AAL Options History — June 2018

In June 2018, AAL traded between $38.22 and $44.73. ATM implied volatility averaged 33.4%, placing in the 40.6% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 6.5% (HV 20d: 26.9%). Max pain ranged from $42.00 to $43.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.46.

Notable Days

  • 2018-06-27: Highest Volume — 78,195 contracts
  • 2018-06-25: Largest IV spike — 16.4% change
  • 2018-06-28: Highest IV Rank — 74.6%
  • 2018-06-25: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.07$38.22$44.73$43.91$38.22
Max Pain$42.83$42.00$43.50$43.50$42.00
ATM IV33.4%30.2%41.0%31.8%40.6%
Expected Move9.3%8.7%10.6%9.6%10.2%
HV 20d26.9%24.7%29.1%28.9%24.8%
HV 60d35.4%33.7%36.3%35.9%33.7%
IV Rank40.6%26.1%74.6%33.5%72.6%
IV Percentile74.1%49.6%98.8%75.8%97.6%
Term Structure0.9%-1.2%4.5%-0.2%-0.8%
VWIV33.1%30.6%37.2%36.3%36.9%
Skew 25d2.8%1.6%3.8%2.1%3.7%
Skew 10d5.0%-0.0%8.7%3.8%6.4%
Call IV 25d32.6%29.4%40.3%31.6%39.6%
Put IV 25d35.4%32.1%43.7%33.7%43.3%
Bid-Ask Spread %4.612.447.496.843.61
Gamma HHI0.100.070.170.120.08
Net GEX9.7M531.1K22.7M19.2M3.4M
Net DEX64.5M-143.0M261.4M-82.8M213.4M
Net VEX-3.1M-3.4M-2.8M-3.4M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.160.870.400.54
Total Volume40,486.90520,42678,19530,59532,442
Total OI547,997.81494,565607,862545,652607,862

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-06-01$43.91$43.5031.8%9.6%28.9%33.5%36.3%2.1%-0.2%19.2M-82.8M-3.4M0.406.8421,7858,810347,562198,090
2018-06-04$44.73$43.0031.1%8.8%28.6%30.2%32.1%2.5%-0.0%21.3M-143.0M-3.4M0.655.7012,3678,059335,330195,532
2018-06-05$44.21$43.0030.7%8.9%28.0%28.6%31.4%2.5%0.3%19.4M-83.1M-3.3M0.564.8018,85910,560337,699198,147
2018-06-06$44.14$43.0030.8%8.9%27.9%28.9%31.7%1.9%0.2%20.6M-81.8M-3.3M0.586.4926,47915,261343,173202,591
2018-06-07$43.94$43.0030.6%8.8%25.7%28.1%31.4%2.8%0.2%20.2M-57.3M-3.3M0.873.2314,76312,805347,516209,067
2018-06-08$43.04$43.0030.9%8.9%26.7%29.3%30.9%2.3%0.2%11.9M43.7M-3.2M0.854.5817,66515,038347,177212,624
2018-06-11$44.21$43.0030.2%8.8%28.0%26.1%30.6%2.6%0.4%22.7M-80.4M-3.3M0.165.2561,1029,648340,975210,910
2018-06-12$43.31$43.0031.0%9.1%29.1%29.9%31.7%2.7%0.5%13.9M20.0M-3.2M0.495.4426,87713,060346,257211,873
2018-06-13$42.91$43.0031.5%9.0%28.7%32.1%31.7%2.4%-0.0%9.0M64.3M-3.1M0.297.2929,6118,540352,677217,093
2018-06-14$43.18$43.0030.4%8.7%27.6%26.9%30.9%2.7%0.1%9.0M38.4M-3.2M0.377.3322,2238,302358,950219,150
2018-06-15$42.86$43.0031.1%8.9%27.5%30.4%31.2%1.6%-0.1%653.6K75.2M-3.1M0.237.4946,63110,913359,930219,669
2018-06-18$42.51$43.0031.4%9.0%27.6%31.7%31.7%2.4%3.4%7.0M62.7M-3.1M0.412.9720,3068,292296,321198,244
2018-06-19$41.56$43.0031.8%9.1%27.5%33.2%32.3%3.0%4.0%4.7M125.3M-3.0M0.712.4416,64911,768303,175201,445
2018-06-20$42.02$43.0031.0%8.9%25.8%29.8%31.8%2.7%4.2%6.3M89.8M-3.2M0.413.4821,5288,917309,441205,829
2018-06-21$41.51$43.0033.4%9.4%26.1%40.3%33.1%3.1%3.1%5.3M107.4M-3.1M0.553.8826,22414,442316,273207,031
2018-06-22$41.44$43.0034.0%9.3%24.9%43.2%33.0%2.9%4.5%4.0M117.2M-3.1M0.552.8121,51411,781321,079209,157
2018-06-25$39.71$43.0039.6%10.6%26.2%68.1%36.6%3.8%-1.2%1.7M208.0M-2.8M0.303.3344,34913,181315,935208,109
2018-06-26$39.29$42.0038.4%10.0%24.7%62.6%35.7%3.6%-0.6%1.7M221.8M-2.8M0.312.6635,23810,782334,641212,832
2018-06-27$38.39$42.0040.4%10.4%25.5%71.5%36.6%3.7%0.7%531.1K261.4M-2.8M0.173.2066,76111,434349,339215,595
2018-06-28$38.29$42.0041.0%10.3%25.1%74.6%37.2%3.4%-0.3%1.9M234.1M-2.9M0.364.0540,68714,572365,611218,043
2018-06-29$38.22$42.0040.6%10.2%24.8%72.6%36.9%3.7%-0.8%3.4M213.4M-3.0M0.543.6121,09211,350386,208221,654