AAL Options History — September 2018

In September 2018, AAL traded between $38.46 and $43.47. ATM implied volatility averaged 31.1%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 0.1% (HV 20d: 31.0%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.39.

Notable Days

  • 2018-09-27: Highest Volume — 146,546 contracts
  • 2018-09-24: Largest IV spike — 14.3% change
  • 2018-09-28: Highest IV Rank — 51.9%
  • 2018-09-07: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.53$38.46$43.47$40.57$41.24
Max Pain$38.84$37.00$39.00$37.00$39.00
ATM IV31.1%27.9%36.0%30.0%36.0%
Expected Move8.6%7.9%9.0%8.7%8.9%
HV 20d31.0%25.9%34.1%28.3%32.8%
HV 60d33.3%32.2%34.6%32.5%34.5%
IV Rank30.1%15.9%51.9%25.4%51.9%
IV Percentile45.4%10.3%83.7%36.5%83.7%
Term Structure1.0%-0.9%4.4%0.2%-0.6%
VWIV30.5%28.6%33.5%31.0%31.1%
Skew 25d2.8%2.3%3.2%2.3%3.2%
Skew 10d6.0%4.9%7.2%4.9%7.2%
Call IV 25d30.1%26.9%35.1%29.5%35.1%
Put IV 25d32.9%29.5%38.3%31.8%38.3%
Bid-Ask Spread %4.592.976.663.035.29
Gamma HHI0.190.090.270.170.09
Net GEX661.2K-9.5M14.7M837.6K14.7M
Net DEX-54.8M-560.8M282.0M-54.0M-173.4M
Net VEX-4.1M-4.2M-3.8M-4.2M-3.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.390.359.080.761.54
Total Volume47,572.73721,658146,54642,76839,632
Total OI739,864.737634,724794,845707,648634,724

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-09-04$40.57$37.0030.0%8.7%28.3%25.4%31.0%2.3%0.2%837.6K-54.0M-4.2M0.763.0324,31418,454356,505351,143
2018-09-05$39.68$38.0030.8%8.8%29.6%29.0%30.5%2.6%0.1%-2.3M81.0M-4.1M0.776.2124,99319,193366,676355,770
2018-09-06$38.52$39.0030.7%8.8%31.6%28.5%30.8%3.2%0.2%-7.3M268.1M-4.0M0.536.6632,06517,090376,800360,655
2018-09-07$38.46$39.0030.7%9.0%31.2%28.5%31.2%3.1%1.1%-9.5M282.0M-4.0M0.724.1917,42212,464374,146364,795
2018-09-10$39.45$39.0030.0%8.7%31.1%25.1%30.3%3.0%0.5%-4.7M110.6M-4.1M0.504.1722,41011,222367,479357,685
2018-09-11$40.22$39.0029.5%8.6%31.3%23.0%29.7%2.7%0.3%1.3M-19.4M-4.2M0.564.8722,82112,823372,876360,899
2018-09-12$39.27$39.0030.9%8.9%32.9%29.1%32.6%3.0%0.2%-3.1M128.7M-4.1M0.355.0139,11113,748379,302362,945
2018-09-13$39.54$39.0029.4%8.5%32.9%22.6%30.6%2.6%0.5%1.0M47.4M-4.1M0.524.0823,50012,122397,202366,227
2018-09-14$39.71$39.0028.6%8.2%32.1%19.1%29.3%2.4%0.2%615.3K21.6M-4.1M1.014.7010,76010,898395,757368,367
2018-09-17$40.47$39.0029.8%8.6%32.5%24.6%30.8%2.9%3.5%3.9M-107.3M-4.0M0.673.7624,67316,509389,455364,642
2018-09-18$40.73$39.0028.7%8.2%27.3%19.4%29.7%2.9%4.4%5.1M-144.2M-4.0M0.965.4012,78112,270392,852370,780
2018-09-19$41.59$39.0027.9%8.0%28.0%15.9%28.6%2.8%4.3%8.4M-299.0M-4.0M1.753.6025,58744,853394,765370,507
2018-09-20$41.67$39.0028.4%7.9%25.9%18.1%28.6%2.5%4.4%6.1M-288.9M-4.1M1.362.9716,99523,094396,547396,267
2018-09-21$43.47$39.0029.6%8.1%28.8%23.6%28.6%2.7%3.7%7.8M-560.8M-4.1M0.714.1641,21529,390397,310397,535
2018-09-24$41.93$39.0033.9%8.8%32.3%42.6%30.8%3.1%-0.9%-378.3K-166.6M-4.1M1.453.9617,50925,321354,580364,236
2018-09-25$40.72$39.0035.0%8.9%34.1%47.6%31.5%2.8%-0.6%-6.1M20.4M-4.1M1.413.8619,57727,585359,425365,199
2018-09-26$41.21$39.0035.1%8.8%32.7%48.3%30.6%2.6%-0.8%-3.2M-64.0M-4.1M1.766.3312,65722,278363,826370,766
2018-09-27$41.56$39.0035.4%8.8%32.8%49.5%33.5%3.2%-0.9%-750.4K-123.2M-4.1M9.084.9414,539132,007367,071371,714
2018-09-28$41.24$39.0036.0%8.9%32.8%51.9%31.1%3.2%-0.6%14.7M-173.4M-3.8M1.545.2915,63124,001371,691263,033