AAL Options History — June 2019

In June 2019, AAL traded between $27.15 and $33.24. ATM implied volatility averaged 36.8%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 6.7% (HV 20d: 43.5%). Max pain ranged from $29.00 to $33.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2019-06-24: Highest Volume — 97,117 contracts
  • 2019-06-20: Largest IV spike — 7.2% change
  • 2019-06-27: Highest IV Rank — 37.0%
  • 2019-06-03: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.42$27.15$33.24$27.15$32.58
Max Pain$30.15$29.00$33.00$33.00$30.00
ATM IV36.8%32.8%41.0%41.0%39.9%
Expected Move10.2%9.4%12.2%12.2%9.6%
HV 20d43.5%27.8%47.7%27.8%41.3%
HV 60d34.3%29.0%36.1%29.0%34.7%
IV Rank25.4%14.4%37.0%37.0%34.0%
IV Percentile48.3%25.8%72.6%72.6%68.3%
Term Structure0.8%-1.0%4.4%-0.8%-1.0%
VWIV36.2%32.9%41.9%41.9%32.9%
Skew 25d3.9%3.2%4.8%4.5%4.0%
Skew 10d8.0%6.1%9.6%9.0%9.4%
Call IV 25d35.2%31.3%39.3%38.7%38.7%
Put IV 25d39.1%34.7%43.7%43.2%42.7%
Bid-Ask Spread %3.321.835.671.832.40
Gamma HHI0.100.050.150.150.09
Net GEX2.1M-4.3M8.4M-4.3M8.4M
Net DEX-22.2M-228.6M379.9M379.9M-106.1M
Net VEX-3.1M-3.4M-2.5M-2.5M-3.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.391.990.390.52
Total Volume34,15816,11997,11725,54929,648
Total OI674,804.5555,622741,849681,954571,914

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-06-03$27.15$33.0041.0%12.2%27.8%37.0%41.9%4.5%-0.8%-4.3M379.9M-2.5M0.391.8318,3677,182373,615308,339
2019-06-04$29.20$33.0038.2%11.1%41.1%29.3%38.7%4.7%-0.1%-1.6M197.9M-3.0M1.272.6225,32432,061382,485308,282
2019-06-05$30.38$33.0037.4%10.8%44.0%27.0%38.9%4.2%-0.0%448.5K63.7M-3.2M0.605.1127,33716,530388,886308,828
2019-06-06$30.44$29.0036.8%10.7%44.0%25.4%37.0%3.7%0.3%517.0K52.9M-3.2M1.172.6313,43315,775394,659312,118
2019-06-07$30.97$29.0035.2%10.2%44.6%21.0%36.5%3.2%0.1%2.8M-4.9M-3.3M0.642.4021,31813,696395,994316,079
2019-06-10$30.91$29.0035.7%10.3%44.6%22.4%36.1%4.0%0.3%1.1M28.4M-3.2M0.692.5811,0557,653385,615308,406
2019-06-11$30.62$29.0035.4%10.1%40.5%21.6%36.3%3.6%0.2%669.5K60.9M-3.1M1.094.528,2659,011387,255311,226
2019-06-12$30.95$29.0034.9%10.2%40.7%20.2%35.5%3.3%0.4%1.3M30.3M-3.2M1.034.509,1679,480388,528314,868
2019-06-13$33.09$29.0035.2%10.1%47.5%21.1%36.9%3.9%-0.3%4.3M-228.6M-3.4M0.673.0240,15326,860391,193315,306
2019-06-14$32.72$30.0034.7%9.9%47.7%19.6%35.4%4.1%-0.4%2.1M-176.0M-3.3M0.992.6519,81419,712398,169321,122
2019-06-17$32.72$30.0034.7%9.9%47.3%19.6%34.6%3.7%3.8%2.1M-167.0M-3.3M1.272.7011,08614,068393,398315,510
2019-06-18$32.57$30.0033.8%9.7%46.3%17.1%34.1%3.9%4.3%1.7M-133.4M-3.2M0.492.8210,7865,333394,382320,026
2019-06-19$33.24$30.0032.8%9.4%46.6%14.4%33.9%3.4%4.4%1.8M-221.9M-3.2M0.783.2510,7168,368397,034322,021
2019-06-20$32.16$30.0035.1%9.9%44.7%20.9%33.4%3.7%3.6%1.6M-69.0M-3.1M0.562.9228,36215,916397,855323,800
2019-06-21$31.78$30.0035.4%9.8%44.7%21.7%35.5%4.2%3.9%4.4M-18.7M-3.1M1.994.4912,91725,713412,295329,554
2019-06-24$31.80$30.0037.8%9.8%44.3%28.2%37.7%4.3%-0.9%4.3M-82.2M-3.1M0.973.2249,26247,855342,958282,859
2019-06-25$31.34$30.0039.9%10.3%43.9%33.9%36.5%4.3%-0.5%2.6M21.5M-2.9M0.662.7110,2956,819310,236245,386
2019-06-26$31.60$30.0040.9%10.2%43.8%36.8%35.6%3.6%-0.2%3.2M-3.5M-2.9M0.614.3212,6897,760313,951244,636
2019-06-27$32.25$30.0041.0%10.1%43.7%37.0%35.6%4.8%-0.9%5.5M-67.6M-3.0M0.745.6713,4599,915320,879246,423
2019-06-28$32.58$30.0039.9%9.6%41.3%34.0%32.9%4.0%-1.0%8.4M-106.1M-3.0M0.522.4019,47910,169323,977247,937