AAL Options History — February 2020

In February 2020, AAL traded between $18.91 and $30.49. ATM implied volatility averaged 48.0%, placing in the 62.1% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 1.5% (HV 20d: 49.5%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.90.

Notable Days

  • 2020-02-10: Highest Volume — 226,834 contracts
  • 2020-02-25: Largest IV spike — 27.1% change
  • 2020-02-24: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 35.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.08$18.91$30.49$27.16$18.91
Max Pain$28.18$27.00$29.00$27.50$28.00
ATM IV48.0%36.0%110.9%40.1%110.9%
Expected Move14.1%10.4%35.1%11.5%35.1%
HV 20d49.5%41.2%67.3%41.2%67.3%
HV 60d38.4%34.3%50.1%34.3%50.1%
IV Rank62.1%39.8%100.0%60.6%100.0%
IV Percentile76.3%51.6%100.0%87.3%100.0%
Term Structure-1.0%-8.6%0.6%0.3%-8.6%
VWIV49.7%36.8%120.0%40.4%120.0%
Skew 25d8.0%4.2%25.4%5.4%25.4%
Skew 10d14.0%8.9%44.3%11.6%23.2%
Call IV 25d45.4%35.0%104.9%38.2%104.9%
Put IV 25d53.4%39.2%130.3%43.6%130.3%
Bid-Ask Spread %3.372.087.262.277.26
Gamma HHI0.150.080.300.080.08
Net GEX5.2M-5.7M13.6M4.1M-2.8M
Net DEX13.5M-438.5M560.6M-1.4M560.6M
Net VEX-2.9M-3.5M-2.2M-2.7M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.391.540.591.54
Total Volume78,895.78921,698226,83431,898136,339
Total OI774,221.368616,787954,064624,688954,064

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-02-03$27.16$27.5040.1%11.5%41.2%60.6%40.4%5.4%0.3%4.1M-1.4M-2.7M0.592.2720,00211,896348,823275,865
2020-02-04$28.47$27.5038.0%10.6%44.3%50.0%37.6%4.6%0.3%10.5M-146.3M-2.8M0.412.0840,96216,934350,031278,421
2020-02-05$29.18$27.5037.1%10.4%44.9%45.3%36.9%4.4%0.4%13.6M-227.1M-2.9M0.612.2231,75619,520354,552280,791
2020-02-06$28.38$27.0037.5%10.8%45.2%47.3%38.9%4.7%0.6%10.8M-123.7M-2.8M0.393.4562,02824,058357,257287,320
2020-02-07$28.52$27.0038.1%10.8%45.2%50.8%37.9%5.0%-0.1%11.0M-124.7M-2.8M0.563.5717,96510,079336,199294,571
2020-02-10$28.77$27.0039.4%11.3%44.5%57.0%40.1%5.5%0.0%9.5M-141.1M-2.8M1.302.9698,457128,377328,966287,821
2020-02-11$29.90$28.0037.8%10.8%46.3%49.1%38.9%4.9%-0.2%12.0M-339.9M-3.5M0.542.7036,78719,895417,262408,921
2020-02-12$30.49$28.0036.0%10.5%46.6%39.8%38.2%4.2%0.5%13.5M-438.5M-3.4M1.312.9139,74552,246418,954414,547
2020-02-13$30.02$29.0036.9%10.5%47.2%44.6%38.8%4.3%-0.2%12.6M-359.2M-3.5M1.162.6414,45616,825428,272418,390
2020-02-14$29.21$29.0037.1%10.5%47.8%45.3%40.1%4.3%-0.5%9.3M-201.6M-3.4M1.473.0613,70320,098428,304422,529
2020-02-18$28.70$29.0037.1%10.6%48.3%45.6%37.5%5.2%0.2%6.2M-79.5M-3.3M1.102.8011,65712,857415,215422,335
2020-02-19$28.40$29.0037.0%10.6%46.3%44.9%36.8%4.7%-0.8%3.9M-21.9M-3.2M0.813.3012,92410,487418,296425,780
2020-02-20$28.56$29.0036.3%10.4%46.3%41.2%37.2%5.3%0.5%5.7M-48.1M-3.2M0.553.2913,9747,724420,199427,744
2020-02-21$27.73$29.0039.7%11.4%45.4%58.9%41.2%6.7%0.3%-2.3M114.3M-3.1M1.082.9723,52625,519422,226431,760
2020-02-24$25.44$29.0049.8%14.5%53.9%100.0%50.9%9.3%-1.5%-5.7M344.2M-2.7M0.833.8960,23149,850341,930380,928
2020-02-25$23.23$29.0063.3%19.1%59.2%100.0%64.4%13.6%-3.2%-5.3M479.1M-2.4M0.944.0269,76465,822369,925409,399
2020-02-26$22.37$28.0070.7%20.4%58.6%100.0%70.4%14.2%-3.0%-4.7M508.1M-2.4M0.684.0373,23449,549405,354435,283
2020-02-27$21.01$28.0088.9%27.6%61.5%100.0%97.6%21.3%-4.3%-3.7M504.1M-2.5M1.214.5381,52898,246437,602454,370
2020-02-28$18.91$28.00110.9%35.1%67.3%100.0%120.0%25.4%-8.6%-2.8M560.6M-2.2M1.547.2653,74582,594465,464488,600