AAL Options History — September 2020 In September 2020, AAL traded between $11.81 and $13.78. ATM implied volatility averaged 88.5%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 24.6%. IV traded above realized volatility by 36.7% (HV 20d: 51.8%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.56.
Notable Days 2020-09-03 : Highest Volume — 385,986 contracts2020-09-10 : Largest IV drop — 11.1% change2020-09-03 : Highest IV Rank — 30.1%2020-09-03 : Largest Expected Move — 30.8%Monthly Statistics Metric Avg Min Max Open Close Price $12.90 $11.81 $13.78 $13.11 $12.28 Max Pain $12.57 $12.00 $13.00 $13.00 $12.00 ATM IV 88.5% 78.3% 103.3% 102.5% 88.6% Expected Move 24.6% 21.2% 30.8% 26.2% 22.7% HV 20d 51.8% 46.8% 62.7% 62.7% 50.7% HV 60d 69.5% 64.3% 84.6% 84.6% 64.3% IV Rank 24.2% 20.1% 30.1% 29.8% 24.3% IV Percentile 51.9% 42.9% 63.9% 63.5% 52.8% Term Structure 3.0% -3.5% 11.2% 5.1% -1.2% VWIV 87.8% 76.0% 109.3% 94.3% 80.0% Skew 25d -2.5% -17.8% 7.6% -17.8% 1.0% Skew 10d -4.0% -29.5% 37.4% -17.7% 25.1% Call IV 25d 92.2% 79.2% 112.6% 112.6% 89.9% Put IV 25d 89.7% 74.6% 114.5% 94.8% 91.0% Bid-Ask Spread % 4.59 2.70 18.93 4.88 3.38 Gamma HHI 0.07 0.05 0.12 0.06 0.06 Net GEX 1.2M -4.8M 6.8M 3.3M -946.4K Net DEX 35.3M -164.8M 262.3M -61.3M 143.9M Net VEX -4.7M -5.1M -4.5M -5.0M -4.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.56 0.26 1.19 0.26 0.46 Total Volume 246,153.524 129,695 385,986 300,491 237,232 Total OI 2,644,382.952 2,457,655 2,889,717 2,457,655 2,889,717
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 2020-09-01 $13.11 $13.00 102.5% 26.2% 62.7% 29.8% 94.3% -17.8% 5.1% 3.3M -61.3M -5.0M 0.26 4.88 238,273 62,218 1,094,164 1,363,491 2020-09-02 $13.28 $13.00 103.0% 25.7% 55.9% 30.0% 91.3% -1.4% 7.8% 4.9M -90.0M -5.0M 0.32 10.00 186,675 59,310 1,148,501 1,389,175 2020-09-03 $13.32 $12.00 103.3% 30.8% 54.3% 30.1% 109.3% 6.3% 11.2% 5.7M -115.2M -5.1M 0.49 4.88 259,232 126,754 1,172,711 1,408,188 2020-09-04 $13.57 $13.00 101.0% 29.9% 54.6% 29.2% 107.4% 7.6% -3.5% 6.8M -164.8M -5.1M 0.39 18.93 168,077 65,721 1,183,171 1,434,482 2020-09-08 $13.69 $12.00 97.9% 29.4% 49.4% 28.0% 104.7% -3.9% 7.6% 4.3M -124.4M -5.0M 0.35 3.70 219,325 77,714 1,102,066 1,392,366 2020-09-09 $13.11 $12.00 97.6% 27.9% 51.4% 27.9% 99.8% -1.5% -0.2% 2.4M -11.5M -4.8M 0.48 3.56 220,610 105,658 1,124,966 1,420,934 2020-09-10 $13.06 $13.00 86.8% 25.8% 51.3% 23.5% 91.4% -2.2% 6.1% 1.9M 20.3M -4.8M 0.41 3.45 133,897 54,818 1,171,759 1,477,033 2020-09-11 $12.89 $13.00 86.2% 24.9% 51.1% 23.3% 89.6% -2.5% -0.3% -566.0K 56.6M -4.6M 0.73 3.41 89,230 65,379 1,180,622 1,481,590 2020-09-14 $13.24 $13.00 81.8% 23.7% 52.0% 21.5% 87.4% -0.5% 3.4% 1.7M 341.3K -4.7M 0.81 2.85 88,265 71,602 1,095,097 1,443,560 2020-09-15 $13.10 $13.00 79.5% 22.8% 48.7% 20.6% 82.3% -3.7% 2.9% 1.1M 30.4M -4.7M 0.59 3.35 81,653 48,042 1,115,201 1,477,381 2020-09-16 $13.78 $13.00 83.6% 24.0% 51.4% 22.3% 84.8% -3.9% 1.1% 5.5M -95.7M -4.8M 0.38 3.27 241,089 91,787 1,126,308 1,483,004 2020-09-17 $13.60 $13.00 84.4% 24.1% 51.8% 22.6% 82.8% -8.8% 1.9% 4.9M -66.3M -4.7M 0.77 3.45 144,328 111,431 1,154,611 1,519,862 2020-09-18 $13.12 $13.00 78.3% 22.2% 53.6% 20.1% 78.0% -10.5% 0.6% -2.3M 42.0M -4.7M 0.95 3.81 115,342 109,462 1,167,208 1,562,784 2020-09-21 $12.20 $13.00 85.5% 23.0% 58.4% 23.0% 80.8% -2.7% -0.7% -1.5M 165.1M -4.5M 1.19 3.18 122,118 144,884 1,014,068 1,463,231 2020-09-22 $12.36 $12.50 79.2% 21.9% 47.3% 20.5% 76.0% -1.2% 2.3% -2.5M 164.5M -4.5M 0.72 2.70 117,008 84,812 1,044,596 1,538,629 2020-09-23 $12.02 $12.50 81.5% 21.5% 47.9% 21.4% 77.1% -2.7% 1.5% -3.7M 224.0M -4.5M 0.49 4.51 138,454 67,939 1,106,168 1,579,271 2020-09-24 $11.81 $12.00 78.5% 21.2% 47.5% 20.2% 76.6% 2.3% 3.0% -4.8M 262.3M -4.5M 0.76 3.83 114,201 86,816 1,152,035 1,622,285 2020-09-25 $12.22 $12.00 84.9% 23.6% 46.8% 22.8% 88.1% -4.4% 10.1% -2.1M 164.1M -4.7M 0.36 3.61 201,240 72,521 1,180,612 1,635,110 2020-09-28 $12.81 $12.00 87.1% 23.0% 49.5% 23.6% 81.9% 0.2% 4.0% 1.2M 50.2M -4.7M 0.31 2.75 263,054 81,305 1,174,483 1,609,261 2020-09-29 $12.23 $12.00 87.6% 21.7% 50.7% 23.8% 79.4% -1.6% 1.2% -845.0K 145.8M -4.7M 0.58 2.88 127,712 74,036 1,202,007 1,630,334 2020-09-30 $12.28 $12.00 88.6% 22.7% 50.7% 24.3% 80.0% 1.0% -1.2% -946.4K 143.9M -4.7M 0.46 3.38 162,168 75,064 1,218,098 1,671,619
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