AAL Options History — August 2019

In August 2019, AAL traded between $24.51 and $29.84. ATM implied volatility averaged 38.5%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 3.3% (HV 20d: 41.8%). Max pain ranged from $29.00 to $32.50. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.70.

Notable Days

  • 2019-08-13: Highest Volume — 105,401 contracts
  • 2019-08-05: Largest IV spike — 17.0% change
  • 2019-08-14: Highest IV Rank — 43.4%
  • 2019-08-15: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.99$24.51$29.84$29.84$26.31
Max Pain$29.84$29.00$32.50$32.50$29.00
ATM IV38.5%34.7%43.3%34.7%36.7%
Expected Move11.0%10.1%12.3%10.1%10.4%
HV 20d41.8%31.9%47.0%43.3%40.9%
HV 60d40.3%39.0%41.5%40.0%39.0%
IV Rank30.3%19.8%43.4%19.8%25.0%
IV Percentile58.1%36.9%79.4%37.3%46.0%
Term Structure-0.3%-1.2%0.5%-0.6%0.3%
VWIV38.4%34.8%42.0%35.8%36.3%
Skew 25d4.5%3.4%5.5%3.4%4.6%
Skew 10d8.7%6.4%11.8%8.8%7.6%
Call IV 25d36.7%33.8%41.4%33.8%34.7%
Put IV 25d41.2%37.2%45.9%37.2%39.3%
Bid-Ask Spread %6.382.2613.693.293.32
Gamma HHI0.090.070.220.120.09
Net GEX-2.2M-6.2M2.2M-3.4M2.0M
Net DEX283.6M146.6M393.2M271.3M146.6M
Net VEX-2.3M-2.6M-2.0M-2.6M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.311.530.590.41
Total Volume41,941.63615,376105,40148,91625,555
Total OI721,986.636615,462800,313763,759712,568

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-08-01$29.84$32.5034.7%10.1%43.3%19.8%35.8%3.4%-0.6%-3.4M271.3M-2.6M0.593.2930,83818,078452,578311,181
2019-08-02$29.49$32.0035.7%10.5%43.4%22.4%37.2%4.0%-0.5%-3.1M294.3M-2.6M0.7413.6928,33821,035461,068314,003
2019-08-05$28.52$31.0041.7%11.4%44.4%39.1%39.8%4.4%-0.8%-4.1M355.1M-2.4M0.734.1024,85818,145452,692318,565
2019-08-06$28.35$31.0039.5%11.3%44.3%33.0%38.8%4.9%-0.8%-3.5M364.2M-2.4M0.842.9616,33313,733463,550323,057
2019-08-07$28.70$31.0040.6%11.4%43.7%35.9%39.6%5.4%-0.4%-3.2M322.1M-2.5M0.868.4920,48517,599468,531319,773
2019-08-08$29.11$30.0036.5%10.5%44.2%24.6%36.4%5.0%0.2%-2.2M280.5M-2.5M1.0310.7510,07610,371476,476317,062
2019-08-09$28.94$30.0036.0%10.4%42.8%23.4%36.6%5.3%0.2%-851.2K296.1M-2.5M1.532.6511,71217,964478,611321,702
2019-08-12$27.70$30.0040.6%11.4%44.6%35.9%39.2%5.5%-0.8%-4.3M374.9M-2.3M1.142.3116,05218,273467,190312,776
2019-08-13$27.53$30.0038.0%10.7%43.5%28.8%36.8%3.9%-0.7%-5.0M393.2M-2.3M0.842.6357,40347,998474,133323,825
2019-08-14$26.19$30.0043.3%12.2%45.3%43.4%41.6%4.4%-0.6%-3.9M355.0M-2.2M0.9710.5029,93428,901444,337287,900
2019-08-15$25.36$30.0042.4%12.3%44.8%41.0%42.0%4.6%0.5%-2.8M382.4M-2.0M0.7410.2634,89625,899460,167289,717
2019-08-16$25.80$29.0037.5%10.7%46.2%27.4%37.5%4.0%-0.4%-1.9M362.8M-2.2M0.7011.5220,92314,668480,619297,920
2019-08-19$26.09$29.0036.4%10.4%47.0%24.4%36.5%4.0%-0.0%-2.2M238.6M-2.2M0.442.6826,73911,724366,513248,949
2019-08-20$25.89$29.0036.2%10.3%45.3%23.8%36.4%4.2%0.5%-2.3M244.8M-2.2M0.562.2615,8258,842377,398253,749
2019-08-21$26.45$29.0035.3%10.1%43.7%21.3%34.8%3.7%0.2%-1.5M203.5M-2.3M0.654.1216,80510,859383,614255,510
2019-08-22$26.59$29.0036.4%10.4%31.9%24.3%36.6%3.9%-0.4%-536.7K182.5M-2.3M0.494.8215,4977,645391,656255,066
2019-08-23$25.49$29.0041.3%12.0%34.1%37.9%41.0%4.9%-1.2%-6.2M255.4M-2.2M0.595.7525,83615,164394,777258,519
2019-08-26$25.12$29.0041.1%11.8%34.0%37.3%41.0%5.1%-0.4%-1.2M255.4M-2.1M0.4811.5610,4134,963392,641251,797
2019-08-27$24.51$29.0040.7%11.5%34.3%36.4%41.5%5.0%-0.2%-1.4M289.4M-2.0M0.318.2844,71213,935398,306254,066
2019-08-28$25.36$29.0040.2%11.7%37.8%34.7%41.5%4.8%-0.5%142.4K224.3M-2.2M0.403.8052,02620,700415,539255,232
2019-08-29$26.36$29.0036.9%10.4%40.9%25.7%37.1%4.5%0.3%2.2M146.6M-2.5M0.3510.6330,33910,625436,932263,441
2019-08-30$26.31$29.0036.7%10.4%40.9%25.0%36.3%4.6%0.3%2.0M146.6M-2.5M0.413.3218,0687,487446,397266,171