AAL Options History — August 2018

In August 2018, AAL traded between $36.89 and $40.63. ATM implied volatility averaged 29.3%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 3.4% (HV 20d: 32.6%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 1.00.

Notable Days

2018-08-27: Highest Volume — 145,579 contracts
2018-08-10: Largest IV spike — 6.5% change
2018-08-01: Highest IV Rank — 35.6%
2018-08-01: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.77	$36.89	$40.63	$38.26	$40.50
Max Pain	$38.35	$37.00	$40.00	$40.00	$37.00
ATM IV	29.3%	27.6%	32.3%	32.3%	27.8%
Expected Move	8.5%	7.8%	9.5%	9.5%	7.9%
HV 20d	32.6%	27.9%	42.5%	42.0%	28.4%
HV 60d	32.0%	31.2%	32.8%	32.3%	32.7%
IV Rank	22.0%	14.4%	35.6%	35.6%	15.6%
IV Percentile	27.9%	6.0%	70.2%	70.2%	9.5%
Term Structure	0.3%	-0.7%	0.7%	-0.7%	0.6%
VWIV	30.0%	27.7%	34.4%	34.4%	27.7%
Skew 25d	2.1%	1.3%	2.9%	2.3%	2.4%
Skew 10d	4.2%	2.7%	5.5%	4.2%	5.1%
Call IV 25d	28.9%	27.0%	32.3%	32.3%	27.0%
Put IV 25d	31.1%	29.2%	34.6%	34.6%	29.4%
Bid-Ask Spread %	5.67	2.75	27.29	9.24	5.12
Gamma HHI	0.11	0.07	0.28	0.09	0.16
Net GEX	1.2M	-5.2M	15.2M	-2.9M	6.1M
Net DEX	141.5M	-144.9M	388.2M	245.5M	-47.2M
Net VEX	-3.6M	-4.3M	-3.2M	-3.5M	-4.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.42	6.60	0.72	0.58
Total Volume	36,410.043	18,493	145,579	34,046	33,260
Total OI	692,558.696	534,287	782,624	721,790	714,895

Daily Data (23 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
2018-08-01	$38.26	$40.00	32.3%	9.5%	42.0%	35.6%	34.4%	2.3%	-0.7%	-2.9M	245.5M	-3.5M	0.72	9.24	19,820	14,226	430,975	290,815
2018-08-02	$37.92	$40.00	31.0%	9.1%	42.2%	29.9%	32.7%	2.1%	-0.4%	-3.2M	284.5M	-3.4M	0.45	6.76	23,454	10,467	438,999	295,584
2018-08-03	$38.57	$40.00	30.6%	8.7%	42.5%	27.9%	32.0%	1.6%	-0.4%	-1.6M	202.0M	-3.6M	0.57	4.12	15,935	9,122	450,375	297,842
2018-08-06	$38.42	$40.00	29.1%	8.6%	41.2%	21.2%	30.3%	1.7%	0.4%	-4.8M	224.7M	-3.5M	1.16	3.38	8,560	9,933	440,248	293,743
2018-08-07	$38.32	$40.00	28.6%	8.4%	41.2%	19.1%	29.4%	1.3%	0.7%	-4.9M	229.3M	-3.5M	0.86	3.68	11,712	10,034	442,166	292,289
2018-08-08	$38.53	$40.00	28.0%	8.2%	28.5%	16.4%	29.1%	1.6%	0.3%	-5.2M	206.8M	-3.5M	0.62	3.15	18,462	11,502	444,352	294,300
2018-08-09	$38.03	$40.00	28.6%	8.4%	29.1%	18.9%	29.6%	1.3%	0.5%	-4.7M	266.5M	-3.4M	0.78	5.76	14,106	10,975	452,863	295,820
2018-08-10	$37.14	$40.00	30.4%	8.9%	29.4%	27.2%	31.5%	2.5%	0.6%	-5.0M	362.0M	-3.2M	0.96	4.03	26,161	25,185	457,370	296,985
2018-08-13	$36.89	$39.00	30.4%	8.9%	29.4%	27.3%	31.0%	2.6%	0.3%	-4.1M	388.2M	-3.2M	0.59	3.26	16,124	9,446	454,205	305,094
2018-08-14	$37.19	$39.00	29.5%	8.6%	29.5%	23.1%	29.6%	2.4%	0.3%	-4.1M	361.5M	-3.2M	0.61	12.82	15,948	9,675	458,284	307,517
2018-08-15	$37.32	$39.00	31.2%	9.2%	27.9%	30.6%	32.0%	2.4%	0.7%	-2.6M	346.6M	-3.3M	0.88	27.29	18,933	16,607	460,632	306,580
2018-08-16	$38.18	$37.00	29.4%	8.5%	29.0%	22.6%	29.9%	2.3%	0.4%	-4.2M	254.8M	-3.4M	0.75	3.98	17,755	13,337	467,459	313,466
2018-08-17	$37.99	$37.00	28.1%	8.2%	29.0%	16.7%	29.2%	1.8%	0.6%	15.2M	288.0M	-3.4M	0.81	4.01	15,868	12,828	469,340	313,284
2018-08-20	$39.96	$37.00	29.7%	8.5%	34.1%	23.9%	30.0%	2.5%	0.4%	6.8M	-73.0M	-3.6M	0.42	4.46	38,916	16,293	301,975	232,312
2018-08-21	$40.42	$37.00	29.3%	8.4%	33.6%	22.2%	30.3%	2.2%	0.2%	10.2M	-144.9M	-3.6M	0.69	5.42	18,260	12,592	317,365	235,970
2018-08-22	$39.34	$37.00	29.6%	8.5%	34.8%	23.7%	30.0%	2.4%	-0.1%	8.3M	-38.7M	-3.5M	0.79	3.17	18,844	14,943	319,632	238,176
2018-08-23	$38.89	$37.00	29.0%	8.3%	30.1%	20.9%	29.3%	2.9%	0.2%	8.2M	5.4M	-3.5M	1.06	2.75	11,390	12,123	328,393	241,860
2018-08-24	$38.85	$37.00	28.5%	8.1%	29.9%	18.7%	28.6%	2.6%	0.4%	9.5M	9.5M	-3.4M	0.92	3.72	12,604	11,602	330,243	244,087
2018-08-27	$39.42	$37.00	28.1%	8.0%	29.8%	17.0%	28.1%	2.0%	0.5%	8.6M	-38.7M	-3.5M	6.60	3.77	19,146	126,433	323,033	237,801
2018-08-28	$40.63	$38.00	28.5%	8.0%	31.4%	18.6%	28.5%	2.2%	0.3%	-749.1K	-33.6M	-4.3M	0.61	4.20	25,946	15,853	335,810	353,442
2018-08-29	$40.57	$37.00	27.6%	7.8%	29.0%	14.4%	27.8%	1.9%	0.4%	1.7M	-46.7M	-4.2M	0.88	2.89	15,802	13,939	344,609	353,406
2018-08-30	$40.28	$37.00	27.6%	7.9%	28.9%	14.6%	27.9%	2.2%	0.6%	991.7K	1.4M	-4.2M	0.76	3.51	18,886	14,424	348,825	356,429
2018-08-31	$40.50	$37.00	27.8%	7.9%	28.4%	15.6%	27.7%	2.4%	0.6%	6.1M	-47.2M	-4.2M	0.58	5.12	21,090	12,170	355,897	358,998