AAL Options History — May 2020

In May 2020, AAL traded between $9.01 and $11.82. ATM implied volatility averaged 127.2%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 34.9%. IV traded above realized volatility by 25.9% (HV 20d: 101.2%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.19.

Notable Days

  • 2020-05-04: Highest Volume — 447,739 contracts
  • 2020-05-29: Largest IV spike — 30.1% change
  • 2020-05-06: Highest IV Rank — 59.5%
  • 2020-05-14: Largest Expected Move — 40.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.95$9.01$11.82$10.62$10.61
Max Pain$15.20$15.00$16.00$15.00$15.00
ATM IV127.2%94.5%176.5%149.0%123.0%
Expected Move34.9%28.6%40.6%37.0%29.6%
HV 20d101.2%93.4%113.2%112.8%95.4%
HV 60d143.9%142.3%146.4%142.3%146.4%
IV Rank39.7%26.6%59.5%48.5%38.0%
IV Percentile84.3%76.2%95.2%91.3%81.0%
Term Structure0.2%-72.7%46.9%9.0%-36.4%
VWIV122.8%100.9%145.2%131.6%106.0%
Skew 25d33.2%10.3%85.5%22.5%11.8%
Skew 10d34.9%-41.1%83.2%37.6%41.9%
Call IV 25d110.3%90.5%136.7%136.7%115.0%
Put IV 25d143.5%116.3%211.6%159.2%126.8%
Bid-Ask Spread %5.162.0218.822.0218.82
Gamma HHI0.120.080.340.340.12
Net GEX-871.6K-4.0M1.5M-4.0M-2.2M
Net DEX205.7M41.2M275.9M209.4M194.1M
Net VEX-2.5M-3.2M-2.2M-2.3M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.522.542.541.76
Total Volume214,359.2105,013447,739361,315171,517
Total OI1,878,825.451,552,6902,110,5021,561,5192,087,113

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$10.62$15.00149.0%37.0%112.8%48.5%131.6%22.5%9.0%-4.0M209.4M-2.3M2.542.02101,961259,354745,382816,137
2020-05-04$9.82$16.00145.6%40.1%112.8%47.1%145.2%49.7%8.7%-1.3M234.1M-2.2M2.033.81147,669300,070722,531830,159
2020-05-05$9.57$16.00146.2%38.0%113.2%47.4%132.1%23.8%-41.6%-1.6M241.1M-2.3M1.044.1387,48091,022782,924927,142
2020-05-06$9.22$16.00176.5%40.4%109.1%59.5%138.0%59.8%-72.7%-2.0M263.8M-2.2M1.372.7981,873112,099806,065944,784
2020-05-07$9.39$16.00140.6%39.9%104.6%45.1%132.7%10.3%6.6%-2.2M275.9M-2.2M1.272.83102,310129,550823,741977,070
2020-05-08$10.07$15.00123.0%36.1%102.1%38.1%126.7%12.7%-17.7%-116.4K241.8M-2.4M0.753.20106,28079,341862,5771,023,776
2020-05-11$9.98$15.00134.6%38.4%100.3%42.7%135.5%73.5%46.9%-1.5M230.2M-2.5M0.522.48129,19667,249833,695971,347
2020-05-12$9.61$15.00157.1%38.7%99.7%51.8%135.9%28.1%8.5%-1.5M244.0M-2.4M0.972.75115,296111,857895,123999,862
2020-05-13$9.01$15.00138.5%40.3%100.6%44.3%142.2%23.3%19.8%-1.9M274.8M-2.4M1.212.9691,420110,473940,9661,055,942
2020-05-14$9.10$15.00142.0%40.6%96.1%45.7%140.5%85.5%30.3%-1.9M261.8M-2.4M1.7018.0498,214167,224946,5581,077,572
2020-05-15$9.05$15.00125.6%37.3%93.4%39.1%128.3%48.2%37.1%-3.1M271.1M-2.5M1.255.7560,25175,101966,4201,144,082
2020-05-18$9.82$15.00119.9%35.0%97.9%36.8%124.8%29.9%-11.6%114.2K162.9M-2.6M0.572.36123,03470,231809,049997,411
2020-05-19$9.72$15.00100.9%28.6%97.8%29.2%101.7%27.1%-11.4%544.8K178.3M-2.6M0.643.5075,86848,542834,8871,032,248
2020-05-20$9.88$15.00102.5%29.4%96.2%29.8%108.2%26.0%5.9%1.0M171.7M-2.6M0.752.5866,66450,084847,1231,047,585
2020-05-21$9.88$15.00100.8%28.8%96.2%29.1%100.9%24.4%-1.8%1.3M177.6M-2.6M1.174.5750,86959,268858,1021,069,992
2020-05-22$9.73$15.00107.0%30.9%96.0%31.6%103.6%24.2%-12.0%-206.4K195.6M-2.6M0.684.7162,41142,602869,8101,097,137
2020-05-26$11.06$15.00114.1%29.5%105.4%34.5%107.9%26.1%2.9%1.3M110.7M-2.9M0.713.33201,284141,988828,9511,056,889
2020-05-27$11.82$15.00101.6%29.4%100.0%29.5%105.6%20.2%5.7%1.5M41.2M-3.2M1.179.51136,701159,324881,7501,120,094
2020-05-28$11.05$15.0094.5%29.1%95.1%26.6%108.8%37.0%28.5%236.9K134.9M-3.1M1.633.1076,738124,769898,2631,146,250
2020-05-29$10.61$15.00123.0%29.6%95.4%38.0%106.0%11.8%-36.4%-2.2M194.1M-2.9M1.7618.8262,100109,417912,8801,174,233