AAL Options History — October 2020

In October 2020, AAL traded between $10.98 and $13.22. ATM implied volatility averaged 85.3%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 24.3%. IV traded above realized volatility by 35.8% (HV 20d: 49.5%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.59.

Notable Days

2020-10-02: Highest Volume — 546,236 contracts
2020-10-22: Largest IV drop — 9.3% change
2020-10-06: Highest IV Rank — 27.3%
2020-10-06: Largest Expected Move — 27.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.42	$10.98	$13.22	$12.47	$11.22
Max Pain	$12.52	$12.00	$13.00	$12.00	$12.50
ATM IV	85.3%	74.4%	96.1%	89.7%	85.2%
Expected Move	24.3%	21.5%	27.5%	22.6%	24.2%
HV 20d	49.5%	42.6%	55.3%	50.8%	46.4%
HV 60d	54.6%	50.7%	64.3%	64.3%	50.7%
IV Rank	22.9%	18.6%	27.3%	24.7%	22.9%
IV Percentile	44.8%	33.7%	57.1%	54.4%	44.0%
Term Structure	0.1%	-7.3%	4.9%	4.2%	-2.4%
VWIV	87.1%	76.5%	101.4%	83.3%	85.7%
Skew 25d	5.3%	-2.0%	15.8%	-1.1%	14.7%
Skew 10d	9.5%	-9.6%	38.4%	0.4%	1.3%
Call IV 25d	84.8%	76.2%	96.4%	93.5%	77.7%
Put IV 25d	90.1%	76.0%	101.7%	92.4%	92.5%
Bid-Ask Spread %	2.74	2.28	4.28	2.59	2.70
Gamma HHI	0.08	0.06	0.28	0.07	0.07
Net GEX	682.7K	-5.4M	12.4M	446.4K	-4.0M
Net DEX	154.7M	-24.2M	430.2M	108.6M	386.0M
Net VEX	-4.5M	-5.0M	-4.2M	-4.8M	-4.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.26	1.15	0.70	0.72
Total Volume	255,851.727	152,644	546,236	242,729	167,002
Total OI	3,018,006.045	2,748,929	3,255,345	2,948,423	3,255,345

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
2020-10-01	$12.47	$12.00	89.7%	22.6%	50.8%	24.7%	83.3%	-1.1%	4.2%	446.4K	108.6M	-4.8M	0.70	2.59	142,528	100,201	1,253,344	1,695,079
2020-10-02	$12.91	$12.00	92.0%	25.0%	52.6%	25.6%	89.9%	1.9%	3.7%	12.4M	3.8M	-5.0M	0.26	2.84	432,083	114,153	1,281,619	1,727,635
2020-10-05	$13.11	$13.00	91.6%	27.0%	52.4%	25.5%	95.2%	0.4%	-7.3%	2.8M	-7.0M	-4.8M	0.43	2.40	140,929	60,000	1,225,718	1,681,785
2020-10-06	$12.65	$13.00	96.1%	27.5%	53.6%	27.3%	101.4%	8.5%	2.6%	707.4K	95.3M	-4.6M	0.63	3.40	199,874	125,259	1,247,963	1,697,453
2020-10-07	$13.11	$13.00	90.2%	26.1%	53.2%	24.9%	91.7%	5.5%	-3.3%	3.5M	23.2M	-4.8M	0.37	2.32	160,618	59,736	1,250,923	1,731,717
2020-10-08	$13.14	$13.00	90.6%	25.6%	53.2%	25.1%	93.1%	-2.0%	-1.2%	5.7M	362.1K	-4.7M	0.57	2.54	280,703	159,316	1,269,219	1,756,273
2020-10-09	$13.22	$13.00	92.9%	25.9%	53.0%	26.0%	90.9%	9.4%	-0.3%	6.4M	-24.2M	-4.8M	0.35	2.94	189,165	66,408	1,313,404	1,792,475
2020-10-12	$12.94	$13.00	86.1%	24.7%	52.7%	23.2%	89.0%	4.0%	2.2%	932.6K	55.7M	-4.6M	0.45	2.28	105,090	47,554	1,228,736	1,711,230
2020-10-13	$12.32	$13.00	88.4%	25.8%	55.3%	24.2%	92.3%	-1.7%	3.6%	-3.0M	181.1M	-4.4M	0.71	3.26	114,580	81,571	1,257,005	1,723,652
2020-10-14	$12.40	$13.00	85.9%	24.4%	51.7%	23.2%	86.3%	4.4%	-1.4%	-2.7M	176.9M	-4.4M	0.28	2.40	192,333	54,728	1,286,794	1,755,150
2020-10-15	$12.28	$12.00	80.1%	24.0%	51.7%	20.8%	88.1%	8.2%	4.9%	-3.8M	190.1M	-4.4M	0.59	2.37	107,052	63,203	1,345,316	1,771,946
2020-10-16	$12.44	$12.00	81.0%	22.9%	50.7%	21.2%	82.3%	4.0%	0.3%	2.0M	166.9M	-4.3M	0.64	2.63	117,845	75,200	1,374,806	1,784,030
2020-10-19	$12.56	$12.00	84.2%	23.9%	43.6%	22.5%	84.4%	7.3%	0.8%	631.9K	157.6M	-4.3M	0.42	2.42	186,152	77,657	1,132,775	1,616,154
2020-10-20	$12.82	$12.00	84.0%	24.0%	43.9%	22.4%	85.8%	6.5%	-2.7%	2.3M	98.8M	-4.5M	0.59	2.61	139,333	81,623	1,203,838	1,648,184
2020-10-21	$12.74	$12.00	84.2%	24.1%	42.6%	22.5%	85.2%	3.2%	-0.0%	2.4M	96.2M	-4.6M	0.65	2.29	119,502	77,561	1,237,838	1,679,105
2020-10-22	$13.18	$12.50	76.3%	21.9%	43.2%	19.3%	77.7%	2.6%	-1.5%	6.9M	17.0M	-4.7M	0.72	2.89	169,111	122,106	1,273,503	1,723,044
2020-10-23	$12.61	$12.50	74.4%	21.5%	45.2%	18.6%	76.5%	-1.9%	-2.3%	-766.5K	154.3M	-4.5M	0.71	3.07	211,254	149,976	1,300,395	1,745,630
2020-10-26	$11.77	$12.50	79.4%	23.1%	48.4%	20.6%	82.6%	9.4%	-0.5%	-2.4M	291.8M	-4.2M	1.15	2.85	127,930	146,930	1,255,406	1,718,490
2020-10-27	$11.27	$12.50	78.0%	22.1%	48.1%	20.0%	79.6%	7.5%	0.1%	-4.9M	390.8M	-4.2M	0.53	2.44	175,601	93,587	1,294,085	1,783,565
2020-10-28	$10.98	$12.50	84.1%	24.7%	48.6%	22.4%	90.7%	9.7%	2.1%	-5.2M	430.2M	-4.2M	1.01	4.28	107,866	109,186	1,329,896	1,828,753
2020-10-29	$11.14	$12.50	82.1%	23.0%	48.5%	21.6%	84.2%	15.8%	0.3%	-5.4M	410.4M	-4.3M	0.49	2.74	117,937	58,295	1,348,083	1,858,772
2020-10-30	$11.22	$12.50	85.2%	24.2%	46.4%	22.9%	85.7%	14.7%	-2.4%	-4.0M	386.0M	-4.4M	0.72	2.70	97,337	69,665	1,378,281	1,877,064