AAL Options History — January 2020

In January 2020, AAL traded between $26.13 and $28.85. ATM implied volatility averaged 38.5%, placing in the 49.1% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 4.6% (HV 20d: 33.9%). Max pain ranged from $27.50 to $28.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.64.

Notable Days

2020-01-23: Highest Volume — 129,504 contracts
2020-01-21: Largest IV spike — 15.5% change
2020-01-27: Highest IV Rank — 78.2%
2020-01-27: Largest Expected Move — 12.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.54	$26.13	$28.85	$28.85	$26.77
Max Pain	$27.90	$27.50	$28.00	$28.00	$27.50
ATM IV	38.5%	34.8%	43.5%	35.5%	42.8%
Expected Move	10.8%	8.7%	12.7%	8.7%	12.5%
HV 20d	33.9%	27.7%	43.3%	27.7%	43.3%
HV 60d	31.5%	30.0%	34.2%	30.0%	34.2%
IV Rank	49.1%	24.6%	78.2%	24.6%	74.2%
IV Percentile	73.3%	42.5%	98.0%	48.4%	96.0%
Term Structure	-0.6%	-1.2%	1.0%	-0.2%	0.1%
VWIV	37.9%	31.5%	44.6%	31.5%	44.2%
Skew 25d	2.1%	0.3%	5.3%	1.3%	5.3%
Skew 10d	4.2%	0.4%	12.7%	2.8%	12.7%
Call IV 25d	38.2%	34.6%	41.3%	35.9%	41.3%
Put IV 25d	40.4%	36.3%	46.6%	37.3%	46.6%
Bid-Ask Spread %	2.36	1.72	3.71	1.99	3.71
Gamma HHI	0.12	0.07	0.26	0.10	0.07
Net GEX	6.8M	822.2K	16.5M	9.6M	1.7M
Net DEX	4.9M	-118.1M	90.1M	-85.6M	35.2M
Net VEX	-2.3M	-2.8M	-2.2M	-2.3M	-2.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.16	1.76	0.66	1.76
Total Volume	56,892.619	21,752	129,504	21,752	46,130
Total OI	672,352.476	464,449	782,062	702,054	652,771

Daily Data (21 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
2020-01-02	$28.85	$28.00	35.5%	8.7%	27.7%	24.6%	31.5%	1.3%	-0.2%	9.6M	-85.6M	-2.3M	0.66	1.99	13,078	8,674	429,639	272,415
2020-01-03	$27.66	$28.00	39.9%	10.3%	32.0%	39.3%	36.4%	1.5%	0.3%	3.6M	55.1M	-2.2M	0.66	1.88	35,140	23,140	432,992	275,454
2020-01-06	$27.28	$28.00	39.9%	10.9%	32.3%	45.2%	38.3%	1.3%	-0.9%	5.1M	80.0M	-2.2M	0.34	1.86	33,022	11,255	442,408	275,255
2020-01-07	$27.20	$28.00	38.9%	10.6%	31.5%	44.0%	36.9%	1.4%	-1.0%	5.6M	90.1M	-2.2M	0.28	1.86	24,465	6,760	451,663	280,750
2020-01-08	$27.99	$28.00	39.6%	10.7%	33.0%	48.1%	37.5%	0.7%	-1.0%	10.1M	-21.4M	-2.3M	0.16	3.09	56,718	8,950	460,490	283,626
2020-01-09	$27.89	$28.00	38.7%	10.5%	31.9%	48.3%	37.0%	1.0%	-1.0%	9.7M	-12.0M	-2.3M	0.32	1.86	28,431	9,125	474,228	288,050
2020-01-10	$27.32	$28.00	38.2%	10.6%	32.8%	47.8%	36.9%	1.4%	-1.1%	5.9M	80.8M	-2.2M	0.67	2.10	17,432	11,739	482,505	291,266
2020-01-13	$27.45	$28.00	38.4%	10.8%	30.0%	52.1%	37.8%	2.1%	-0.5%	8.3M	50.0M	-2.2M	0.68	1.97	18,145	12,325	466,433	279,420
2020-01-14	$27.49	$28.00	37.6%	10.5%	29.8%	48.1%	36.5%	0.9%	-0.9%	9.5M	43.3M	-2.2M	0.38	1.92	30,213	11,377	473,753	283,419
2020-01-15	$27.55	$28.00	37.4%	10.4%	29.2%	46.9%	37.1%	0.9%	-1.1%	10.2M	40.7M	-2.2M	0.53	1.72	19,016	10,157	474,060	284,566
2020-01-16	$28.23	$28.00	36.5%	10.2%	30.3%	42.2%	35.9%	1.8%	-1.0%	16.5M	-67.5M	-2.2M	0.21	2.02	42,822	8,895	474,696	284,805
2020-01-17	$28.30	$28.00	35.4%	10.0%	30.2%	36.9%	35.0%	0.3%	-0.9%	8.1M	-118.1M	-2.2M	0.50	2.19	29,569	14,730	496,260	285,802
2020-01-21	$27.24	$28.00	40.9%	11.7%	32.6%	64.8%	40.9%	1.4%	-0.9%	4.0M	6.0M	-2.2M	0.51	2.62	35,732	18,339	270,382	194,067
2020-01-22	$27.34	$28.00	39.3%	11.3%	32.3%	56.7%	39.9%	1.1%	-1.2%	4.9M	-4.5M	-2.2M	0.39	2.61	80,792	31,695	286,709	202,409
2020-01-23	$28.45	$28.00	34.8%	10.0%	35.0%	33.6%	35.0%	1.9%	-0.8%	10.3M	-100.1M	-2.4M	0.38	2.92	94,038	35,466	316,640	224,454
2020-01-24	$27.70	$28.00	39.0%	11.3%	36.1%	55.2%	39.1%	3.0%	-0.5%	6.0M	-41.3M	-2.4M	0.76	3.05	68,833	52,216	332,695	234,161
2020-01-27	$26.13	$28.00	43.5%	12.7%	40.4%	78.2%	44.6%	4.6%	-0.9%	822.2K	86.3M	-2.4M	0.56	2.29	59,718	33,224	329,525	245,490
2020-01-28	$26.95	$27.50	38.4%	10.9%	40.1%	52.0%	38.8%	4.0%	-0.0%	4.2M	10.6M	-2.6M	0.76	2.60	33,497	25,590	354,629	261,225
2020-01-29	$26.76	$27.50	37.0%	10.8%	40.1%	45.2%	37.9%	4.3%	1.0%	2.7M	33.9M	-2.6M	1.08	2.53	19,085	20,647	357,238	272,273
2020-01-30	$27.70	$27.50	37.5%	10.8%	41.8%	47.5%	38.6%	4.6%	0.7%	7.1M	-59.7M	-2.8M	1.75	2.83	19,817	34,748	361,119	279,660
2020-01-31	$26.77	$27.50	42.8%	12.5%	43.3%	74.2%	44.2%	5.3%	0.1%	1.7M	35.2M	-2.7M	1.76	3.71	16,722	29,408	361,699	291,072