AAL Options History — September 2019

In September 2019, AAL traded between $26.56 and $30.06. ATM implied volatility averaged 37.3%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 3.7% (HV 20d: 41.0%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.58.

Notable Days

2019-09-16: Highest Volume — 92,089 contracts
2019-09-16: Largest IV spike — 19.5% change
2019-09-27: Highest IV Rank — 38.6%
2019-09-03: Largest Expected Move — 11.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.04	$26.56	$30.06	$26.56	$26.97
Max Pain	$27.05	$26.00	$28.00	$28.00	$27.00
ATM IV	37.3%	32.0%	42.8%	38.6%	41.8%
Expected Move	10.3%	9.2%	11.2%	11.2%	10.7%
HV 20d	41.0%	31.9%	44.8%	39.8%	38.9%
HV 60d	39.6%	37.2%	40.9%	38.9%	40.7%
IV Rank	25.2%	11.4%	38.6%	30.0%	35.7%
IV Percentile	45.8%	8.7%	77.8%	59.5%	73.0%
Term Structure	0.8%	-1.4%	4.1%	0.0%	-0.2%
VWIV	36.1%	33.3%	39.0%	39.0%	37.0%
Skew 25d	4.5%	3.3%	5.8%	5.5%	5.2%
Skew 10d	9.0%	6.5%	11.8%	11.8%	10.5%
Call IV 25d	35.4%	30.4%	41.0%	36.3%	39.1%
Put IV 25d	39.9%	34.2%	46.1%	41.8%	44.4%
Bid-Ask Spread %	5.45	2.60	14.40	4.45	3.33
Gamma HHI	0.13	0.08	0.32	0.09	0.08
Net GEX	3.6M	-7.4M	13.7M	2.2M	3.2M
Net DEX	23.9M	-184.8M	133.6M	131.1M	117.7M
Net VEX	-2.7M	-3.0M	-2.5M	-2.5M	-2.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.31	1.19	0.59	0.46
Total Volume	34,872.45	14,591	92,089	14,591	16,818
Total OI	709,528.2	625,159	790,467	702,501	648,467

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
2019-09-03	$26.56	$28.00	38.6%	11.2%	39.8%	30.0%	39.0%	5.5%	0.0%	2.2M	131.1M	-2.5M	0.59	4.45	9,176	5,415	439,053	263,448
2019-09-04	$27.03	$28.00	36.4%	10.3%	40.5%	23.6%	38.4%	4.8%	0.8%	3.4M	92.0M	-2.6M	0.87	3.23	14,522	12,579	441,361	265,912
2019-09-05	$27.81	$26.00	34.3%	10.1%	41.7%	17.9%	35.9%	4.1%	0.4%	3.8M	16.8M	-2.7M	0.39	7.14	31,196	12,053	444,402	270,776
2019-09-06	$27.80	$27.00	33.5%	9.8%	41.3%	15.6%	35.3%	3.3%	0.9%	2.2M	28.1M	-2.7M	0.59	4.99	18,946	11,232	445,773	273,470
2019-09-09	$28.45	$27.00	34.6%	10.3%	42.2%	18.7%	35.5%	3.8%	1.0%	3.2M	-12.3M	-2.8M	0.86	4.87	17,926	15,502	433,339	264,596
2019-09-10	$29.06	$27.00	34.6%	10.1%	39.7%	18.8%	35.4%	3.6%	0.3%	4.9M	-71.8M	-2.8M	0.46	4.55	17,580	8,010	435,844	269,136
2019-09-11	$29.72	$27.00	34.3%	9.8%	40.2%	17.9%	34.9%	3.8%	-0.2%	6.6M	-139.3M	-2.9M	0.33	9.43	43,051	14,289	439,302	272,313
2019-09-12	$30.06	$27.00	32.9%	9.5%	34.8%	14.0%	33.3%	3.9%	0.1%	8.5M	-184.8M	-3.0M	0.38	2.60	25,941	9,938	455,336	273,389
2019-09-13	$29.97	$27.00	32.0%	9.2%	31.9%	11.4%	33.3%	3.8%	0.4%	13.7M	-175.7M	-2.9M	0.67	7.60	18,987	12,715	463,694	277,438
2019-09-16	$27.81	$27.00	38.2%	10.9%	43.2%	28.8%	38.2%	3.6%	3.5%	2.4M	71.2M	-2.6M	0.64	14.40	56,163	35,926	458,253	269,637
2019-09-17	$28.81	$27.00	37.0%	10.6%	44.6%	25.5%	37.2%	4.4%	3.5%	4.8M	-48.4M	-2.9M	0.31	5.93	58,992	18,427	484,312	286,246
2019-09-18	$28.47	$27.00	37.3%	10.7%	44.8%	26.2%	36.5%	4.7%	3.2%	2.9M	10.0M	-2.8M	0.80	11.40	13,255	10,541	485,004	290,057
2019-09-19	$28.26	$27.00	35.7%	10.0%	44.5%	21.7%	33.7%	4.0%	4.1%	2.0M	39.0M	-2.7M	0.48	3.43	11,332	5,419	489,822	293,505
2019-09-20	$28.01	$27.00	36.5%	10.0%	44.7%	22.8%	34.5%	4.7%	4.0%	-7.4M	70.1M	-2.7M	0.62	4.27	17,288	10,658	495,732	294,735
2019-09-23	$27.54	$27.00	39.4%	10.3%	42.2%	28.7%	36.0%	4.9%	-0.6%	3.8M	82.9M	-2.5M	0.74	2.92	15,055	11,202	384,114	241,045
2019-09-24	$26.93	$27.00	41.8%	10.9%	42.7%	35.6%	37.5%	5.8%	-1.3%	2.4M	133.6M	-2.5M	0.34	2.92	30,193	10,375	394,535	250,511
2019-09-25	$27.52	$27.00	41.9%	10.7%	41.8%	36.1%	36.7%	5.2%	-1.2%	4.1M	80.7M	-2.6M	0.57	3.25	18,090	10,323	401,176	255,138
2019-09-26	$27.13	$27.00	42.0%	10.7%	41.0%	36.2%	36.6%	4.8%	-1.2%	3.4M	112.9M	-2.5M	1.19	4.01	10,665	12,727	407,669	258,381
2019-09-27	$26.95	$27.00	42.8%	10.9%	38.9%	38.6%	37.7%	5.2%	-1.4%	2.5M	124.9M	-2.5M	0.41	4.26	17,750	7,192	412,193	261,450
2019-09-30	$26.97	$27.00	41.8%	10.7%	38.9%	35.7%	37.0%	5.2%	-0.2%	3.2M	117.7M	-2.5M	0.46	3.33	11,518	5,300	395,391	253,076