AAL Options History — January 2021

In January 2021, AAL traded between $14.94 and $18.07. ATM implied volatility averaged 71.8%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 20.7%. IV traded above realized volatility by 29.3% (HV 20d: 42.5%). Max pain ranged from $16.00 to $16.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.58.

Notable Days

2021-01-28: Highest Volume — 986,635 contracts
2021-01-28: Largest IV spike — 26.0% change
2021-01-28: Highest IV Rank — 31.6%
2021-01-28: Largest Expected Move — 32.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.84	$14.94	$18.07	$15.14	$17.04
Max Pain	$16.00	$16.00	$16.00	$16.00	$16.00
ATM IV	71.8%	62.2%	112.2%	74.7%	96.7%
Expected Move	20.7%	18.0%	32.9%	20.8%	26.9%
HV 20d	42.5%	34.0%	59.0%	47.1%	59.0%
HV 60d	61.8%	59.3%	64.5%	62.1%	64.5%
IV Rank	15.2%	11.3%	31.6%	16.5%	25.1%
IV Percentile	22.5%	10.3%	68.7%	26.2%	56.7%
Term Structure	-0.2%	-5.6%	4.2%	0.4%	-5.6%
VWIV	74.4%	64.2%	125.7%	74.7%	102.4%
Skew 25d	-1.9%	-22.1%	4.4%	0.2%	-22.1%
Skew 10d	-1.7%	-57.3%	8.7%	0.6%	-57.3%
Call IV 25d	75.9%	63.6%	134.1%	78.0%	118.2%
Put IV 25d	74.0%	63.4%	114.2%	78.3%	96.1%
Bid-Ask Spread %	2.98	2.05	6.77	2.24	6.77
Gamma HHI	0.06	0.05	0.13	0.06	0.13
Net GEX	2.8M	-2.1M	12.4M	80.2K	10.3M
Net DEX	-226.4M	-807.5M	47.7M	349.0K	-518.9M
Net VEX	-6.2M	-7.4M	-5.8M	-5.9M	-7.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.24	0.94	0.57	0.65
Total Volume	305,385.421	139,463	986,635	253,434	502,325
Total OI	3,235,353.053	2,567,201	3,828,993	3,479,790	3,081,855

Daily Data (19 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
2021-01-04	$15.14	$16.00	74.7%	20.8%	47.1%	16.5%	74.7%	0.2%	0.4%	80.2K	349.0K	-5.9M	0.57	2.24	161,431	92,003	1,455,126	2,024,664
2021-01-05	$15.48	$16.00	69.2%	20.0%	47.0%	14.2%	71.7%	4.4%	1.4%	2.4M	-96.6M	-5.9M	0.70	2.30	151,617	106,057	1,492,330	2,065,254
2021-01-06	$15.47	$16.00	63.9%	18.6%	43.2%	12.0%	66.0%	-1.8%	3.6%	727.5K	-63.0M	-5.9M	0.46	3.65	150,156	69,699	1,510,147	2,112,541
2021-01-07	$15.47	$16.00	63.9%	18.5%	41.3%	12.0%	65.9%	2.9%	0.6%	1.5M	-77.9M	-6.0M	0.36	2.93	128,056	46,204	1,534,031	2,126,686
2021-01-08	$15.20	$16.00	63.6%	18.4%	40.5%	11.9%	65.9%	2.0%	-1.2%	-667.4K	1.7M	-5.9M	0.54	2.34	129,101	69,257	1,555,106	2,135,306
2021-01-11	$14.94	$16.00	65.2%	18.4%	35.3%	12.6%	65.8%	2.3%	0.0%	-2.1M	47.7M	-5.8M	0.43	3.63	97,405	42,058	1,503,037	2,098,613
2021-01-12	$15.39	$16.00	62.2%	18.5%	34.0%	11.3%	64.9%	4.3%	4.2%	886.1K	-86.8M	-5.9M	0.49	4.67	143,267	70,432	1,525,251	2,110,192
2021-01-13	$15.49	$16.00	65.5%	18.7%	34.0%	12.7%	67.3%	0.5%	0.1%	1.7M	-115.6M	-6.0M	0.71	3.78	120,459	85,102	1,564,632	2,138,478
2021-01-14	$16.38	$16.00	67.2%	19.1%	39.8%	13.4%	67.6%	-0.6%	-0.5%	12.4M	-426.6M	-6.1M	0.37	2.44	300,923	111,936	1,595,870	2,174,524
2021-01-15	$15.78	$16.00	65.1%	18.6%	41.8%	12.5%	66.1%	0.0%	-0.4%	3.5M	-230.7M	-6.2M	0.56	2.05	152,804	86,240	1,648,393	2,180,600
2021-01-19	$16.03	$16.00	62.8%	18.0%	42.3%	11.6%	64.2%	-1.2%	0.9%	2.0M	-289.4M	-6.1M	0.47	2.47	119,769	56,115	1,026,502	1,540,699
2021-01-20	$16.19	$16.00	65.6%	18.8%	41.7%	12.7%	66.0%	-2.2%	-1.2%	4.7M	-356.0M	-6.1M	0.50	2.37	118,298	59,006	1,076,110	1,557,949
2021-01-21	$15.85	$16.00	67.3%	19.4%	42.0%	13.4%	68.1%	-0.4%	-1.3%	2.7M	-265.0M	-6.2M	0.91	2.36	105,832	95,841	1,106,119	1,581,177
2021-01-22	$15.78	$16.00	65.5%	18.9%	39.9%	12.7%	66.5%	2.7%	-1.1%	1.1M	-212.3M	-6.4M	0.88	2.60	98,445	86,997	1,127,625	1,643,858
2021-01-25	$15.41	$16.00	73.0%	21.1%	39.6%	15.3%	73.6%	0.8%	0.3%	-105.8K	-173.1M	-6.2M	0.94	2.40	140,232	131,300	1,063,435	1,604,818
2021-01-26	$15.41	$16.00	71.6%	21.2%	38.9%	14.7%	74.6%	-1.1%	0.7%	-137.8K	-180.7M	-6.3M	0.85	2.54	87,038	74,228	1,102,427	1,657,317
2021-01-27	$16.53	$16.00	89.0%	25.7%	45.2%	22.0%	96.2%	-6.4%	-1.1%	3.8M	-451.0M	-6.9M	0.24	2.33	663,617	162,438	1,123,307	1,680,254
2021-01-28	$18.07	$16.00	112.2%	32.9%	54.5%	31.6%	125.7%	-19.9%	-3.9%	8.9M	-807.5M	-7.4M	0.44	2.66	683,079	303,556	1,224,215	1,723,260
2021-01-29	$17.04	$16.00	96.7%	26.9%	59.0%	25.1%	102.4%	-22.1%	-5.6%	10.3M	-518.9M	-7.4M	0.65	6.77	304,230	198,095	1,289,267	1,792,588