AAL Options History — November 2019

In November 2019, AAL traded between $27.95 and $31.27. ATM implied volatility averaged 30.1%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 0.8% (HV 20d: 30.9%). Max pain ranged from $25.00 to $28.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.54.

Notable Days

  • 2019-11-08: Highest Volume — 45,916 contracts
  • 2019-11-20: Largest IV spike — 9.7% change
  • 2019-11-20: Highest IV Rank — 15.9%
  • 2019-11-20: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.48$27.95$31.27$30.38$28.86
Max Pain$25.15$25.00$28.00$28.00$25.00
ATM IV30.1%28.1%33.8%29.0%28.8%
Expected Move8.8%8.0%9.7%8.0%8.5%
HV 20d30.9%28.4%37.2%28.9%28.4%
HV 60d36.1%34.5%38.7%38.5%34.5%
IV Rank4.3%0.0%15.9%0.0%1.8%
IV Percentile5.5%0.0%25.0%0.0%0.8%
Term Structure0.1%-0.9%1.0%0.8%-0.2%
VWIV30.9%28.5%34.0%28.8%30.9%
Skew 25d3.4%2.6%4.2%3.7%2.7%
Skew 10d6.7%4.4%9.0%9.0%5.6%
Call IV 25d28.9%27.0%32.5%27.5%27.9%
Put IV 25d32.3%30.2%36.1%31.2%30.6%
Bid-Ask Spread %2.291.765.052.102.70
Gamma HHI0.100.080.190.080.10
Net GEX11.5M6.8M17.0M14.9M11.4M
Net DEX-184.3M-417.1M4.6M-354.0M-128.7M
Net VEX-2.7M-3.0M-2.5M-2.9M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.241.120.570.56
Total Volume29,438.214,35645,91624,97014,356
Total OI768,833.85714,002812,246812,246766,501

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$30.38$28.0029.0%8.0%28.9%0.0%28.8%3.7%0.8%14.9M-354.0M-2.9M0.572.1015,8719,099515,793296,453
2019-11-04$30.91$25.0029.9%9.1%29.0%2.4%31.6%4.0%0.9%16.0M-401.8M-2.9M0.432.6026,47611,293501,715286,385
2019-11-05$31.27$25.0029.5%9.0%28.7%1.5%31.3%3.4%0.8%17.0M-417.1M-3.0M0.592.0717,58310,315490,291291,893
2019-11-06$30.91$25.0029.3%8.7%28.6%0.6%30.6%3.1%0.9%15.2M-361.8M-2.9M0.491.9615,8617,781490,820293,858
2019-11-07$30.80$25.0028.9%8.9%28.8%0.0%30.5%2.9%1.0%14.6M-348.7M-2.9M0.565.0518,40210,262494,172293,586
2019-11-08$30.72$25.0029.4%8.7%28.9%1.3%30.5%3.0%0.6%14.1M-344.7M-2.8M0.242.2736,9428,974499,942293,866
2019-11-11$30.59$25.0029.5%8.6%29.1%1.7%30.1%3.4%0.2%15.2M-322.7M-2.8M1.121.807,2308,118490,668288,097
2019-11-12$29.46$25.0030.9%9.1%31.9%5.7%32.2%4.0%0.7%13.5M-155.6M-2.7M0.371.9630,81011,516492,258290,391
2019-11-13$28.69$25.0031.3%8.9%33.3%6.8%31.1%3.8%-0.3%11.2M-45.4M-2.6M0.751.9819,44214,517497,590293,338
2019-11-14$28.72$25.0030.1%8.6%33.2%3.4%30.0%4.2%0.1%12.2M-50.1M-2.6M0.421.7717,9467,623501,848295,516
2019-11-15$28.88$25.0028.1%8.1%32.9%0.0%28.5%3.2%0.2%9.2M-61.0M-2.5M0.441.7630,65613,489506,501295,153
2019-11-18$28.54$25.0030.3%8.7%32.9%6.1%30.2%3.2%-0.3%7.9M-50.7M-2.5M0.572.0319,27610,943449,310264,692
2019-11-19$29.30$25.0030.8%8.9%34.0%7.5%31.4%4.1%-0.5%9.0M-138.7M-2.6M0.462.4118,3098,398452,864268,397
2019-11-20$28.13$25.0033.8%9.7%37.2%15.9%33.4%3.8%-0.9%6.8M-13.9M-2.5M0.902.7116,81015,143455,630270,594
2019-11-21$27.95$25.0033.7%9.7%33.9%15.5%33.6%3.6%-0.9%7.0M4.6M-2.5M0.742.1417,38612,859463,751273,136
2019-11-22$28.69$25.0031.1%9.0%30.6%8.4%34.0%3.4%-0.7%8.2M-96.1M-2.6M0.382.2728,49910,955473,744275,760
2019-11-25$28.95$25.0029.7%8.6%29.7%4.3%30.1%2.6%-0.2%9.0M-133.5M-2.6M0.272.0519,5565,374472,807276,768
2019-11-26$28.95$25.0028.7%8.4%29.5%1.5%29.8%2.8%0.4%8.9M-132.1M-2.5M0.452.1714,4806,532475,523278,183
2019-11-27$28.91$25.0029.0%8.4%28.5%2.4%29.8%2.8%0.1%9.5M-134.3M-2.6M0.472.0313,4066,276479,837279,046
2019-11-29$28.86$25.0028.8%8.5%28.4%1.8%30.9%2.7%-0.2%11.4M-128.7M-2.5M0.562.709,2145,142485,013281,488