AAL Options History — April 2021 In April 2021, AAL traded between $20.13 and $24.27. ATM implied volatility averaged 51.5%, placing in the 0.7% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 5.5% (HV 20d: 45.9%). Max pain ranged from $15.00 to $22.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.60.
Notable Days 2021-04-26 : Highest Volume — 305,765 contracts2021-04-22 : Largest IV drop — 10.9% change2021-04-08 : Highest IV Rank — 3.3%2021-04-08 : Largest Expected Move — 16.9%Monthly Statistics Metric Avg Min Max Open Close Price $22.25 $20.13 $24.27 $23.81 $21.49 Max Pain $17.00 $15.00 $22.00 $22.00 $19.50 ATM IV 51.5% 45.9% 59.3% 54.3% 46.0% Expected Move 14.7% 12.9% 16.9% 13.4% 13.0% HV 20d 45.9% 38.1% 58.9% 58.9% 39.2% HV 60d 55.7% 51.8% 57.6% 56.8% 51.8% IV Rank 0.7% 0.0% 3.3% 0.0% 0.1% IV Percentile 0.6% 0.0% 2.8% 0.0% 0.8% Term Structure -0.2% -5.9% 2.3% 2.1% -1.5% VWIV 52.5% 46.2% 60.0% 49.2% 46.6% Skew 25d 1.2% -4.7% 12.4% -0.9% -0.3% Skew 10d 6.1% -1.4% 40.3% 0.7% 0.4% Call IV 25d 52.9% 46.1% 62.1% 57.1% 47.6% Put IV 25d 54.1% 46.4% 62.7% 56.3% 47.2% Bid-Ask Spread % 4.57 2.06 26.45 2.79 2.71 Gamma HHI 0.09 0.06 0.12 0.12 0.09 Net GEX 10.8M -3.4M 21.6M 21.6M 12.0M Net DEX -733.9M -1.19B -215.8M -1.12B -589.2M Net VEX -6.7M -7.2M -6.1M -6.6M -7.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.60 0.15 1.10 0.46 0.37 Total Volume 168,658.286 67,775 305,765 130,906 147,255 Total OI 2,838,218.381 2,644,856 3,023,531 2,737,404 2,987,940
Daily Data (21 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 2021-04-01 $23.81 $22.00 54.3% 13.4% 58.9% 0.0% 49.2% -0.9% 2.1% 21.6M -1.12B -6.6M 0.46 2.79 89,810 41,096 1,156,312 1,581,092 2021-04-05 $24.27 $15.00 55.2% 16.0% 56.3% 0.6% 57.9% -4.7% -1.2% 20.4M -1.19B -6.6M 0.45 3.80 46,763 21,012 1,089,398 1,555,458 2021-04-06 $24.03 $15.00 56.7% 16.3% 54.6% 1.6% 58.3% 0.9% 0.4% 20.1M -1.14B -6.4M 0.44 2.92 137,107 59,979 1,114,307 1,567,505 2021-04-07 $23.88 $15.00 54.8% 16.7% 54.7% 0.3% 58.6% 0.5% 1.5% 16.9M -1.06B -6.6M 0.38 3.03 123,273 47,044 1,139,522 1,606,298 2021-04-08 $23.65 $15.00 59.3% 16.9% 54.9% 3.3% 60.0% 0.4% -1.4% 16.8M -1.03B -6.7M 0.71 2.64 108,214 76,395 1,174,898 1,625,444 2021-04-09 $23.43 $15.00 54.8% 16.0% 55.0% 0.3% 57.6% 1.3% 1.1% 14.9M -957.4M -6.7M 0.79 2.41 70,231 55,716 1,200,128 1,651,899 2021-04-12 $22.89 $15.00 55.0% 16.1% 51.7% 0.6% 56.9% 1.8% 1.0% 12.8M -872.8M -6.5M 0.62 2.27 76,406 47,693 1,131,199 1,625,680 2021-04-13 $22.51 $16.00 54.3% 15.8% 43.7% 0.0% 55.6% 2.7% 1.3% 10.0M -778.7M -6.5M 0.55 2.06 132,678 72,701 1,152,784 1,652,921 2021-04-14 $22.34 $16.00 53.2% 15.2% 43.2% 0.0% 54.3% 2.3% 0.3% 10.4M -747.3M -6.6M 0.37 6.50 100,676 37,458 1,174,453 1,680,437 2021-04-15 $22.20 $16.00 51.8% 15.1% 42.1% 0.0% 54.2% 3.8% 2.3% 9.1M -672.1M -6.7M 0.61 26.45 82,875 50,791 1,199,409 1,694,821 2021-04-16 $22.05 $16.00 50.1% 14.4% 41.8% 0.0% 50.9% 12.4% -0.1% 12.7M -653.9M -6.5M 0.84 2.82 74,330 62,682 1,222,409 1,714,657 2021-04-19 $21.59 $16.00 51.9% 14.8% 41.7% 1.4% 53.1% 1.4% -5.9% 5.4M -598.4M -6.1M 1.10 3.71 70,976 77,896 1,050,289 1,603,200 2021-04-20 $20.35 $17.00 52.8% 15.1% 44.3% 2.1% 53.9% 2.1% -2.0% 1.1M -324.4M -6.2M 0.88 2.80 154,525 136,704 1,080,912 1,638,593 2021-04-21 $20.88 $17.00 51.8% 14.9% 38.1% 1.3% 53.4% 1.1% -1.0% 2.6M -425.0M -6.7M 0.69 11.84 133,394 92,671 1,124,722 1,699,756 2021-04-22 $20.13 $17.00 46.2% 13.2% 39.6% 0.0% 46.8% 0.7% 1.3% -3.4M -215.8M -6.7M 0.77 2.90 164,697 126,488 1,182,777 1,752,107 2021-04-23 $21.06 $18.00 45.9% 13.1% 40.2% 0.0% 46.7% -1.0% 1.0% 8.8M -501.9M -6.8M 0.44 3.22 143,525 63,802 1,225,947 1,797,584 2021-04-26 $21.99 $18.00 47.5% 13.6% 43.4% 1.2% 47.4% -0.4% -0.8% 8.8M -723.9M -7.1M 0.15 2.48 266,080 39,685 1,146,738 1,741,986 2021-04-27 $21.74 $19.50 47.0% 13.3% 43.5% 0.9% 47.3% -0.7% -0.7% 10.2M -650.0M -7.2M 0.47 3.02 61,477 28,796 1,181,849 1,749,905 2021-04-28 $21.73 $19.50 46.3% 13.1% 38.5% 0.3% 46.6% 0.6% -1.3% 10.7M -646.7M -7.1M 0.81 3.08 48,576 39,449 1,196,780 1,759,206 2021-04-29 $21.29 $19.50 45.9% 12.9% 38.9% 0.0% 46.2% 1.4% -0.3% 5.5M -515.4M -7.0M 0.59 2.60 82,170 48,728 1,201,155 1,770,109 2021-04-30 $21.49 $19.50 46.0% 13.0% 39.2% 0.1% 46.6% -0.3% -1.5% 12.0M -589.2M -7.0M 0.37 2.71 107,427 39,828 1,212,130 1,775,810
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