AAL Options History — March 2021

In March 2021, AAL traded between $20.44 and $25.15. ATM implied volatility averaged 64.9%, placing in the 2.2% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded above realized volatility by 5.9% (HV 20d: 59.0%). Max pain ranged from $18.00 to $22.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.45.

Notable Days

2021-03-15: Highest Volume — 525,293 contracts
2021-03-16: Largest IV drop — 9.3% change
2021-03-05: Highest IV Rank — 4.8%
2021-03-15: Largest Expected Move — 20.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.86	$20.44	$25.15	$21.21	$23.97
Max Pain	$20.72	$18.00	$22.00	$18.00	$22.00
ATM IV	64.9%	57.1%	72.6%	66.1%	59.0%
Expected Move	18.1%	14.7%	20.3%	18.1%	14.7%
HV 20d	59.0%	53.6%	63.6%	54.6%	61.5%
HV 60d	55.0%	51.9%	57.8%	54.7%	56.9%
IV Rank	2.2%	0.0%	4.8%	1.8%	1.3%
IV Percentile	7.5%	0.0%	21.8%	7.5%	0.4%
Term Structure	1.3%	-5.2%	8.7%	1.2%	0.8%
VWIV	65.2%	53.0%	74.1%	66.1%	53.0%
Skew 25d	-1.1%	-6.5%	16.0%	-3.4%	1.1%
Skew 10d	-1.3%	-13.2%	18.2%	-6.2%	0.7%
Call IV 25d	68.3%	59.4%	76.9%	71.3%	60.0%
Put IV 25d	67.3%	61.1%	75.4%	68.0%	61.1%
Bid-Ask Spread %	4.07	2.47	12.29	2.60	2.60
Gamma HHI	0.08	0.06	0.28	0.07	0.09
Net GEX	18.1M	7.8M	32.1M	13.5M	23.0M
Net DEX	-1.17B	-1.75B	-710.7M	-991.4M	-1.16B
Net VEX	-7.0M	-7.3M	-6.6M	-6.9M	-7.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.45	0.26	0.83	0.27	0.43
Total Volume	234,078.435	120,449	525,293	294,778	135,913
Total OI	2,705,951.609	2,497,205	2,863,536	2,564,631	2,711,085

Daily Data (23 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
2021-03-01	$21.21	$18.00	66.1%	18.1%	54.6%	1.8%	66.1%	-3.4%	1.2%	13.5M	-991.4M	-6.9M	0.27	2.60	231,674	63,104	1,089,667	1,474,964
2021-03-02	$21.56	$18.50	66.2%	18.1%	54.0%	1.8%	65.6%	-3.0%	1.6%	16.9M	-1.08B	-6.9M	0.52	2.81	87,446	45,374	1,164,269	1,496,669
2021-03-03	$22.29	$19.00	69.3%	18.9%	53.6%	3.3%	67.5%	-3.0%	-1.5%	20.7M	-1.24B	-7.2M	0.26	2.84	222,125	58,422	1,173,694	1,507,872
2021-03-04	$21.31	$20.00	69.9%	20.1%	55.1%	3.5%	71.7%	-0.5%	-2.4%	15.1M	-987.9M	-7.0M	0.67	5.64	143,644	96,767	1,194,937	1,521,093
2021-03-05	$20.44	$20.00	72.6%	19.8%	57.5%	4.8%	71.7%	-1.9%	-5.2%	9.9M	-794.5M	-6.9M	0.83	7.93	174,568	144,574	1,203,609	1,535,048
2021-03-08	$21.47	$20.00	70.8%	20.1%	58.8%	4.0%	72.6%	1.8%	3.7%	14.0M	-969.3M	-7.3M	0.29	3.53	155,574	45,880	1,134,649	1,532,788
2021-03-09	$21.48	$20.00	68.0%	19.7%	58.3%	2.7%	71.7%	-0.4%	0.4%	17.1M	-990.9M	-7.1M	0.46	3.40	111,532	51,614	1,175,076	1,547,600
2021-03-10	$21.77	$20.00	69.1%	19.6%	57.3%	3.2%	71.6%	-2.7%	-0.3%	19.0M	-1.07B	-7.0M	0.42	9.86	117,653	49,547	1,192,095	1,558,484
2021-03-11	$22.05	$20.00	64.1%	18.8%	57.1%	0.9%	68.2%	-1.9%	2.2%	23.2M	-1.14B	-7.0M	0.30	3.49	121,177	36,470	1,207,689	1,564,821
2021-03-12	$23.36	$20.00	69.2%	19.9%	57.0%	3.2%	74.1%	-6.5%	0.4%	24.1M	-1.49B	-7.0M	0.42	2.70	326,008	137,778	1,218,348	1,575,760
2021-03-15	$25.15	$20.00	70.4%	20.3%	60.5%	3.8%	72.3%	-6.5%	6.6%	21.4M	-1.75B	-7.2M	0.27	3.33	412,680	112,613	1,168,222	1,541,846
2021-03-16	$24.57	$21.00	63.8%	18.4%	62.0%	0.7%	66.5%	-6.5%	0.8%	23.6M	-1.57B	-7.2M	0.51	2.85	113,970	57,904	1,222,701	1,580,058
2021-03-17	$25.10	$21.00	64.3%	18.4%	62.0%	1.0%	66.4%	-5.8%	-0.5%	25.8M	-1.72B	-6.9M	0.48	2.76	126,775	61,287	1,223,964	1,592,409
2021-03-18	$24.63	$21.00	66.2%	19.1%	62.4%	1.9%	69.0%	-3.9%	-3.3%	23.1M	-1.58B	-6.9M	0.42	3.40	188,578	79,308	1,234,300	1,604,220
2021-03-19	$24.89	$22.00	62.2%	17.6%	60.8%	0.0%	63.1%	-5.3%	2.5%	32.1M	-1.61B	-6.9M	0.41	2.89	155,548	63,925	1,240,726	1,622,810
2021-03-22	$23.95	$22.00	59.2%	16.8%	56.6%	0.0%	59.9%	1.6%	8.7%	16.7M	-1.16B	-6.8M	0.49	2.47	124,285	60,911	1,039,492	1,457,713
2021-03-23	$22.21	$22.00	60.4%	16.3%	63.6%	0.7%	59.8%	3.6%	1.5%	9.4M	-802.4M	-6.6M	0.61	3.08	157,342	95,613	1,077,643	1,487,962
2021-03-24	$21.80	$22.00	57.1%	15.9%	62.1%	0.0%	58.1%	16.0%	5.6%	7.8M	-710.7M	-6.7M	0.65	2.95	139,740	90,502	1,109,123	1,530,129
2021-03-25	$22.72	$22.00	60.5%	16.7%	60.2%	2.1%	59.0%	-0.7%	6.0%	10.6M	-894.4M	-7.0M	0.50	12.29	175,646	88,225	1,126,309	1,560,151
2021-03-26	$22.82	$22.00	60.3%	16.0%	60.0%	2.1%	56.5%	0.4%	2.7%	14.0M	-941.8M	-6.8M	0.48	2.94	125,518	60,386	1,156,581	1,583,602
2021-03-29	$22.90	$22.00	62.7%	16.3%	60.0%	3.8%	59.0%	2.5%	-0.6%	12.7M	-942.7M	-7.0M	0.39	4.57	86,711	33,738	1,081,693	1,544,113
2021-03-30	$24.12	$22.00	62.2%	15.9%	62.2%	3.4%	57.1%	0.3%	-0.5%	21.7M	-1.21B	-6.9M	0.33	2.72	162,254	53,501	1,118,354	1,552,549
2021-03-31	$23.97	$22.00	59.0%	14.7%	61.5%	1.3%	53.0%	1.1%	0.8%	23.0M	-1.16B	-7.0M	0.43	2.60	95,022	40,891	1,143,225	1,567,860