AAL Options History — October 2019

In October 2019, AAL traded between $25.26 and $31.43. ATM implied volatility averaged 38.4%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 2.5% (HV 20d: 35.9%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 0.44.

Notable Days

2019-10-24: Highest Volume — 109,644 contracts
2019-10-24: Largest IV drop — 18.6% change
2019-10-02: Highest IV Rank — 53.3%
2019-10-08: Largest Expected Move — 13.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.07	$25.26	$31.43	$26.89	$30.05
Max Pain	$27.78	$27.00	$29.00	$27.00	$28.00
ATM IV	38.4%	29.1%	47.8%	42.8%	30.7%
Expected Move	10.8%	8.1%	13.1%	11.0%	8.4%
HV 20d	35.9%	29.1%	43.6%	38.8%	29.3%
HV 60d	40.2%	36.9%	42.4%	40.7%	38.6%
IV Rank	26.1%	0.0%	53.3%	38.6%	4.6%
IV Percentile	50.1%	0.0%	88.5%	77.4%	3.2%
Term Structure	-0.6%	-2.1%	0.9%	0.0%	0.6%
VWIV	38.2%	29.1%	46.4%	38.4%	29.7%
Skew 25d	4.9%	3.4%	6.3%	6.0%	4.2%
Skew 10d	9.7%	6.9%	12.1%	12.1%	9.2%
Call IV 25d	36.4%	27.8%	46.1%	40.2%	29.1%
Put IV 25d	41.3%	31.3%	51.5%	46.1%	33.3%
Bid-Ask Spread %	2.69	1.74	6.17	3.26	1.74
Gamma HHI	0.09	0.07	0.13	0.07	0.08
Net GEX	9.9M	-141.5K	19.6M	3.2M	15.3M
Net DEX	-83.4M	-527.0M	233.7M	119.9M	-298.8M
Net VEX	-2.8M	-3.0M	-2.3M	-2.5M	-3.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.20	0.85	0.27	0.56
Total Volume	50,615.217	17,809	109,644	32,142	38,285
Total OI	753,382.652	655,113	807,532	655,113	803,850

Daily Data (23 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
2019-10-01	$26.89	$27.00	42.8%	11.0%	38.8%	38.6%	38.4%	6.0%	0.0%	3.2M	119.9M	-2.5M	0.27	3.26	25,311	6,831	399,630	255,483
2019-10-02	$25.35	$27.00	47.8%	12.9%	43.6%	53.3%	44.6%	5.3%	-1.2%	838.3K	218.4M	-2.3M	0.85	4.11	38,258	32,656	408,038	257,936
2019-10-03	$25.26	$29.00	46.5%	13.0%	42.0%	49.5%	44.7%	6.0%	-1.4%	-141.5K	233.7M	-2.3M	0.44	3.40	37,282	16,377	421,336	272,349
2019-10-04	$25.80	$28.00	43.7%	12.2%	43.0%	41.1%	43.6%	5.5%	-0.7%	1.8M	184.0M	-2.5M	0.54	3.12	22,596	12,247	442,889	278,260
2019-10-07	$25.84	$28.00	43.4%	12.2%	41.8%	40.2%	43.4%	5.9%	-0.8%	1.8M	179.7M	-2.5M	0.53	2.09	19,961	10,621	434,816	274,619
2019-10-08	$26.35	$28.00	45.6%	13.1%	41.7%	46.9%	46.4%	6.3%	0.3%	3.3M	123.0M	-2.7M	0.38	2.41	42,035	15,798	442,028	279,431
2019-10-09	$27.11	$28.00	44.8%	12.6%	42.3%	44.5%	45.0%	5.8%	-0.4%	5.2M	51.9M	-2.8M	0.48	4.08	33,111	15,834	448,260	287,052
2019-10-10	$27.18	$28.00	42.7%	12.1%	42.0%	38.2%	43.2%	5.1%	-0.4%	5.6M	46.8M	-2.8M	0.42	1.99	30,823	13,031	457,071	290,529
2019-10-11	$27.45	$27.00	40.5%	11.4%	42.3%	31.8%	40.3%	6.2%	-0.3%	12.2M	11.4M	-2.8M	0.30	6.17	41,707	12,471	465,915	290,183
2019-10-14	$27.62	$28.00	38.6%	11.0%	33.2%	26.3%	40.0%	5.0%	-0.1%	7.8M	4.5M	-2.8M	0.59	4.19	11,211	6,598	460,011	281,238
2019-10-15	$28.30	$27.00	39.4%	11.3%	31.8%	28.5%	38.8%	4.8%	-2.1%	10.7M	-84.0M	-2.9M	0.25	1.94	72,405	17,982	465,464	283,305
2019-10-16	$28.11	$27.00	38.4%	11.0%	31.6%	25.8%	37.7%	4.6%	-1.2%	12.5M	-77.4M	-2.9M	0.33	1.89	42,361	13,864	488,119	290,587
2019-10-17	$27.88	$27.00	36.6%	10.5%	31.7%	20.5%	37.5%	4.5%	-0.7%	13.2M	-67.7M	-2.9M	0.70	2.15	13,875	9,701	505,927	291,966
2019-10-18	$28.24	$28.00	37.5%	10.8%	31.9%	23.2%	37.9%	4.1%	-1.0%	10.6M	-123.0M	-2.9M	0.47	1.81	17,720	8,254	507,839	296,638
2019-10-21	$28.62	$28.00	37.6%	11.1%	31.5%	23.6%	38.3%	5.0%	-1.7%	11.7M	-124.7M	-2.9M	0.36	2.02	22,489	8,172	467,845	272,302
2019-10-22	$28.38	$28.00	38.8%	11.6%	30.4%	26.8%	40.7%	4.5%	-1.9%	11.6M	-103.7M	-2.9M	0.26	2.12	43,449	11,351	476,868	275,645
2019-10-23	$28.23	$28.00	38.4%	11.3%	29.7%	25.6%	38.5%	4.9%	-1.8%	13.1M	-129.5M	-3.0M	0.37	2.24	33,682	12,606	505,236	281,590
2019-10-24	$29.41	$28.00	31.2%	8.7%	32.2%	4.8%	31.1%	4.5%	-1.3%	19.6M	-287.1M	-2.9M	0.29	2.76	85,292	24,352	505,742	287,352
2019-10-25	$30.80	$28.00	29.1%	8.1%	35.2%	0.0%	29.3%	4.5%	-0.6%	17.9M	-499.9M	-3.0M	0.22	2.28	87,173	19,324	514,341	293,191
2019-10-28	$31.43	$28.00	29.3%	8.3%	35.5%	0.7%	29.1%	3.4%	0.9%	17.1M	-527.0M	-3.0M	0.20	2.17	60,536	11,827	503,328	282,365
2019-10-29	$30.97	$28.00	29.8%	8.4%	36.2%	2.0%	29.7%	3.6%	0.9%	16.3M	-436.3M	-3.0M	0.65	1.87	17,931	11,703	500,328	286,966
2019-10-30	$30.24	$28.00	30.5%	8.6%	29.1%	4.1%	29.7%	3.5%	0.5%	15.9M	-331.3M	-3.0M	0.70	2.00	20,675	14,382	505,077	288,856
2019-10-31	$30.05	$28.00	30.7%	8.4%	29.3%	4.6%	29.7%	4.2%	0.6%	15.3M	-298.8M	-3.0M	0.56	1.74	24,478	13,807	510,482	293,368