AAL Options History — August 2020

In August 2020, AAL traded between $11.11 and $13.94. ATM implied volatility averaged 88.9%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 24.9%. IV traded above realized volatility by 23.4% (HV 20d: 65.5%). Max pain ranged from $11.00 to $13.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.46.

Notable Days

2020-08-06: Highest Volume — 581,953 contracts
2020-08-05: Largest IV spike — 17.7% change
2020-08-05: Highest IV Rank — 28.8%
2020-08-05: Largest Expected Move — 27.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.88	$11.11	$13.94	$11.11	$13.11
Max Pain	$12.43	$11.00	$13.00	$13.00	$13.00
ATM IV	88.9%	80.7%	100.0%	89.6%	95.7%
Expected Move	24.9%	22.1%	27.9%	22.7%	24.8%
HV 20d	65.5%	53.3%	84.2%	80.7%	63.3%
HV 60d	111.9%	87.1%	116.3%	115.8%	87.1%
IV Rank	24.4%	21.1%	28.8%	24.7%	27.1%
IV Percentile	56.9%	52.4%	62.3%	59.5%	59.1%
Term Structure	0.8%	-19.4%	10.6%	-0.7%	10.6%
VWIV	89.3%	80.7%	102.3%	81.4%	90.7%
Skew 25d	-5.5%	-31.9%	5.8%	-5.4%	-7.0%
Skew 10d	-3.9%	-21.7%	16.2%	-14.2%	-0.5%
Call IV 25d	94.9%	83.9%	124.3%	97.5%	97.4%
Put IV 25d	89.5%	83.0%	98.0%	92.1%	90.4%
Bid-Ask Spread %	4.97	2.17	14.88	2.50	14.88
Gamma HHI	0.09	0.05	0.34	0.08	0.06
Net GEX	3.4M	-3.4M	13.7M	-694.5K	2.9M
Net DEX	-11.6M	-197.5M	203.6M	203.6M	-52.2M
Net VEX	-4.6M	-5.0M	-4.0M	-4.0M	-4.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.19	0.71	0.42	0.58
Total Volume	281,438.238	107,102	581,953	188,313	162,159
Total OI	2,596,477.476	2,251,553	2,785,319	2,447,686	2,391,298

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
2020-08-03	$11.11	$13.00	89.6%	22.7%	80.7%	24.7%	81.4%	-5.4%	-0.7%	-694.5K	203.6M	-4.0M	0.42	2.50	133,052	55,261	1,071,777	1,375,909
2020-08-04	$11.47	$13.00	85.0%	22.1%	78.5%	22.8%	80.7%	5.0%	7.8%	1.5M	146.7M	-4.2M	0.27	2.17	193,256	52,519	1,131,087	1,395,172
2020-08-05	$12.47	$13.00	100.0%	27.9%	84.2%	28.8%	102.3%	-1.4%	-19.4%	4.0M	-13.2M	-4.6M	0.19	4.75	453,190	84,887	1,155,726	1,412,578
2020-08-06	$12.95	$11.00	89.0%	26.4%	80.8%	24.4%	93.6%	-7.5%	2.6%	7.6M	-104.6M	-4.7M	0.21	5.39	482,641	99,312	1,232,016	1,441,839
2020-08-07	$13.06	$12.00	88.2%	26.4%	78.2%	24.1%	93.2%	-7.2%	3.8%	13.7M	-117.5M	-4.7M	0.43	11.26	198,831	84,930	1,297,381	1,479,222
2020-08-10	$13.94	$12.00	95.8%	27.3%	80.6%	27.1%	97.2%	-31.9%	0.2%	5.3M	-197.5M	-5.0M	0.28	5.80	385,965	107,605	1,195,405	1,451,951
2020-08-11	$13.73	$12.00	97.1%	26.9%	80.7%	27.7%	95.0%	-15.6%	-8.9%	5.6M	-151.1M	-4.9M	0.41	3.96	282,960	115,804	1,229,066	1,472,530
2020-08-12	$13.56	$12.00	97.6%	26.7%	61.6%	27.9%	94.4%	-6.9%	-2.0%	4.3M	-81.9M	-4.9M	0.62	3.28	142,679	88,311	1,246,414	1,500,716
2020-08-13	$13.30	$12.00	88.4%	25.6%	55.6%	24.2%	91.3%	-10.4%	4.2%	3.1M	-41.1M	-4.8M	0.47	3.06	122,632	57,067	1,260,272	1,514,334
2020-08-14	$13.32	$12.00	87.3%	25.3%	53.5%	23.7%	90.7%	-8.3%	0.9%	2.1M	-50.9M	-4.8M	0.45	3.19	100,510	44,943	1,265,658	1,519,661
2020-08-17	$12.66	$12.00	82.9%	24.1%	54.1%	21.9%	87.8%	-2.3%	1.2%	635.7K	81.2M	-4.5M	0.59	3.48	105,730	62,150	1,167,112	1,472,358
2020-08-18	$12.53	$12.00	81.0%	23.4%	54.4%	21.2%	83.9%	-1.8%	3.3%	158.2K	107.1M	-4.4M	0.47	2.85	72,973	34,129	1,187,261	1,491,575
2020-08-19	$12.64	$13.00	80.7%	23.1%	54.2%	21.1%	82.9%	-3.0%	6.5%	747.3K	84.8M	-4.3M	0.69	4.08	147,425	102,160	1,202,137	1,499,285
2020-08-20	$12.55	$13.00	84.2%	23.9%	53.3%	22.5%	85.7%	-1.8%	2.3%	479.4K	113.0M	-4.4M	0.71	2.84	89,883	63,663	1,215,964	1,521,218
2020-08-21	$12.11	$13.00	82.4%	23.4%	53.6%	21.8%	86.0%	-2.5%	2.9%	-3.4M	176.2M	-4.3M	0.70	3.88	133,722	93,528	1,234,377	1,538,493
2020-08-24	$13.30	$12.00	89.9%	24.6%	62.4%	24.8%	88.5%	5.8%	3.8%	3.0M	-66.6M	-4.8M	0.47	4.20	292,724	136,912	986,607	1,264,946
2020-08-25	$13.10	$12.00	84.7%	23.4%	61.7%	22.7%	83.0%	0.4%	1.9%	3.3M	-42.8M	-4.8M	0.52	3.59	198,632	103,236	1,050,492	1,299,894
2020-08-26	$12.76	$13.00	85.2%	22.8%	61.1%	22.9%	81.1%	-2.9%	1.6%	2.6M	11.2M	-4.7M	0.47	5.85	99,281	46,537	1,075,079	1,336,327
2020-08-27	$13.28	$13.00	93.0%	26.4%	61.5%	26.0%	95.0%	-9.8%	0.1%	5.7M	-90.5M	-4.9M	0.29	2.52	367,369	104,804	1,092,745	1,344,111
2020-08-28	$13.57	$13.00	88.9%	24.8%	61.3%	24.4%	90.8%	-0.5%	-5.1%	7.9M	-157.9M	-5.0M	0.37	10.78	151,275	55,556	1,141,602	1,364,432
2020-08-31	$13.11	$13.00	95.7%	24.8%	63.3%	27.1%	90.7%	-7.0%	10.6%	2.9M	-52.2M	-4.9M	0.58	14.88	102,901	59,258	1,060,605	1,330,693