AAL Options History — July 2018

In July 2018, AAL traded between $36.02 and $40.14. ATM implied volatility averaged 36.4%, placing in the 53.8% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 2.3% (HV 20d: 34.1%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2018-07-11: Highest Volume — 161,023 contracts
  • 2018-07-26: Largest IV drop — 13.5% change
  • 2018-07-03: Highest IV Rank — 71.9%
  • 2018-07-11: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.16$36.02$40.14$38.28$39.47
Max Pain$40.19$40.00$42.00$42.00$40.00
ATM IV36.4%30.6%40.5%39.5%30.6%
Expected Move10.2%8.7%11.2%9.6%8.8%
HV 20d34.1%23.1%40.7%23.1%40.7%
HV 60d32.2%30.2%34.3%33.0%31.9%
IV Rank53.8%27.9%71.9%67.8%28.1%
IV Percentile82.6%48.0%97.2%96.0%48.8%
Term Structure-0.8%-2.0%0.4%-0.7%-0.4%
VWIV36.4%31.1%39.3%34.8%31.7%
Skew 25d1.9%-1.0%3.3%2.6%1.7%
Skew 10d3.3%-9.5%6.1%6.1%3.2%
Call IV 25d36.4%30.6%43.3%39.4%30.6%
Put IV 25d38.3%31.9%42.6%42.0%32.3%
Bid-Ask Spread %3.712.576.142.613.06
Gamma HHI0.090.070.130.070.10
Net GEX1.8M-3.4M8.1M2.8M-1.9M
Net DEX197.6M-47.1M388.7M214.9M116.7M
Net VEX-3.2M-3.7M-2.6M-3.0M-3.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.252.410.640.34
Total Volume53,197.28623,381161,02327,23646,829
Total OI686,423.143598,554770,231598,554702,733

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-07-02$38.28$42.0039.5%9.6%23.1%67.8%34.8%2.6%-0.7%2.8M214.9M-3.0M0.642.6116,58510,651379,139219,415
2018-07-03$37.75$42.0040.5%10.1%23.2%71.9%35.8%-1.0%-0.8%2.3M239.7M-2.9M0.503.2724,31612,212385,796221,011
2018-07-05$37.91$40.0040.0%10.9%23.5%69.8%37.9%3.3%-1.2%2.6M233.4M-2.9M0.663.5717,20211,289391,063224,176
2018-07-06$38.18$40.0038.3%10.5%24.0%62.3%37.8%1.8%-0.8%3.7M217.3M-2.9M0.942.5717,97416,946398,425226,018
2018-07-09$39.28$40.0037.4%10.5%26.5%58.3%36.9%2.1%-0.2%5.7M134.3M-3.1M0.253.5050,30112,369395,369227,166
2018-07-10$39.04$40.0037.7%10.5%23.8%59.5%36.6%2.1%-1.0%5.7M148.7M-3.0M0.492.9121,06210,318393,456230,147
2018-07-11$36.02$40.0040.4%11.2%35.3%71.8%39.3%2.2%-1.2%-1.5M345.3M-2.6M0.852.8687,11173,912400,828232,275
2018-07-12$36.28$40.0038.4%10.6%35.8%62.9%37.2%2.9%-1.2%-3.0M388.7M-2.9M0.324.5251,58816,408435,925287,642
2018-07-13$37.12$40.0037.8%10.5%37.2%60.3%37.4%2.4%-2.0%-2.0M282.8M-3.2M0.325.1851,52716,713448,230291,646
2018-07-16$37.29$40.0037.5%10.6%37.4%58.8%37.3%2.5%-1.3%90.4K267.1M-3.2M0.502.8723,96411,868441,106285,288
2018-07-17$37.52$40.0037.5%10.7%37.7%58.5%38.0%1.7%-0.5%1.8M235.8M-3.3M0.414.2125,90910,503447,468288,267
2018-07-18$38.51$40.0036.8%10.5%38.8%55.4%37.6%1.3%-0.8%4.6M131.5M-3.5M0.992.7360,46759,795450,219290,910
2018-07-19$38.13$40.0037.0%10.7%38.5%56.5%37.7%1.7%-1.0%3.5M192.7M-3.5M0.475.2623,64611,006467,620296,511
2018-07-20$37.98$40.0035.6%10.3%38.4%50.2%37.3%1.9%-1.0%5.1M213.4M-3.4M0.553.7523,10912,624471,198299,033
2018-07-23$38.09$40.0036.0%10.6%38.5%52.0%37.8%2.4%-0.9%-630.6K194.0M-3.4M0.772.8113,18410,197405,458273,721
2018-07-24$37.51$40.0035.7%10.6%36.0%50.6%38.1%2.0%-0.6%-1.9M251.1M-3.3M0.632.7916,92110,679410,027277,974
2018-07-25$38.22$40.0035.4%10.8%36.6%49.2%39.0%2.1%-0.6%192.5K182.7M-3.4M0.334.5344,48514,646416,143282,389
2018-07-26$40.14$40.0030.6%8.7%39.8%27.9%31.1%1.3%0.4%8.1M-47.1M-3.7M0.494.8042,72720,938425,205288,244
2018-07-27$39.68$40.0030.7%8.7%40.0%28.4%31.8%1.6%0.2%5.9M26.6M-3.6M2.413.8524,00057,855423,294294,400
2018-07-30$39.02$40.0031.1%9.0%40.6%30.3%33.1%2.2%-0.5%-3.4M179.6M-3.4M0.666.1420,05013,257406,453283,498
2018-07-31$39.47$40.0030.6%8.8%40.7%28.1%31.7%1.7%-0.4%-1.9M116.7M-3.6M0.343.0634,88411,945414,470288,263