AAL Options History — July 2019

In July 2019, AAL traded between $30.62 and $34.86. ATM implied volatility averaged 34.6%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 2.5% (HV 20d: 32.1%). Max pain ranged from $30.00 to $33.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.51.

Notable Days

  • 2019-07-01: Highest Volume — 101,748 contracts
  • 2019-07-11: Largest IV drop — 5.5% change
  • 2019-07-09: Highest IV Rank — 27.6%
  • 2019-07-09: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.71$30.62$34.86$32.80$30.62
Max Pain$32.27$30.00$33.00$30.00$32.50
ATM IV34.6%31.6%37.6%36.5%32.5%
Expected Move9.7%7.9%10.6%8.4%9.1%
HV 20d32.1%23.1%43.8%41.0%43.0%
HV 60d35.9%34.1%40.4%34.7%40.0%
IV Rank19.5%11.3%27.6%24.7%13.5%
IV Percentile35.9%19.8%53.6%46.0%22.2%
Term Structure-0.4%-1.0%0.3%-0.3%-0.3%
VWIV34.1%27.5%37.8%29.8%31.8%
Skew 25d3.5%1.9%4.5%4.0%3.4%
Skew 10d7.2%3.2%9.4%8.7%7.3%
Call IV 25d33.2%31.2%35.4%34.4%31.2%
Put IV 25d36.8%33.5%39.7%38.4%34.6%
Bid-Ask Spread %2.911.974.882.634.78
Gamma HHI0.120.070.160.070.15
Net GEX9.7M-1.5M19.4M7.4M-1.5M
Net DEX-137.7M-439.5M192.4M-109.4M192.4M
Net VEX-3.2M-3.4M-2.7M-2.9M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.261.011.010.70
Total Volume44,074.95516,990101,748101,74829,096
Total OI715,556.773562,077772,517562,077754,552

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-07-01$32.80$30.0036.5%8.4%41.0%24.7%29.8%4.0%-0.3%7.4M-109.4M-2.9M1.012.6350,61851,130319,747242,330
2019-07-02$32.28$30.5035.1%7.9%34.4%20.9%27.5%4.3%0.1%4.5M-45.2M-3.2M0.653.0018,16711,740361,547288,028
2019-07-03$32.71$31.0035.0%8.2%32.1%20.6%28.9%3.9%-0.0%7.7M-111.3M-3.2M0.303.2921,6806,444367,981287,931
2019-07-05$32.47$32.0035.9%10.3%32.4%22.9%36.2%3.8%-0.4%4.0M-100.1M-3.2M0.482.4621,76010,523380,105290,266
2019-07-08$32.65$32.0036.6%10.3%31.9%24.8%36.1%4.5%-0.8%8.0M-123.3M-3.2M0.382.7432,17912,141384,131286,796
2019-07-09$32.24$32.0037.6%10.6%32.4%27.6%37.8%4.4%-0.6%7.4M-95.3M-3.3M0.652.9321,35613,792407,392294,601
2019-07-10$32.93$32.0036.3%10.3%32.7%24.2%36.2%4.3%-0.2%12.8M-217.0M-3.3M0.392.3447,78318,506416,674299,780
2019-07-11$33.01$32.0034.4%9.8%32.6%18.7%34.0%3.5%-0.4%18.0M-253.5M-3.4M0.401.9733,15213,411440,358304,431
2019-07-12$33.80$32.0033.1%9.5%23.9%15.4%34.7%3.8%-0.2%18.5M-365.2M-3.4M0.633.2731,71519,858435,130308,647
2019-07-15$33.72$32.0033.5%9.5%23.5%16.3%34.7%3.6%-0.2%16.5M-307.7M-3.3M0.591.9810,6566,334428,819300,062
2019-07-16$34.27$32.0034.8%10.0%24.1%20.1%35.0%3.4%-1.0%19.4M-404.4M-3.4M0.282.0545,95212,984433,081302,451
2019-07-17$33.27$33.0036.1%10.3%26.5%23.5%36.3%3.6%-0.9%14.0M-235.7M-3.4M0.622.4619,92112,386445,635307,004
2019-07-18$33.69$33.0034.4%9.9%25.9%18.8%35.2%3.5%0.0%18.7M-312.8M-3.4M0.712.5812,6798,950449,676308,257
2019-07-19$33.25$33.0034.5%9.9%23.3%19.1%34.6%3.1%-0.3%11.3M-239.9M-3.3M0.562.8319,07810,601451,318309,350
2019-07-22$32.94$33.0035.5%10.5%23.1%21.9%36.6%3.9%-0.7%10.0M-137.4M-3.2M0.263.1223,5686,109412,546287,339
2019-07-23$33.68$33.0035.6%10.6%24.2%22.1%37.3%2.9%-0.7%14.0M-249.6M-3.3M0.362.7521,3387,730419,209289,924
2019-07-24$34.86$33.0034.6%10.3%25.7%19.4%36.6%3.0%-0.8%19.3M-439.5M-3.4M0.264.1260,24415,938428,864292,355
2019-07-25$31.71$33.0033.3%9.8%43.8%15.8%34.1%2.3%0.3%3.6M45.0M-3.0M0.814.8843,11734,902447,254299,437
2019-07-26$31.29$33.0031.6%8.9%43.4%11.3%31.1%1.9%0.0%913.3K126.6M-2.9M0.452.6945,55920,427460,250312,267
2019-07-29$30.79$33.0032.4%9.2%43.4%13.2%32.6%3.4%-0.1%-1.0M173.0M-2.8M0.352.5030,01010,624439,126301,369
2019-07-30$30.70$33.0032.9%9.3%43.3%14.7%32.5%3.0%-0.5%-1.2M180.7M-2.8M0.482.6317,2268,265441,526304,703
2019-07-31$30.62$32.5032.5%9.1%43.0%13.5%31.8%3.4%-0.3%-1.5M192.4M-2.7M0.704.7817,12411,972447,327307,225