AAL Options History — December 2019

In December 2019, AAL traded between $26.80 and $29.63. ATM implied volatility averaged 32.2%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 2.7% (HV 20d: 29.6%). Max pain ranged from $25.00 to $28.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2019-12-27: Highest Volume — 54,947 contracts
  • 2019-12-26: Largest IV spike — 7.3% change
  • 2019-12-30: Highest IV Rank — 26.5%
  • 2019-12-03: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.07$26.80$29.63$28.09$28.69
Max Pain$27.57$25.00$28.00$25.00$28.00
ATM IV32.2%30.1%36.4%31.6%35.9%
Expected Move9.0%8.0%10.2%9.5%8.9%
HV 20d29.6%26.4%31.9%29.3%30.0%
HV 60d32.1%30.0%35.2%35.0%30.0%
IV Rank12.0%5.5%26.5%9.6%26.1%
IV Percentile21.6%6.7%56.7%13.5%52.8%
Term Structure1.5%-0.4%5.8%0.7%0.3%
VWIV31.8%28.4%36.3%33.1%31.5%
Skew 25d2.0%-0.1%4.1%3.1%2.1%
Skew 10d3.6%-0.3%8.1%5.2%4.0%
Call IV 25d31.9%29.2%36.8%30.5%35.7%
Put IV 25d33.9%29.5%38.3%33.5%37.9%
Bid-Ask Spread %1.871.382.812.311.87
Gamma HHI0.120.090.200.100.10
Net GEX9.0M6.2M14.1M7.3M8.1M
Net DEX-50.7M-200.5M74.4M-32.6M-63.9M
Net VEX-2.3M-2.4M-2.2M-2.4M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.250.960.360.56
Total Volume30,124.8116,35354,94731,74624,168
Total OI759,884.524649,698822,949745,169695,381

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$28.09$25.0031.6%9.5%29.3%9.6%33.1%3.1%0.7%7.3M-32.6M-2.4M0.362.3123,4238,323469,552275,617
2019-12-03$27.27$25.0033.6%10.2%29.5%15.3%36.3%4.1%0.7%6.5M54.6M-2.4M0.732.1321,03315,445479,867279,497
2019-12-04$27.41$25.0032.5%9.7%29.1%12.2%34.1%3.3%0.2%7.2M34.9M-2.4M0.542.2315,0648,182491,673283,762
2019-12-05$27.26$28.0030.6%9.3%29.1%7.0%32.1%3.2%0.9%7.0M48.4M-2.3M0.731.3811,6628,484496,321282,778
2019-12-06$27.80$28.0030.2%8.9%30.5%5.8%32.3%2.9%1.1%8.4M-22.4M-2.4M0.341.7538,94513,212500,450285,069
2019-12-09$27.55$28.0031.3%9.2%30.5%8.9%32.4%2.5%0.3%9.8M-6.4M-2.3M0.511.5312,3596,307506,369280,249
2019-12-10$26.93$28.0031.6%9.3%31.1%9.7%31.9%2.5%0.7%7.9M68.2M-2.2M0.871.4315,77913,757511,659281,799
2019-12-11$26.80$28.0031.6%9.3%28.8%9.6%32.6%2.1%0.8%6.8M74.4M-2.2M0.251.4421,2625,376519,841283,730
2019-12-12$27.80$28.0031.6%9.3%31.1%9.7%33.0%2.2%1.0%11.6M-65.8M-2.4M0.341.5530,82710,418521,387283,204
2019-12-13$27.51$28.0031.0%9.1%31.3%7.9%32.4%1.9%1.2%10.3M-22.0M-2.3M0.452.8118,5248,328530,963286,676
2019-12-16$27.97$28.0030.1%8.7%31.9%5.5%30.9%0.8%3.9%10.3M-85.7M-2.3M0.381.3925,5389,741513,992283,129
2019-12-17$28.24$28.0030.3%8.7%31.9%6.0%31.0%1.5%3.8%12.6M-124.0M-2.3M0.521.4012,0906,240525,621284,712
2019-12-18$28.04$28.0030.4%8.7%30.3%6.4%31.1%1.3%4.4%11.7M-89.8M-2.3M0.961.669,3078,973526,643286,332
2019-12-19$28.47$28.0031.3%8.7%27.2%8.7%30.9%0.5%5.8%14.1M-159.5M-2.3M0.421.9019,1748,126528,673290,917
2019-12-20$28.80$28.0030.6%8.2%27.3%6.7%29.0%-0.1%5.8%10.7M-200.5M-2.3M0.291.6324,4436,992531,080291,869
2019-12-23$29.32$28.0031.3%8.0%26.5%8.9%28.4%1.3%0.3%7.6M-135.0M-2.2M0.432.2730,68813,219398,997250,701
2019-12-24$29.18$28.0033.2%8.3%26.4%14.3%29.6%2.4%-0.1%8.3M-120.2M-2.3M0.431.9611,4564,897408,483257,969
2019-12-26$29.63$28.0035.6%8.8%26.9%22.6%29.8%1.3%-0.4%10.2M-184.8M-2.3M0.292.2722,0926,344415,565259,669
2019-12-27$28.40$28.0036.4%9.1%31.1%24.9%32.6%1.5%-0.3%6.4M-18.0M-2.2M0.682.4032,67422,273415,487262,683
2019-12-30$28.26$28.0036.1%9.1%31.1%26.5%33.2%1.3%-0.2%6.2M-14.5M-2.2M0.681.9116,39711,079415,691263,518
2019-12-31$28.69$28.0035.9%8.9%30.0%26.1%31.5%2.1%0.3%8.1M-63.9M-2.3M0.561.8715,4658,703426,516268,865