AAL Options History — April 2020

In April 2020, AAL traded between $9.31 and $12.47. ATM implied volatility averaged 145.3%, placing in the 47.0% IV rank vs the trailing year. The 30-day expected move averaged 40.5%. IV traded below realized volatility by 23.0% (HV 20d: 168.3%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.93.

Notable Days

2020-04-09: Highest Volume — 289,663 contracts
2020-04-09: Largest IV drop — 25.2% change
2020-04-08: Highest IV Rank — 71.2%
2020-04-03: Largest Expected Move — 47.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.97	$9.31	$12.47	$10.68	$12.05
Max Pain	$16.95	$15.00	$20.00	$15.00	$15.00
ATM IV	145.3%	109.5%	205.6%	153.3%	111.0%
Expected Move	40.5%	32.1%	47.8%	44.8%	32.1%
HV 20d	168.3%	104.9%	212.1%	212.1%	104.9%
HV 60d	135.4%	129.4%	141.2%	129.4%	140.7%
IV Rank	47.0%	32.6%	71.2%	50.2%	33.2%
IV Percentile	91.0%	84.9%	98.4%	95.2%	84.9%
Term Structure	-5.0%	-89.9%	82.3%	82.3%	-10.8%
VWIV	141.3%	115.9%	164.2%	157.0%	115.9%
Skew 25d	43.5%	-1.4%	187.4%	115.3%	12.4%
Skew 10d	66.6%	-72.8%	182.0%	94.9%	70.8%
Call IV 25d	123.0%	73.1%	144.9%	84.3%	115.8%
Put IV 25d	166.5%	125.7%	260.5%	199.6%	128.2%
Bid-Ask Spread %	4.20	2.19	12.57	10.53	2.84
Gamma HHI	0.07	0.05	0.11	0.08	0.05
Net GEX	-340.7K	-1.0M	688.3K	-574.6K	-317.1K
Net DEX	158.2M	72.7M	225.4M	225.4M	119.2M
Net VEX	-1.8M	-2.6M	-1.3M	-1.5M	-2.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.60	1.48	1.05	1.03
Total Volume	174,828.667	88,915	289,663	169,728	259,485
Total OI	1,217,493.048	1,047,427	1,456,176	1,047,427	1,456,176

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
2020-04-01	$10.68	$15.00	153.3%	44.8%	212.1%	50.2%	157.0%	115.3%	82.3%	-574.6K	225.4M	-1.5M	1.05	10.53	82,931	86,797	571,672	475,755
2020-04-02	$10.06	$20.00	165.2%	45.0%	209.5%	55.0%	144.3%	41.2%	-68.5%	-724.4K	221.1M	-1.4M	0.76	8.25	96,591	73,536	590,929	488,997
2020-04-03	$9.31	$20.00	164.4%	47.8%	210.3%	54.7%	161.4%	83.3%	-89.9%	-387.2K	223.8M	-1.3M	1.42	5.71	84,315	119,638	609,107	503,810
2020-04-06	$9.45	$20.00	173.4%	46.9%	210.4%	58.3%	153.4%	187.4%	10.0%	-475.3K	205.4M	-1.4M	0.68	2.65	130,320	88,233	600,111	508,913
2020-04-07	$10.31	$20.00	176.9%	44.3%	208.0%	59.7%	152.4%	70.2%	29.5%	-8.2K	166.4M	-1.6M	0.78	3.72	149,359	116,829	634,913	525,612
2020-04-08	$11.19	$19.00	205.6%	43.6%	211.3%	71.2%	148.9%	49.7%	-6.5%	173.9K	146.9M	-1.8M	0.77	3.13	93,148	71,830	648,509	559,133
2020-04-09	$12.26	$17.00	153.8%	41.8%	205.8%	50.4%	141.2%	34.8%	1.6%	238.4K	85.6M	-2.1M	0.68	12.57	172,376	117,287	660,376	586,778
2020-04-13	$11.53	$17.00	159.5%	44.7%	206.5%	52.7%	164.2%	29.9%	-12.9%	-264.5K	148.7M	-1.9M	0.78	2.93	80,874	62,768	644,420	572,292
2020-04-14	$11.91	$17.00	144.6%	41.0%	199.4%	46.7%	146.9%	26.4%	-33.5%	164.6K	138.3M	-1.9M	0.70	3.59	62,349	43,535	662,151	584,164
2020-04-15	$12.19	$17.00	143.7%	41.2%	199.9%	46.4%	150.3%	26.2%	-12.9%	688.3K	119.9M	-2.0M	0.67	4.11	96,886	64,558	682,160	597,155
2020-04-16	$11.06	$17.00	148.5%	41.9%	173.1%	48.3%	145.7%	23.5%	-13.8%	-1.0M	167.6M	-1.8M	0.80	2.28	69,370	55,457	707,204	607,224
2020-04-17	$11.64	$17.00	129.6%	36.4%	168.9%	40.7%	129.6%	21.9%	-2.3%	-635.1K	138.5M	-1.9M	1.07	2.77	61,872	66,493	719,932	609,357
2020-04-20	$11.05	$17.00	133.8%	39.3%	170.2%	42.4%	137.8%	20.3%	-4.2%	-336.8K	147.0M	-1.8M	0.80	2.19	49,510	39,405	573,083	496,358
2020-04-21	$10.93	$16.00	134.3%	40.2%	169.9%	42.6%	141.8%	29.3%	29.3%	-367.9K	146.2M	-1.8M	0.92	2.58	50,482	46,430	590,299	509,225
2020-04-22	$10.32	$16.00	132.3%	39.5%	119.5%	41.8%	139.3%	34.8%	22.7%	-731.5K	165.5M	-1.8M	1.04	3.05	73,527	76,493	613,076	533,341
2020-04-23	$10.30	$16.00	130.1%	35.4%	111.0%	40.9%	124.8%	20.3%	17.6%	-910.5K	175.2M	-1.8M	1.48	3.00	55,686	82,599	638,484	560,078
2020-04-24	$10.47	$15.00	109.5%	36.6%	111.7%	32.6%	128.6%	58.7%	-18.7%	-557.0K	176.8M	-1.9M	1.31	3.94	89,251	116,513	653,046	609,856
2020-04-27	$10.01	$15.00	124.6%	37.0%	109.4%	38.7%	132.4%	4.2%	-12.0%	-942.9K	187.4M	-1.9M	1.44	2.84	51,437	74,313	639,198	615,814
2020-04-28	$11.22	$15.00	126.4%	36.4%	107.9%	39.4%	128.2%	25.3%	-10.2%	-456.2K	144.9M	-2.2M	0.60	2.43	123,776	73,732	659,190	679,694
2020-04-29	$12.47	$15.00	130.0%	34.9%	114.7%	40.9%	123.8%	-1.4%	-1.2%	318.0K	72.7M	-2.6M	0.73	3.05	150,960	110,451	678,008	711,754
2020-04-30	$12.05	$15.00	111.0%	32.1%	104.9%	33.2%	115.9%	12.4%	-10.8%	-317.1K	119.2M	-2.4M	1.03	2.84	127,852	131,633	700,121	756,055