AAL Options History — November 2020

In November 2020, AAL traded between $11.03 and $14.97. ATM implied volatility averaged 69.9%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 20.3%. IV traded above realized volatility by 1.0% (HV 20d: 68.9%). Max pain ranged from $12.00 to $14.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.56.

Notable Days

  • 2020-11-09: Highest Volume — 764,332 contracts
  • 2020-11-04: Largest IV drop — 12.1% change
  • 2020-11-03: Highest IV Rank — 20.7%
  • 2020-11-02: Largest Expected Move — 22.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.71$11.03$14.97$11.14$14.18
Max Pain$12.78$12.00$14.00$12.50$14.00
ATM IV69.9%64.6%79.8%79.0%68.6%
Expected Move20.3%18.5%22.8%22.8%20.1%
HV 20d68.9%42.5%81.2%45.7%81.2%
HV 60d57.0%48.7%62.2%50.6%62.2%
IV Rank16.7%14.4%20.7%20.4%16.0%
IV Percentile28.5%25.4%34.9%33.7%26.2%
Term Structure0.1%-5.5%6.4%-0.9%6.4%
VWIV73.4%68.3%81.5%80.2%73.5%
Skew 25d0.1%-11.1%11.6%8.4%-5.0%
Skew 10d0.1%-22.3%28.7%-10.1%-4.5%
Call IV 25d72.7%67.6%88.8%77.1%73.4%
Put IV 25d72.8%66.8%88.7%85.5%68.4%
Bid-Ask Spread %5.742.4318.352.983.01
Gamma HHI0.100.060.420.070.09
Net GEX3.6M-5.5M29.0M-4.9M5.8M
Net DEX81.2M-384.8M420.6M389.0M-133.4M
Net VEX-4.7M-5.7M-4.2M-4.3M-5.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.300.970.510.46
Total Volume300,769.1115,663764,332115,663332,188
Total OI3,384,727.83,022,0893,761,5243,095,6183,242,599

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$11.14$12.5079.0%22.8%45.7%20.4%80.2%8.4%-0.9%-4.9M389.0M-4.3M0.512.9876,45639,2071,249,3821,846,236
2020-11-03$11.27$12.5079.8%22.8%45.0%20.7%81.1%11.6%2.4%-4.6M368.8M-4.3M0.598.8876,77745,6331,249,3821,846,236
2020-11-04$11.03$12.5070.1%19.3%42.5%16.8%70.6%6.6%-4.7%-5.5M420.6M-4.2M0.582.4391,87252,8971,300,8071,884,647
2020-11-05$11.59$12.0072.7%21.1%47.1%17.9%76.7%3.6%-0.1%-2.5M312.1M-4.3M0.6715.82120,58280,6941,330,0721,905,734
2020-11-06$11.47$12.0072.1%22.1%46.9%17.6%81.5%2.9%-5.5%430.3K323.2M-4.3M0.8818.35131,641116,4561,356,2821,912,503
2020-11-09$13.31$12.0070.9%21.2%72.2%17.1%76.6%-11.1%2.3%3.3M-58.7M-4.9M0.423.83536,723227,6091,347,7671,942,000
2020-11-10$12.56$13.0070.1%21.0%73.0%16.8%74.5%3.4%5.8%2.3M108.5M-4.7M0.372.87240,55487,9771,490,3131,991,108
2020-11-11$12.07$13.0067.9%19.9%74.4%16.0%71.5%3.3%0.5%-845.9K236.8M-4.6M0.613.13132,74881,2671,500,2682,003,259
2020-11-12$11.70$13.0072.1%20.2%75.1%17.6%72.4%5.5%0.7%-2.8M312.1M-4.5M0.736.38185,003135,9411,533,9892,021,516
2020-11-13$12.19$12.0069.6%20.3%76.5%16.6%74.0%-6.7%1.8%172.9K176.8M-4.7M0.306.08188,43855,6241,578,0772,081,841
2020-11-16$12.81$12.0067.2%19.4%78.6%15.7%69.5%3.1%-0.5%4.5M33.3M-4.5M0.465.47255,066118,4441,489,7102,053,513
2020-11-17$12.61$13.0066.7%19.2%78.4%15.3%68.8%0.6%1.0%4.0M88.3M-4.5M0.625.71128,04978,9411,530,6282,043,973
2020-11-18$12.76$13.0066.5%19.0%78.5%15.2%68.4%-1.2%-2.4%7.2M29.4M-4.6M0.587.29206,715119,6281,573,2402,075,853
2020-11-19$12.78$13.0066.6%19.1%77.5%15.2%69.1%0.9%-0.6%6.5M45.8M-4.7M0.976.6391,50488,6181,591,4012,117,547
2020-11-20$12.55$13.0064.6%18.5%76.1%14.4%68.3%-1.6%-0.4%1.6M112.2M-4.6M0.574.37136,14777,1151,607,6022,153,922
2020-11-23$13.44$13.0065.2%18.7%75.3%14.7%68.4%-1.0%-1.4%5.0M-35.8M-4.9M0.393.17264,645103,2851,273,3821,748,707
2020-11-24$14.74$13.0069.5%20.2%78.7%16.4%74.2%-6.8%-2.2%11.0M-341.0M-5.5M0.452.47471,990214,3481,350,9851,788,862
2020-11-25$14.93$13.0069.8%21.3%77.3%16.5%75.0%-8.8%0.5%11.5M-379.1M-5.6M0.602.70228,416136,3841,424,1161,869,648
2020-11-27$14.97$14.0068.9%19.7%77.4%16.1%73.6%-5.8%-1.1%29.0M-384.8M-5.7M0.443.16180,86678,9341,465,7151,921,734
2020-11-30$14.18$14.0068.6%20.1%81.2%16.0%73.5%-5.0%6.4%5.8M-133.4M-5.4M0.463.01227,649104,5391,379,6681,862,931