AAL Options History — December 2020

In December 2020, AAL traded between $14.32 and $17.95. ATM implied volatility averaged 77.4%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 22.0%. IV traded above realized volatility by 12.4% (HV 20d: 65.0%). Max pain ranged from $14.00 to $17.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.49.

Notable Days

2020-12-03: Highest Volume — 931,350 contracts
2020-12-14: Largest IV drop — 7.3% change
2020-12-10: Highest IV Rank — 23.9%
2020-12-10: Largest Expected Move — 25.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.32	$14.32	$17.95	$14.32	$15.82
Max Pain	$16.73	$14.00	$17.00	$14.00	$17.00
ATM IV	77.4%	68.5%	89.3%	68.5%	69.4%
Expected Move	22.0%	17.8%	25.5%	20.5%	17.8%
HV 20d	65.0%	51.7%	82.8%	80.9%	51.7%
HV 60d	63.1%	61.7%	65.4%	62.1%	61.7%
IV Rank	18.7%	14.3%	23.9%	15.5%	14.3%
IV Percentile	31.6%	18.7%	51.2%	25.8%	18.7%
Term Structure	1.7%	-0.8%	7.0%	2.3%	0.5%
VWIV	79.7%	63.9%	91.8%	74.5%	63.9%
Skew 25d	-6.7%	-13.3%	2.0%	-11.1%	2.0%
Skew 10d	-10.8%	-21.1%	3.0%	-13.6%	3.0%
Call IV 25d	84.6%	70.7%	99.6%	77.5%	70.7%
Put IV 25d	77.8%	66.5%	88.0%	66.5%	72.7%
Bid-Ask Spread %	2.08	1.55	3.48	2.64	1.74
Gamma HHI	0.09	0.06	0.22	0.10	0.06
Net GEX	8.9M	-536.0K	19.3M	7.1M	2.9M
Net DEX	-486.9M	-996.2M	-118.4M	-177.9M	-139.3M
Net VEX	-6.4M	-7.0M	-5.7M	-5.7M	-5.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.49	0.28	1.06	0.44	0.49
Total Volume	359,643.591	140,145	931,350	301,057	342,520
Total OI	3,575,307.227	3,309,638	3,822,506	3,320,623	3,553,220

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
2020-12-01	$14.32	$14.00	68.5%	20.5%	80.9%	15.5%	74.5%	-11.1%	2.3%	7.1M	-177.9M	-5.7M	0.44	2.64	208,719	92,338	1,438,367	1,882,256
2020-12-02	$14.84	$14.00	71.2%	22.0%	81.3%	16.6%	79.4%	-13.3%	5.6%	11.0M	-345.1M	-5.8M	0.28	2.28	253,099	71,950	1,492,668	1,886,016
2020-12-03	$15.97	$17.00	76.3%	22.9%	82.8%	18.7%	84.3%	-7.3%	7.0%	18.8M	-720.8M	-6.1M	0.31	3.48	711,202	220,148	1,562,699	1,908,299
2020-12-04	$16.37	$17.00	81.3%	23.9%	82.1%	20.7%	87.1%	-12.0%	5.4%	13.1M	-776.5M	-6.4M	0.34	2.28	419,234	142,300	1,576,182	1,977,564
2020-12-07	$17.15	$17.00	86.0%	24.9%	82.0%	22.6%	90.1%	-9.5%	-0.6%	14.7M	-833.3M	-6.6M	0.48	2.18	479,819	231,350	1,512,147	1,945,174
2020-12-08	$17.66	$17.00	85.9%	24.7%	66.7%	22.5%	88.6%	-10.7%	0.0%	15.6M	-949.5M	-6.8M	0.45	2.25	219,516	98,911	1,599,944	2,002,001
2020-12-09	$17.11	$17.00	88.4%	25.3%	63.5%	23.6%	91.8%	-11.7%	-0.1%	12.2M	-798.9M	-6.7M	0.79	2.37	336,369	265,065	1,622,053	2,034,886
2020-12-10	$17.95	$17.00	89.3%	25.5%	60.9%	23.9%	89.8%	-10.5%	-0.6%	15.1M	-996.2M	-7.0M	0.49	1.98	261,032	128,319	1,642,105	2,101,106
2020-12-11	$17.04	$17.00	87.4%	25.0%	63.6%	23.2%	90.4%	-11.8%	-0.2%	19.3M	-703.5M	-6.9M	0.49	2.38	294,823	145,241	1,676,530	2,126,097
2020-12-14	$16.77	$17.00	81.1%	23.3%	64.2%	20.6%	85.7%	-7.4%	3.0%	8.3M	-590.5M	-6.7M	0.39	1.87	260,286	101,216	1,585,197	2,068,274
2020-12-15	$16.96	$17.00	79.8%	22.9%	63.0%	20.1%	83.1%	-7.3%	3.4%	9.6M	-623.6M	-6.7M	0.31	1.83	228,113	71,555	1,626,367	2,103,102
2020-12-16	$16.84	$17.00	79.3%	22.7%	62.5%	19.8%	83.7%	-12.2%	0.7%	8.4M	-613.1M	-6.6M	0.34	1.55	157,591	53,585	1,649,098	2,116,831
2020-12-17	$16.74	$17.00	76.7%	22.0%	62.9%	18.7%	80.3%	-7.2%	0.1%	7.8M	-570.8M	-6.5M	0.29	1.60	156,334	45,180	1,681,159	2,119,392
2020-12-18	$16.35	$17.00	74.7%	21.1%	64.2%	17.9%	76.7%	-5.2%	2.9%	2.7M	-410.4M	-6.3M	0.43	1.74	185,457	80,678	1,695,834	2,126,672
2020-12-21	$16.09	$17.00	77.7%	22.2%	64.0%	19.1%	80.0%	-7.4%	1.4%	7.6M	-337.8M	-6.2M	0.86	1.96	203,997	175,966	1,452,600	1,857,038
2020-12-22	$15.52	$17.00	73.6%	20.6%	62.6%	17.2%	75.5%	-1.8%	1.1%	3.4M	-157.3M	-6.1M	1.06	1.96	160,967	170,894	1,500,390	1,950,658
2020-12-23	$15.93	$17.00	72.6%	20.5%	54.6%	16.1%	75.6%	-2.1%	1.8%	5.1M	-213.4M	-6.4M	0.52	2.26	151,752	78,803	1,516,057	2,032,896
2020-12-24	$15.57	$17.00	70.8%	19.0%	55.3%	14.8%	69.1%	-4.3%	3.4%	-536.0K	-118.4M	-6.1M	0.80	2.20	77,832	62,313	1,537,701	2,050,608
2020-12-28	$16.04	$17.00	70.0%	19.4%	56.1%	14.5%	70.6%	-0.7%	0.8%	4.6M	-225.8M	-6.1M	0.38	1.80	165,267	63,400	1,432,855	2,009,791
2020-12-29	$15.85	$17.00	71.7%	18.9%	52.3%	15.2%	67.5%	1.6%	-0.8%	3.6M	-173.2M	-6.0M	0.45	1.76	118,131	53,554	1,458,089	2,025,113
2020-12-30	$16.09	$17.00	70.6%	18.4%	52.3%	14.8%	65.2%	1.6%	1.3%	6.3M	-236.0M	-5.9M	0.40	1.69	119,144	48,189	1,483,035	2,038,688
2020-12-31	$15.82	$17.00	69.4%	17.8%	51.7%	14.3%	63.9%	2.0%	0.5%	2.9M	-139.3M	-5.9M	0.49	1.74	230,114	112,406	1,499,033	2,054,187