AAL Options History — October 2018

In October 2018, AAL traded between $30.77 and $39.63. ATM implied volatility averaged 46.6%, placing in the 79.7% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 2.5% (HV 20d: 44.0%). Max pain ranged from $34.00 to $40.00. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 0.56.

Notable Days

2018-10-24: Highest Volume — 133,461 contracts
2018-10-25: Largest IV drop — 13.9% change
2018-10-10: Highest IV Rank — 100.0%
2018-10-24: Largest Expected Move — 16.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.96	$30.77	$39.63	$39.63	$35.28
Max Pain	$37.26	$34.00	$40.00	$39.00	$35.00
ATM IV	46.6%	37.8%	54.7%	37.8%	43.7%
Expected Move	13.5%	9.8%	16.2%	9.8%	13.8%
HV 20d	44.0%	35.2%	58.8%	35.8%	58.8%
HV 60d	36.8%	31.5%	42.8%	35.5%	42.8%
IV Rank	79.7%	59.9%	100.0%	59.9%	63.9%
IV Percentile	97.3%	89.7%	100.0%	89.7%	92.5%
Term Structure	-1.5%	-3.6%	1.3%	-0.5%	-0.4%
VWIV	47.4%	34.3%	57.2%	34.3%	51.9%
Skew 25d	3.5%	1.8%	5.3%	3.2%	4.7%
Skew 10d	6.5%	-0.6%	12.7%	6.9%	7.2%
Call IV 25d	45.7%	36.4%	54.2%	36.4%	42.9%
Put IV 25d	49.2%	39.6%	57.8%	39.6%	47.5%
Bid-Ask Spread %	6.31	3.51	16.15	4.02	5.17
Gamma HHI	0.08	0.06	0.10	0.09	0.07
Net GEX	3.5M	-1.8M	10.3M	8.8M	10.3M
Net DEX	331.1M	21.7M	549.2M	21.7M	48.3M
Net VEX	-3.0M	-3.8M	-2.4M	-3.5M	-3.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.23	1.12	0.87	0.54
Total Volume	71,198.13	42,019	133,461	63,267	56,691
Total OI	782,348.609	622,333	880,235	622,333	842,046

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
2018-10-01	$39.63	$39.00	37.8%	9.8%	35.8%	59.9%	34.3%	3.2%	-0.5%	8.8M	21.7M	-3.5M	0.87	4.02	33,919	29,348	364,870	257,463
2018-10-02	$38.60	$39.00	38.5%	9.9%	36.9%	63.3%	34.6%	3.3%	-0.6%	5.7M	142.4M	-3.4M	1.12	7.13	28,063	31,463	380,886	267,001
2018-10-03	$38.67	$39.00	39.4%	10.0%	36.1%	67.3%	35.2%	2.8%	-0.4%	7.2M	119.5M	-3.5M	0.51	8.89	37,255	19,159	393,290	272,861
2018-10-04	$37.97	$40.00	40.6%	11.2%	35.2%	72.8%	38.5%	3.5%	-0.4%	6.3M	188.0M	-3.4M	0.40	3.63	54,204	21,474	411,113	273,259
2018-10-05	$36.60	$40.00	42.0%	11.6%	37.4%	78.7%	39.8%	3.7%	-1.3%	3.0M	308.9M	-3.2M	0.50	3.79	50,107	25,210	420,723	276,608
2018-10-08	$35.89	$40.00	44.1%	12.0%	36.4%	88.2%	42.2%	4.0%	-2.1%	1.9M	344.7M	-3.0M	0.66	3.64	35,223	23,106	427,478	276,370
2018-10-09	$33.65	$40.00	46.6%	13.0%	40.9%	99.4%	46.3%	3.0%	-1.8%	-1.6M	471.2M	-2.6M	0.39	3.59	68,018	26,575	443,026	284,992
2018-10-10	$31.99	$39.00	51.7%	14.3%	43.2%	100.0%	48.9%	1.8%	-2.0%	-1.8M	534.8M	-2.4M	0.32	16.15	84,375	27,199	473,890	296,161
2018-10-11	$31.47	$38.00	54.7%	15.1%	42.8%	100.0%	51.1%	3.6%	-2.8%	-1.2M	540.2M	-2.4M	0.23	8.83	68,414	15,393	514,340	303,732
2018-10-12	$31.11	$38.00	50.5%	14.1%	42.4%	86.2%	49.2%	4.3%	-2.1%	-1.2M	549.2M	-2.4M	0.63	5.87	35,185	22,049	535,985	304,647
2018-10-15	$32.03	$38.00	48.5%	13.7%	43.5%	79.6%	47.1%	4.0%	-2.5%	-400.6K	490.9M	-2.5M	0.41	3.51	43,447	17,928	512,418	299,232
2018-10-16	$33.27	$37.00	45.3%	12.9%	46.6%	69.1%	45.8%	3.0%	-2.9%	1.8M	412.0M	-2.8M	0.50	3.72	34,541	17,123	525,343	301,780
2018-10-17	$33.61	$37.00	45.9%	13.2%	45.8%	71.1%	46.8%	2.4%	-2.7%	3.9M	365.8M	-3.0M	0.58	4.41	39,844	22,937	534,567	303,900
2018-10-18	$32.02	$37.00	49.0%	14.2%	47.4%	81.3%	50.1%	3.6%	-3.4%	807.5K	463.5M	-2.7M	0.56	3.62	36,380	20,555	542,687	306,984
2018-10-19	$32.03	$37.00	49.4%	14.5%	43.1%	82.5%	50.5%	2.4%	-3.6%	414.2K	455.4M	-2.8M	0.70	5.70	35,968	25,334	561,540	311,408
2018-10-22	$32.30	$35.00	47.7%	14.4%	43.1%	77.1%	50.4%	3.2%	-1.5%	3.1M	353.7M	-2.8M	0.74	5.27	24,082	17,937	483,016	287,284
2018-10-23	$32.25	$35.00	50.5%	15.8%	42.8%	86.4%	55.6%	2.7%	-0.8%	3.8M	338.3M	-2.9M	0.49	8.47	45,370	22,042	492,872	293,284
2018-10-24	$30.77	$34.00	52.4%	16.2%	43.6%	92.6%	56.3%	3.6%	-2.0%	2.8M	407.5M	-2.7M	0.54	8.77	86,913	46,548	512,946	297,718
2018-10-25	$32.80	$35.00	45.2%	13.8%	51.3%	68.6%	49.7%	3.5%	-1.1%	7.0M	300.6M	-3.2M	0.52	4.34	87,376	45,162	536,937	328,251
2018-10-26	$32.53	$35.00	50.0%	15.4%	51.3%	84.7%	54.8%	3.9%	1.3%	7.7M	292.7M	-3.4M	0.67	10.50	33,332	22,427	548,714	331,521
2018-10-29	$32.07	$35.00	49.3%	15.8%	50.2%	82.1%	57.2%	5.3%	-0.8%	3.4M	343.6M	-3.2M	0.52	12.25	37,697	19,699	505,621	323,129
2018-10-30	$34.54	$35.00	48.1%	15.3%	58.1%	78.3%	53.6%	4.5%	-0.8%	8.0M	122.7M	-3.7M	0.56	3.78	40,154	22,331	507,815	324,310
2018-10-31	$35.28	$35.00	43.7%	13.8%	58.8%	63.9%	51.9%	4.7%	-0.4%	10.3M	48.3M	-3.8M	0.54	5.17	36,814	19,877	513,599	328,447