,225	14,851	319,090	212,422
2018-05-03	$42.28	$45.00	31.3%	9.1%	43.1%	31.1%	31.8%	3.8%	-0.2%	-665.0K	262.2M	-2.9M	0.63	5.46	21,536	13,648	322,787	213,729
2018-05-04	$43.23	$44.00	30.0%	8.8%	43.2%	25.2%	30.8%	3.2%	0.3%	3.8M	188.2M	-3.1M	0.74	3.79	15,325	11,293	328,701	216,174
2018-05-07	$42.41	$44.00	30.4%	9.0%	43.3%	26.9%	30.7%	3.3%	0.9%	1.1M	236.9M	-3.0M	0.83	6.39	12,225	10,103	321,475	212,158
2018-05-08	$42.85	$44.00	30.5%	9.0%	40.5%	27.6%	31.0%	3.4%	1.3%	2.7M	188.9M	-3.0M	0.28	9.45	56,583	15,685	325,023	210,236
2018-05-09	$41.65	$44.00	32.1%	9.1%	39.1%	34.7%	32.4%	2.5%	-0.3%	495.2K	252.1M	-2.9M	0.47	14.35	39,629	18,627	339,993	211,122
2018-05-10	$42.11	$44.00	31.2%	9.0%	38.2%	30.5%	31.7%	2.8%	0.4%	1.2M	205.5M	-3.0M	0.52	7.05	27,747	14,444	347,787	212,768
2018-05-11	$42.63	$44.00	30.0%	8.7%	38.4%	25.3%	31.5%	3.3%	0.5%	5.6M	157.6M	-3.2M	0.63	3.95	21,345	13,426	359,419	218,145
2018-05-14	$42.42	$44.00	31.0%	8.9%	37.7%	29.8%	30.2%	3.1%	0.0%	3.5M	170.2M	-3.1M	0.45	6.71	25,244	11,318	347,132	213,606
2018-05-15	$43.13	$44.00	30.4%	8.7%	38.2%	26.9%	30.5%	2.6%	0.3%	6.8M	107.4M	-3.2M	0.95	4.15	18,078	17,142	354,196	215,883
2018-05-16	$44.07	$44.00	29.4%	8.4%	34.9%	22.4%	29.2%	2.4%	0.1%	10.4M	32.0M	-3.3M	0.33	6.40	49,193	16,306	354,922	219,034
2018-05-17	$43.64	$44.00	29.0%	8.3%	33.9%	21.0%	30.1%	2.5%	0.6%	8.2M	74.6M	-3.2M	0.51	5.66	26,069	13,171	358,866	220,560
2018-05-18	$43.39	$44.00	29.5%	8.4%	33.9%	23.0%	29.9%	2.6%	0.3%	7.2M	90.6M	-3.2M	0.92	3.19	14,673	13,486	364,483	221,506
2018-05-21	$44.26	$44.00	29.3%	8.4%	34.9%	22.3%	30.2%	3.0%	-0.0%	11.3M	-50.6M	-3.3M	0.50	2.79	22,420	11,204	282,314	177,626
2018-05-22	$42.92	$44.00	31.9%	9.1%	35.8%	33.8%	32.0%	2.7%	-0.3%	8.0M	38.1M	-3.2M	0.50	8.64	34,433	17,085	290,154	178,632
2018-05-23	$42.78	$44.00	31.7%	9.2%	35.8%	32.9%	32.4%	2.9%	-0.1%	10.2M	33.1M	-3.3M	0.80	5.88	13,110	10,491	313,017	185,944
2018-05-24	$43.65	$44.00	30.1%	8.7%	27.1%	25.6%	30.8%	2.6%	0.2%	15.8M	-38.2M	-3.4M	0.69	3.51	11,150	7,691	318,838	188,189
2018-05-25	$44.83	$44.00	30.9%	8.9%	27.8%	29.5%	32.0%	2.6%	-0.4%	22.6M	-155.4M	-3.5M	0.48	4.55	25,033	11,894	320,146	189,777
2018-05-29	$43.51	$44.00	33.4%	9.9%	29.9%	40.4%	35.2%	3.6%	-0.8%	12.7M	-20.1M	-3.3M	0.66	5.16	15,462	10,190	308,299	185,230
2018-05-30	$43.38	$44.00	32.0%	9.4%	29.8%	34.4%	33.8%	3.1%	-0.9%	13.6M	-9.0M	-3.3M	0.27	6.12	31,175	8,430	315,486	189,178
2018-05-31	$43.64	$43.50	33.4%	9.9%	29.0%	40.6%	36.0%	3.5%	-0.2%	17.0M	-51.8M	-3.3M	0.24	6.91	56,397	13,630	326,753	191,371