AAL Options History — March 2020

In March 2020, AAL traded between $10.14 and $18.47. ATM implied volatility averaged 170.3%, placing in the 82.5% IV rank vs the trailing year. The 30-day expected move averaged 49.2%. IV traded above realized volatility by 41.8% (HV 20d: 128.5%). Max pain ranged from $15.00 to $28.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.09.

Notable Days

2020-03-18: Highest Volume — 252,922 contracts
2020-03-18: Largest IV spike — 36.2% change
2020-03-05: Highest IV Rank — 100.0%
2020-03-19: Largest Expected Move — 83.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.56	$10.14	$18.47	$18.47	$12.16
Max Pain	$18.32	$15.00	$28.00	$28.00	$15.00
ATM IV	170.3%	89.8%	277.4%	89.8%	131.0%
Expected Move	49.2%	27.5%	83.9%	29.2%	37.0%
HV 20d	128.5%	61.8%	208.8%	67.0%	208.8%
HV 60d	85.2%	50.0%	127.4%	50.0%	127.2%
IV Rank	82.5%	41.3%	100.0%	74.5%	41.3%
IV Percentile	98.7%	93.7%	100.0%	99.6%	93.7%
Term Structure	-20.7%	-251.4%	156.4%	-0.4%	91.4%
VWIV	171.9%	95.4%	279.0%	99.2%	129.7%
Skew 25d	62.8%	-2.6%	134.4%	11.8%	53.8%
Skew 10d	116.5%	10.5%	201.5%	97.7%	49.9%
Call IV 25d	141.0%	87.9%	226.3%	92.4%	108.9%
Put IV 25d	203.8%	104.2%	311.4%	104.2%	162.8%
Bid-Ask Spread %	13.12	3.86	41.58	5.18	5.86
Gamma HHI	0.06	0.05	0.10	0.08	0.10
Net GEX	-671.1K	-2.8M	859.4K	-2.8M	-275.3K
Net DEX	341.4M	25.8M	558.4M	558.4M	199.5M
Net VEX	-2.2M	-2.8M	-1.6M	-2.1M	-1.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.09	0.51	2.13	1.21	0.99
Total Volume	172,950.227	81,929	252,922	126,356	86,710
Total OI	1,151,997.818	922,586	1,392,716	954,137	1,023,322

Daily Data (22 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
2020-03-02	$18.47	$28.00	89.8%	29.2%	67.0%	74.5%	99.2%	11.8%	-0.4%	-2.8M	558.4M	-2.1M	1.21	5.18	57,124	69,232	470,471	483,666
2020-03-03	$18.22	$28.00	99.8%	31.2%	65.9%	86.6%	104.0%	26.8%	-3.7%	-2.4M	533.2M	-2.3M	1.17	13.35	63,133	73,799	505,734	513,687
2020-03-04	$18.30	$28.00	90.3%	27.5%	61.8%	75.2%	95.4%	11.8%	-4.0%	-2.3M	539.5M	-2.4M	0.62	16.94	78,473	48,374	543,506	550,449
2020-03-05	$16.20	$21.00	113.5%	31.2%	68.6%	100.0%	110.5%	28.6%	-6.2%	-1.9M	548.7M	-2.1M	1.27	3.86	91,146	115,662	576,290	559,251
2020-03-06	$15.97	$21.00	125.9%	34.1%	68.8%	100.0%	117.7%	34.9%	-2.9%	-2.0M	526.8M	-2.3M	1.09	6.33	108,577	118,211	605,734	591,159
2020-03-09	$15.02	$20.00	140.9%	38.3%	68.5%	100.0%	135.9%	73.8%	8.4%	-1.3M	502.4M	-2.2M	1.53	21.24	45,813	69,870	586,779	593,436
2020-03-10	$16.88	$20.00	153.0%	42.6%	85.6%	100.0%	156.7%	44.5%	-0.6%	-395.3K	412.6M	-2.8M	0.66	15.51	127,621	84,738	603,623	600,890
2020-03-11	$16.15	$19.00	148.3%	42.5%	82.3%	96.2%	156.3%	73.7%	12.9%	-570.5K	450.6M	-2.5M	1.90	12.59	42,573	80,950	615,254	631,409
2020-03-12	$13.51	$19.00	197.8%	54.5%	95.2%	100.0%	209.2%	134.4%	77.0%	-1.1M	443.5M	-2.2M	2.13	8.80	61,140	130,330	623,096	655,762
2020-03-13	$13.78	$19.00	191.3%	51.1%	97.3%	96.1%	177.2%	109.6%	-21.5%	-771.4K	466.9M	-2.2M	0.51	41.58	154,292	77,929	636,456	665,792
2020-03-16	$15.88	$15.00	195.2%	54.6%	116.6%	98.5%	205.5%	69.6%	-25.3%	70.0K	333.4M	-2.8M	1.35	25.60	99,279	134,058	653,375	649,350
2020-03-17	$15.60	$15.00	203.5%	57.9%	116.5%	100.0%	200.9%	66.4%	8.2%	152.7K	336.4M	-2.7M	1.17	12.45	81,723	95,931	668,348	680,940
2020-03-18	$11.60	$15.00	277.2%	79.5%	149.5%	100.0%	261.1%	88.8%	-228.9%	-480.5K	367.5M	-2.0M	1.28	14.83	111,134	141,788	673,271	698,303
2020-03-19	$10.36	$15.00	277.4%	83.9%	150.2%	100.0%	279.0%	85.1%	-232.2%	-502.6K	348.2M	-1.7M	1.16	13.30	90,449	105,112	700,387	692,329
2020-03-20	$10.39	$15.00	236.5%	77.1%	151.2%	83.6%	252.0%	72.8%	-251.4%	-36.2K	336.7M	-1.7M	1.23	11.65	84,064	103,680	685,405	675,522
2020-03-23	$10.14	$15.00	190.5%	68.3%	150.8%	65.1%	223.6%	120.9%	156.4%	-201.9K	151.7M	-1.6M	0.89	5.89	43,428	38,501	481,875	440,711
2020-03-24	$14.10	$15.00	195.2%	57.2%	200.0%	67.0%	203.1%	44.8%	-4.7%	489.4K	74.2M	-2.3M	0.76	21.46	111,992	85,443	495,815	444,467
2020-03-25	$15.66	$15.00	214.3%	52.1%	205.2%	74.7%	185.7%	110.2%	2.9%	853.9K	25.8M	-2.5M	0.76	11.42	112,794	85,222	514,174	472,773
2020-03-26	$15.45	$15.00	161.0%	44.3%	204.5%	53.3%	164.9%	-2.6%	-22.2%	859.4K	58.2M	-2.4M	0.79	6.94	103,100	81,149	525,950	497,037
2020-03-27	$14.18	$15.00	162.0%	44.9%	203.5%	53.7%	164.3%	44.7%	-25.2%	-7.0K	112.4M	-2.2M	0.71	9.74	112,592	80,159	554,815	507,748
2020-03-30	$12.26	$15.00	152.6%	42.5%	208.7%	49.9%	150.9%	77.9%	16.1%	-197.7K	183.7M	-1.8M	0.74	4.15	67,436	50,174	535,112	460,479
2020-03-31	$12.16	$15.00	131.0%	37.0%	208.8%	41.3%	129.7%	53.8%	91.4%	-275.3K	199.5M	-1.7M	0.99	5.86	43,480	43,230	556,007	467,315