AAL Options History — July 2020

In July 2020, AAL traded between $11.10 and $13.38. ATM implied volatility averaged 106.5%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 29.5%. IV traded above realized volatility by 13.1% (HV 20d: 93.4%). Max pain ranged from $13.00 to $15.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.77.

Notable Days

2020-07-15: Highest Volume — 610,968 contracts
2020-07-16: Largest IV drop — 15.9% change
2020-07-13: Highest IV Rank — 40.8%
2020-07-15: Largest Expected Move — 34.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.83	$11.10	$13.38	$12.82	$11.10
Max Pain	$14.16	$13.00	$15.00	$14.50	$13.00
ATM IV	106.5%	77.4%	130.0%	117.8%	77.4%
Expected Move	29.5%	22.8%	34.5%	30.6%	22.8%
HV 20d	93.4%	66.7%	167.6%	167.6%	81.6%
HV 60d	121.1%	115.9%	124.2%	124.0%	115.9%
IV Rank	31.4%	19.8%	40.8%	36.0%	19.8%
IV Percentile	67.5%	57.1%	79.4%	73.4%	57.1%
Term Structure	-0.3%	-12.5%	10.7%	7.0%	2.5%
VWIV	104.8%	82.0%	120.4%	109.3%	82.0%
Skew 25d	7.5%	-5.5%	68.8%	8.7%	8.4%
Skew 10d	11.9%	-8.3%	52.0%	11.3%	6.2%
Call IV 25d	105.5%	79.6%	123.2%	115.8%	79.6%
Put IV 25d	113.1%	87.4%	175.1%	124.5%	87.9%
Bid-Ask Spread %	5.19	2.17	32.80	3.17	2.29
Gamma HHI	0.07	0.05	0.14	0.06	0.07
Net GEX	-48.4K	-2.7M	3.1M	928.4K	-1.6M
Net DEX	109.1M	-100.8M	230.6M	48.2M	230.6M
Net VEX	-4.1M	-4.6M	-3.9M	-4.2M	-3.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.53	1.31	0.60	0.71
Total Volume	237,254.136	124,426	610,968	314,794	148,499
Total OI	2,377,947.909	2,174,786	2,573,673	2,254,712	2,568,479

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
2020-07-01	$12.82	$14.50	117.8%	30.6%	167.6%	36.0%	109.3%	8.7%	7.0%	928.4K	48.2M	-4.2M	0.60	3.17	197,030	117,764	1,053,080	1,201,632
2020-07-02	$12.44	$14.50	115.8%	27.4%	117.6%	35.2%	98.2%	2.8%	-2.0%	-1.4M	106.5M	-4.1M	0.79	32.80	143,873	113,510	1,074,756	1,218,899
2020-07-06	$12.78	$15.00	111.9%	30.6%	110.3%	33.6%	108.7%	9.5%	-10.6%	437.7K	55.4M	-4.1M	0.58	8.99	137,539	80,456	1,012,976	1,161,810
2020-07-07	$11.95	$15.00	115.0%	31.3%	103.0%	34.8%	109.4%	4.3%	-1.2%	-397.8K	118.2M	-3.9M	0.92	3.98	93,812	86,239	1,062,095	1,189,095
2020-07-08	$11.97	$15.00	120.0%	32.8%	101.1%	36.8%	116.3%	6.0%	-12.2%	-251.1K	104.4M	-4.0M	1.31	4.69	131,691	172,799	1,080,399	1,207,740
2020-07-09	$11.18	$15.00	124.4%	33.9%	100.8%	38.6%	120.4%	4.9%	-4.2%	-1.6M	176.6M	-3.9M	1.18	5.06	105,856	125,120	1,101,049	1,270,930
2020-07-10	$11.89	$15.00	121.5%	33.9%	87.6%	37.5%	119.1%	14.3%	-0.6%	527.1K	104.5M	-4.2M	0.79	3.37	157,165	123,452	1,119,080	1,288,418
2020-07-13	$11.69	$15.00	130.0%	34.0%	67.1%	40.8%	119.5%	68.8%	-7.7%	-576.7K	113.9M	-4.1M	0.60	3.21	150,377	90,914	1,059,314	1,260,825
2020-07-14	$11.53	$15.00	117.1%	32.9%	66.7%	35.7%	116.9%	13.0%	-2.7%	-1.4M	135.0M	-4.1M	0.82	2.55	68,312	56,114	1,082,407	1,279,379
2020-07-15	$13.38	$15.00	129.7%	34.5%	88.4%	40.8%	120.4%	2.7%	-12.5%	3.1M	-100.8M	-4.6M	0.53	4.62	399,965	211,003	1,108,187	1,297,795
2020-07-16	$12.43	$15.00	109.1%	32.4%	91.1%	32.5%	114.1%	1.5%	4.1%	1.2M	31.5M	-4.5M	0.63	3.14	179,274	113,142	1,177,192	1,348,321
2020-07-17	$11.97	$14.00	109.5%	31.3%	91.4%	32.7%	111.3%	-5.5%	-2.9%	-2.7M	107.5M	-4.3M	0.83	8.49	136,708	113,099	1,190,493	1,383,180
2020-07-20	$11.43	$14.00	105.2%	30.2%	91.9%	30.9%	107.7%	2.7%	0.5%	-224.4K	111.2M	-4.1M	0.61	2.98	106,734	65,465	1,019,351	1,236,103
2020-07-21	$11.49	$14.00	104.4%	29.9%	90.0%	30.6%	107.1%	3.4%	1.2%	129.6K	105.0M	-4.2M	0.75	2.51	88,188	66,503	1,056,490	1,260,733
2020-07-22	$11.39	$14.00	107.0%	30.7%	88.9%	31.6%	110.5%	4.5%	1.7%	-54.8K	112.9M	-4.2M	0.89	6.06	73,308	65,138	1,082,905	1,276,066
2020-07-23	$11.77	$13.50	98.4%	27.5%	88.2%	28.2%	98.2%	1.9%	10.7%	769.4K	88.8M	-4.2M	0.59	3.53	245,714	145,395	1,100,334	1,300,332
2020-07-24	$11.39	$13.00	86.9%	24.3%	88.7%	23.6%	87.1%	2.3%	8.6%	-420.2K	153.1M	-4.1M	0.82	2.72	99,175	81,241	1,131,893	1,329,288
2020-07-27	$11.35	$13.00	87.9%	25.0%	85.9%	24.0%	89.6%	1.9%	2.4%	133.8K	136.8M	-4.0M	0.69	2.17	141,227	97,732	1,028,045	1,273,274
2020-07-28	$11.81	$13.00	86.1%	25.4%	81.7%	23.3%	90.2%	5.0%	6.6%	2.4M	98.5M	-4.2M	0.54	3.05	126,770	68,891	1,096,736	1,328,872
2020-07-29	$11.41	$13.00	82.8%	23.5%	82.3%	21.9%	85.1%	0.3%	0.0%	1.0M	160.7M	-4.1M	0.69	2.44	94,596	65,636	1,117,920	1,353,784
2020-07-30	$11.18	$13.00	84.6%	23.1%	82.0%	22.6%	84.9%	4.7%	4.4%	-1.0M	202.8M	-4.0M	1.13	2.33	62,941	71,224	1,146,756	1,378,441
2020-07-31	$11.10	$13.00	77.4%	22.8%	81.6%	19.8%	82.0%	8.4%	2.5%	-1.6M	230.6M	-3.9M	0.71	2.29	86,708	61,791	1,160,419	1,408,060