AAL Options History — June 2020

In June 2020, AAL traded between $11.09 and $20.03. ATM implied volatility averaged 129.6%, placing in the 40.7% IV rank vs the trailing year. The 30-day expected move averaged 35.2%. IV traded below realized volatility by 19.8% (HV 20d: 149.4%). Max pain ranged from $11.00 to $16.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.98.

Notable Days

2020-06-04: Highest Volume — 1,282,106 contracts
2020-06-04: Largest IV spike — 64.1% change
2020-06-11: Highest IV Rank — 54.2%
2020-06-11: Largest Expected Move — 42.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.11	$11.09	$20.03	$11.09	$13.22
Max Pain	$15.00	$11.00	$16.00	$15.00	$15.00
ATM IV	129.6%	97.1%	163.2%	109.2%	111.6%
Expected Move	35.2%	27.0%	42.0%	28.5%	28.1%
HV 20d	149.4%	80.2%	170.0%	85.7%	168.3%
HV 60d	141.7%	123.7%	159.2%	144.9%	123.7%
IV Rank	40.7%	27.7%	54.2%	32.5%	33.5%
IV Percentile	81.2%	72.2%	93.7%	78.2%	72.2%
Term Structure	-2.0%	-32.8%	28.1%	-27.5%	13.1%
VWIV	125.6%	96.7%	147.9%	102.2%	102.3%
Skew 25d	9.0%	-23.7%	31.1%	4.6%	31.1%
Skew 10d	11.4%	-104.1%	53.6%	4.8%	51.4%
Call IV 25d	127.1%	93.4%	155.4%	104.9%	105.6%
Put IV 25d	136.0%	92.5%	182.7%	109.5%	136.7%
Bid-Ask Spread %	5.05	2.29	18.82	2.43	3.63
Gamma HHI	0.06	0.05	0.15	0.06	0.05
Net GEX	357.6K	-2.7M	5.5M	89.5K	1.4M
Net DEX	-122.6M	-722.0M	189.8M	160.3M	9.5M
Net VEX	-4.4M	-5.1M	-2.8M	-2.8M	-4.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.43	1.68	0.86	0.63
Total Volume	422,396.364	100,731	1,282,106	106,731	158,665
Total OI	2,333,162.318	1,966,770	2,674,034	1,966,770	2,230,327

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
2020-06-01	$11.09	$15.00	109.2%	28.5%	85.7%	32.5%	102.2%	4.6%	-27.5%	89.5K	160.3M	-2.8M	0.86	2.43	57,522	49,209	854,149	1,112,621
2020-06-02	$11.15	$15.00	97.1%	27.0%	80.2%	27.7%	96.7%	11.2%	28.1%	458.5K	147.0M	-2.9M	1.13	2.29	47,203	53,528	868,544	1,129,065
2020-06-03	$11.86	$15.00	97.2%	27.2%	81.6%	27.7%	97.1%	-0.9%	-18.0%	1.6M	87.6M	-3.1M	0.43	2.58	153,492	66,269	881,435	1,145,349
2020-06-04	$16.40	$11.00	159.4%	40.9%	136.1%	52.7%	146.9%	23.0%	-32.8%	1.8M	-405.4M	-4.2M	0.52	18.82	845,984	436,122	906,856	1,162,414
2020-06-05	$18.20	$13.00	159.9%	41.6%	138.6%	52.9%	147.9%	27.4%	-11.0%	5.5M	-674.1M	-4.9M	0.94	5.96	546,703	515,671	1,053,885	1,326,515
2020-06-08	$20.03	$14.00	150.9%	39.5%	139.8%	49.2%	141.6%	4.7%	-9.5%	3.4M	-722.0M	-5.1M	0.96	4.98	217,324	209,204	1,021,106	1,324,042
2020-06-09	$18.43	$15.00	152.1%	40.1%	145.2%	49.7%	143.1%	-5.0%	-7.3%	1.6M	-470.2M	-5.1M	1.50	3.81	176,494	265,098	1,062,854	1,398,090
2020-06-10	$17.15	$15.00	134.7%	39.2%	147.8%	42.7%	137.8%	-23.7%	-0.7%	-39.5K	-267.5M	-5.0M	1.11	6.33	263,336	291,790	1,087,271	1,462,169
2020-06-11	$14.43	$15.00	163.2%	42.0%	161.3%	54.2%	147.2%	-3.8%	5.3%	-2.1M	106.3M	-4.6M	1.68	6.10	206,268	347,080	1,122,890	1,495,114
2020-06-12	$16.62	$15.00	138.6%	38.2%	166.5%	44.3%	138.5%	7.1%	-8.2%	507.6K	-206.0M	-5.0M	1.42	8.47	272,158	387,518	1,147,892	1,526,142
2020-06-15	$16.66	$16.00	137.2%	39.4%	166.3%	43.7%	140.8%	10.3%	4.6%	163.4K	-219.0M	-4.9M	1.37	4.05	141,740	194,626	1,067,109	1,453,006
2020-06-16	$17.05	$16.00	134.0%	38.2%	165.2%	42.5%	134.7%	11.4%	1.3%	1.2M	-293.0M	-5.0M	0.46	5.86	296,471	136,008	1,093,153	1,468,688
2020-06-17	$16.82	$16.00	127.8%	36.6%	165.3%	40.0%	128.6%	8.9%	2.8%	1.0M	-245.0M	-5.0M	0.88	3.03	124,276	108,790	1,152,287	1,489,064
2020-06-18	$16.40	$16.00	124.4%	35.5%	166.3%	38.6%	127.6%	3.3%	8.7%	-97.9K	-167.5M	-5.0M	0.69	3.89	109,366	75,466	1,135,132	1,493,009
2020-06-19	$15.94	$16.00	122.8%	34.4%	167.2%	38.0%	121.4%	6.0%	4.4%	-2.7M	-86.7M	-4.7M	1.05	3.60	171,474	179,275	1,142,806	1,498,555
2020-06-22	$14.86	$16.00	119.5%	33.9%	170.0%	36.6%	119.9%	15.4%	7.6%	-1.0M	-15.7M	-4.4M	1.00	6.25	173,652	173,174	851,778	1,172,808
2020-06-23	$14.14	$16.00	116.3%	32.4%	166.9%	35.4%	113.9%	14.4%	2.2%	-1.6M	70.8M	-4.2M	1.13	4.02	240,767	270,908	916,859	1,203,212
2020-06-24	$13.32	$15.00	117.9%	32.5%	167.4%	36.0%	114.0%	12.8%	4.8%	-1.4M	142.1M	-4.0M	1.28	3.40	157,144	200,374	984,239	1,182,656
2020-06-25	$13.12	$15.00	120.8%	33.5%	165.4%	37.2%	121.7%	10.7%	0.3%	-1.8M	145.2M	-4.1M	1.04	3.32	175,562	183,040	1,021,763	1,218,387
2020-06-26	$12.28	$15.00	125.6%	35.4%	166.7%	39.1%	127.7%	12.8%	3.7%	-589.2K	189.8M	-4.1M	1.02	4.21	148,536	150,990	1,072,812	1,248,529
2020-06-29	$13.31	$15.00	130.5%	31.0%	168.2%	41.1%	112.3%	15.3%	-15.4%	516.6K	17.4M	-4.3M	0.49	4.09	210,787	103,656	978,891	1,166,098
2020-06-30	$13.22	$15.00	111.6%	28.1%	168.3%	33.5%	102.3%	31.1%	13.1%	1.4M	9.5M	-4.3M	0.63	3.63	97,531	61,134	1,033,382	1,196,945