AAL Options History — December 2018

In December 2018, AAL traded between $30.02 and $39.68. ATM implied volatility averaged 49.6%, placing in the 75.9% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded below realized volatility by 0.0% (HV 20d: 49.7%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.70.

Notable Days

2018-12-14: Highest Volume — 73,266 contracts
2018-12-04: Largest IV spike — 14.5% change
2018-12-21: Highest IV Rank — 100.0%
2018-12-24: Largest Expected Move — 18.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.49	$30.02	$39.68	$39.68	$32.11
Max Pain	$38.00	$37.00	$40.00	$38.00	$37.00
ATM IV	49.6%	35.9%	63.8%	35.9%	54.5%
Expected Move	14.3%	10.8%	18.2%	10.8%	15.1%
HV 20d	49.7%	34.7%	57.9%	34.7%	55.3%
HV 60d	48.9%	44.2%	51.5%	44.2%	51.2%
IV Rank	75.9%	38.1%	100.0%	38.1%	74.8%
IV Percentile	93.3%	65.5%	100.0%	65.5%	97.2%
Term Structure	0.8%	-1.8%	2.9%	0.3%	-1.8%
VWIV	49.5%	38.0%	61.1%	38.0%	51.3%
Skew 25d	5.7%	3.6%	14.4%	3.7%	6.3%
Skew 10d	11.8%	4.3%	28.0%	6.7%	13.0%
Call IV 25d	47.5%	34.4%	59.3%	34.4%	51.7%
Put IV 25d	53.3%	38.1%	73.3%	38.1%	57.9%
Bid-Ask Spread %	4.69	2.71	13.92	2.71	4.28
Gamma HHI	0.09	0.06	0.14	0.11	0.07
Net GEX	2.5M	-4.0M	14.9M	14.9M	1.5M
Net DEX	287.0M	-389.8M	523.7M	-389.8M	308.2M
Net VEX	-3.4M	-4.0M	-2.9M	-4.0M	-3.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.20	2.14	0.55	0.20
Total Volume	44,660.4	23,824	73,266	25,768	28,687
Total OI	874,776.5	798,164	953,105	798,164	860,549

Daily Data (20 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
2018-12-03	$39.68	$38.00	35.9%	10.8%	34.7%	38.1%	38.0%	3.7%	0.3%	14.9M	-389.8M	-4.0M	0.55	2.71	16,589	9,179	460,864	337,300
2018-12-04	$36.75	$38.00	41.1%	12.9%	44.4%	55.3%	44.9%	3.9%	1.1%	8.1M	25.5M	-3.9M	0.59	4.75	34,224	20,261	465,520	339,001
2018-12-05	$36.71	$38.00	44.6%	13.3%	43.7%	66.8%	46.2%	3.6%	0.3%	8.0M	32.1M	-3.8M	0.59	13.92	34,796	20,524	465,520	339,001
2018-12-06	$36.94	$39.00	42.5%	12.2%	39.9%	59.9%	42.0%	4.7%	0.5%	7.9M	20.0M	-3.9M	0.27	3.60	38,571	10,317	466,517	348,045
2018-12-07	$34.30	$40.00	44.6%	13.2%	47.9%	66.7%	44.9%	5.5%	0.3%	350.8K	329.2M	-3.5M	0.27	6.36	45,714	12,316	470,044	353,115
2018-12-10	$33.83	$39.00	47.8%	13.9%	48.0%	77.2%	48.1%	4.8%	0.3%	1.6M	325.7M	-3.6M	0.22	3.52	41,619	9,014	494,183	350,512
2018-12-11	$34.01	$39.00	45.8%	13.5%	47.5%	70.6%	47.0%	4.6%	0.9%	3.7M	291.5M	-3.6M	0.24	2.99	42,613	10,088	517,527	352,757
2018-12-12	$34.41	$39.00	43.2%	12.8%	47.0%	62.0%	43.0%	4.1%	1.6%	5.0M	259.3M	-3.6M	0.90	4.03	31,064	28,039	531,338	354,388
2018-12-13	$32.57	$39.00	44.5%	13.0%	50.0%	66.5%	44.7%	3.7%	1.2%	-510.7K	467.6M	-3.2M	0.63	4.86	44,292	28,100	540,256	360,211
2018-12-14	$32.34	$39.00	45.5%	13.6%	50.0%	69.8%	45.9%	3.6%	2.9%	-959.0K	466.8M	-3.2M	1.17	3.64	33,743	39,523	553,235	363,149
2018-12-17	$31.79	$38.00	49.7%	14.3%	49.6%	83.5%	51.9%	5.2%	2.0%	-1.9M	506.9M	-3.2M	0.55	3.01	27,349	14,989	548,530	367,985
2018-12-18	$33.44	$38.00	47.9%	13.8%	53.2%	77.8%	46.9%	4.7%	2.6%	1.3M	330.6M	-3.6M	0.43	2.86	20,406	8,753	561,986	375,734
2018-12-19	$32.34	$37.00	48.7%	14.0%	54.3%	80.2%	47.6%	5.0%	2.4%	-2.1M	445.9M	-3.3M	1.08	4.40	12,371	13,390	568,400	377,633
2018-12-20	$31.88	$37.00	54.6%	15.6%	53.8%	99.7%	55.5%	6.0%	0.4%	-4.0M	438.6M	-3.3M	1.04	4.62	16,760	17,492	570,131	375,206
2018-12-21	$30.97	$37.00	57.9%	16.4%	50.8%	100.0%	56.5%	7.2%	1.6%	349.3K	523.7M	-3.2M	1.00	3.79	22,470	22,548	571,344	381,761
2018-12-24	$30.02	$37.00	63.8%	18.2%	51.1%	100.0%	61.1%	14.4%	-0.5%	616.1K	428.5M	-2.9M	2.14	5.86	8,554	18,266	533,909	326,280
2018-12-26	$32.08	$37.00	60.6%	16.7%	57.9%	91.2%	59.3%	8.6%	0.9%	2.0M	303.1M	-3.3M	0.60	3.70	37,328	22,446	535,759	330,484
2018-12-27	$31.86	$37.00	61.3%	16.9%	57.2%	93.1%	61.1%	8.3%	-1.1%	2.7M	298.8M	-3.3M	0.61	5.00	14,838	8,986	542,364	327,522
2018-12-28	$31.76	$37.00	58.3%	15.8%	57.3%	84.9%	54.9%	6.5%	0.1%	1.7M	327.0M	-3.2M	0.87	5.86	14,469	12,520	547,078	330,392
2018-12-31	$32.11	$37.00	54.5%	15.1%	55.3%	74.8%	51.3%	6.3%	-1.8%	1.5M	308.2M	-3.1M	0.20	4.28	23,984	4,703	536,961	323,588