AAL Options History — November 2018

In November 2018, AAL traded between $34.99 and $40.02. ATM implied volatility averaged 41.7%, placing in the 57.3% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 6.2% (HV 20d: 47.9%). Max pain ranged from $35.00 to $38.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.86.

Notable Days

2018-11-07: Highest Volume — 83,666 contracts
2018-11-07: Largest IV drop — 11.6% change
2018-11-20: Highest IV Rank — 77.6%
2018-11-20: Largest Expected Move — 13.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.17	$34.99	$40.02	$36.32	$40.02
Max Pain	$36.29	$35.00	$38.00	$35.00	$38.00
ATM IV	41.7%	36.8%	47.9%	41.6%	39.6%
Expected Move	12.1%	10.7%	13.7%	12.7%	11.7%
HV 20d	47.9%	33.7%	59.8%	59.8%	34.4%
HV 60d	43.7%	43.0%	44.5%	43.3%	44.2%
IV Rank	57.3%	41.0%	77.6%	56.8%	50.3%
IV Percentile	88.0%	76.2%	95.6%	91.7%	81.0%
Term Structure	-0.6%	-2.4%	1.2%	-0.3%	-1.4%
VWIV	43.1%	37.5%	49.3%	46.6%	41.7%
Skew 25d	4.0%	2.6%	4.8%	4.2%	3.6%
Skew 10d	8.1%	6.2%	9.7%	8.1%	7.2%
Call IV 25d	40.5%	36.6%	46.4%	40.4%	38.1%
Put IV 25d	44.4%	39.2%	51.2%	44.5%	41.7%
Bid-Ask Spread %	4.50	3.15	9.47	3.82	3.24
Gamma HHI	0.08	0.07	0.15	0.07	0.15
Net GEX	11.2M	6.2M	17.2M	11.6M	17.2M
Net DEX	-111.6M	-456.8M	135.1M	-57.3M	-456.8M
Net VEX	-4.0M	-4.2M	-3.6M	-3.9M	-4.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.40	1.49	0.45	0.65
Total Volume	55,704.429	39,859	83,666	57,756	56,787
Total OI	833,513.619	749,696	905,347	844,880	815,823

Daily Data (21 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
2018-11-01	$36.32	$35.00	41.6%	12.7%	59.8%	56.8%	46.6%	4.2%	-0.3%	11.6M	-57.3M	-3.9M	0.45	3.82	39,950	17,806	513,870	331,010
2018-11-02	$36.44	$35.00	42.0%	13.0%	58.4%	58.2%	46.4%	4.1%	-0.5%	11.0M	-69.7M	-3.9M	1.10	4.35	38,746	42,806	514,551	332,867
2018-11-05	$35.72	$36.00	42.8%	12.0%	58.4%	60.7%	43.3%	4.4%	-0.2%	8.8M	60.3M	-3.7M	0.54	4.88	27,107	14,600	500,181	323,867
2018-11-06	$34.99	$36.00	41.6%	11.9%	53.9%	56.9%	40.9%	3.8%	-0.1%	7.8M	135.1M	-3.6M	0.92	3.55	36,397	33,560	502,950	323,649
2018-11-07	$36.79	$36.00	36.8%	10.7%	52.7%	41.0%	37.7%	2.6%	1.2%	11.4M	-79.8M	-4.0M	0.43	5.71	58,704	24,962	523,533	340,500
2018-11-08	$36.54	$36.00	37.6%	10.8%	52.3%	43.7%	37.5%	3.7%	0.3%	11.4M	-47.0M	-4.0M	0.70	4.14	32,745	22,827	531,940	346,667
2018-11-09	$36.40	$36.00	38.6%	11.4%	52.0%	46.9%	40.0%	3.8%	0.0%	11.5M	-43.5M	-4.0M	0.74	5.11	27,703	20,546	541,812	353,052
2018-11-12	$37.01	$36.00	42.8%	12.1%	51.5%	60.7%	43.8%	4.4%	-0.4%	11.4M	-111.6M	-4.1M	0.81	4.46	30,921	24,967	534,111	349,389
2018-11-13	$37.78	$36.00	42.0%	11.9%	50.4%	58.1%	42.0%	4.3%	-0.3%	12.8M	-222.7M	-4.1M	0.40	4.18	48,609	19,588	537,214	355,295
2018-11-14	$38.11	$36.00	43.3%	12.4%	50.4%	62.6%	43.4%	3.7%	0.1%	14.3M	-276.6M	-4.2M	0.86	3.69	21,820	18,722	543,635	356,470
2018-11-15	$37.83	$36.00	43.9%	12.3%	46.5%	64.5%	44.1%	4.2%	-1.2%	12.7M	-225.5M	-4.1M	0.90	4.95	21,688	19,556	543,014	358,586
2018-11-16	$36.83	$36.00	41.3%	11.6%	48.1%	55.9%	40.7%	3.4%	-1.2%	8.9M	-67.2M	-3.9M	0.86	7.23	31,663	27,230	544,074	361,273
2018-11-19	$35.95	$36.00	44.7%	12.8%	49.3%	67.0%	45.1%	4.4%	-2.4%	6.2M	76.8M	-3.8M	0.52	3.89	40,729	20,975	435,995	313,701
2018-11-20	$35.77	$36.00	47.9%	13.7%	49.4%	77.6%	49.3%	4.8%	-2.3%	6.4M	83.9M	-3.9M	1.06	3.64	19,342	20,517	443,512	318,384
2018-11-21	$36.30	$36.00	43.2%	12.4%	45.4%	62.1%	43.5%	4.6%	-1.4%	8.0M	40.6M	-3.9M	1.17	3.72	18,991	22,187	447,017	321,611
2018-11-23	$37.95	$36.00	45.4%	13.2%	42.7%	69.3%	46.5%	4.2%	-2.4%	12.4M	-178.6M	-4.1M	0.54	9.47	42,583	23,054	451,772	324,443
2018-11-26	$38.08	$36.00	42.0%	12.6%	42.4%	58.3%	44.1%	3.7%	-0.2%	12.9M	-186.6M	-4.0M	1.39	3.88	29,209	40,479	452,031	319,960
2018-11-27	$38.29	$38.00	41.2%	12.2%	41.6%	55.7%	44.5%	4.0%	-0.4%	11.9M	-199.5M	-4.1M	1.49	3.47	19,480	29,106	457,623	332,189
2018-11-28	$38.90	$38.00	38.8%	11.8%	33.9%	47.6%	41.7%	3.7%	0.2%	13.5M	-278.6M	-4.2M	1.19	3.94	19,565	23,368	458,793	339,933
2018-11-29	$38.62	$38.00	39.1%	11.8%	33.7%	48.7%	41.8%	3.7%	-0.6%	13.2M	-240.2M	-4.1M	1.35	3.15	17,098	23,100	464,297	343,192
2018-11-30	$40.02	$38.00	39.6%	11.7%	34.4%	50.3%	41.7%	3.6%	-1.4%	17.2M	-456.8M	-4.2M	0.65	3.24	34,475	22,312	466,451	349,372