AAL Options History — May 2021

In May 2021, AAL traded between $20.80 and $24.38. ATM implied volatility averaged 46.7%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 4.4% (HV 20d: 42.3%). Max pain ranged from $19.50 to $22.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.40.

Notable Days

2021-05-18: Highest Volume — 330,022 contracts
2021-05-11: Largest IV spike — 9.8% change
2021-05-12: Highest IV Rank — 8.9%
2021-05-12: Largest Expected Move — 15.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.50	$20.80	$24.38	$21.96	$24.20
Max Pain	$21.07	$19.50	$22.00	$19.50	$22.00
ATM IV	46.7%	42.4%	53.1%	44.9%	44.3%
Expected Move	13.4%	12.1%	15.1%	12.6%	12.1%
HV 20d	42.3%	38.5%	49.8%	39.5%	38.8%
HV 60d	50.3%	46.5%	52.8%	51.9%	46.5%
IV Rank	3.2%	0.0%	8.9%	0.0%	1.6%
IV Percentile	3.0%	0.0%	7.5%	0.0%	0.4%
Term Structure	0.4%	-2.3%	1.6%	0.4%	1.3%
VWIV	47.9%	43.4%	54.4%	45.0%	43.4%
Skew 25d	1.9%	-0.1%	5.3%	1.2%	0.0%
Skew 10d	6.1%	1.1%	21.5%	2.0%	1.1%
Call IV 25d	47.2%	43.2%	53.3%	45.9%	45.7%
Put IV 25d	49.1%	43.1%	58.6%	47.1%	45.7%
Bid-Ask Spread %	2.81	1.83	13.89	2.61	2.47
Gamma HHI	0.10	0.06	0.37	0.09	0.10
Net GEX	17.3M	2.8M	40.5M	12.8M	21.8M
Net DEX	-769.1M	-1.21B	-392.8M	-706.7M	-1.05B
Net VEX	-7.0M	-7.4M	-6.7M	-6.9M	-7.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.40	0.20	0.84	0.36	0.22
Total Volume	170,145.1	92,613	330,022	113,121	185,231
Total OI	2,971,386.4	2,702,477	3,244,691	2,898,526	2,907,537

Daily Data (20 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
2021-05-03	$21.96	$19.50	44.9%	12.6%	39.5%	0.0%	45.0%	1.2%	0.4%	12.8M	-706.7M	-6.9M	0.36	2.61	83,262	29,859	1,154,494	1,744,032
2021-05-04	$21.23	$20.00	47.4%	13.9%	40.7%	1.9%	49.9%	4.2%	0.9%	6.3M	-507.5M	-6.9M	0.46	2.43	82,322	37,488	1,170,472	1,760,103
2021-05-05	$21.54	$20.00	45.4%	13.0%	41.4%	0.4%	46.7%	0.6%	0.1%	10.1M	-601.3M	-6.9M	0.47	2.35	69,303	32,239	1,189,911	1,773,832
2021-05-06	$21.38	$21.00	46.0%	13.6%	41.4%	0.8%	50.7%	0.5%	0.7%	7.3M	-543.4M	-6.9M	0.40	2.53	65,962	26,651	1,203,232	1,782,371
2021-05-07	$21.96	$21.00	42.4%	12.9%	42.8%	0.0%	45.8%	-0.1%	1.4%	40.5M	-712.1M	-6.8M	0.37	2.47	112,313	41,020	1,220,292	1,789,699
2021-05-10	$22.03	$21.00	44.4%	13.2%	42.2%	1.7%	46.9%	0.5%	1.4%	11.8M	-689.4M	-6.9M	0.45	2.05	92,240	41,450	1,162,686	1,761,087
2021-05-11	$21.51	$21.00	48.8%	13.9%	42.6%	5.3%	50.3%	2.5%	-0.5%	7.4M	-550.6M	-6.8M	0.43	2.27	95,220	40,489	1,177,189	1,774,986
2021-05-12	$20.80	$21.00	53.1%	15.1%	44.0%	8.9%	54.4%	5.3%	0.1%	2.8M	-392.8M	-6.7M	0.84	13.89	70,689	59,475	1,194,854	1,789,556
2021-05-13	$21.35	$21.00	48.5%	14.0%	45.2%	5.1%	49.9%	4.0%	0.2%	5.6M	-500.1M	-6.7M	0.41	2.19	104,705	42,793	1,202,053	1,814,274
2021-05-14	$22.36	$21.00	45.5%	13.3%	48.3%	2.6%	46.6%	1.6%	1.3%	18.2M	-813.7M	-6.9M	0.38	2.01	146,659	55,830	1,218,226	1,823,067
2021-05-17	$23.34	$21.00	49.4%	14.2%	49.8%	5.8%	50.1%	2.0%	-0.5%	22.5M	-1.06B	-6.9M	0.25	2.02	225,807	57,272	1,201,459	1,805,098
2021-05-18	$23.68	$21.00	48.4%	13.9%	43.9%	5.0%	49.5%	2.6%	1.6%	30.3M	-1.21B	-6.9M	0.50	1.95	220,417	109,605	1,247,055	1,822,045
2021-05-19	$22.85	$21.00	51.6%	14.8%	45.9%	7.7%	52.1%	2.4%	-2.3%	21.4M	-917.6M	-7.1M	0.36	2.40	109,906	39,310	1,270,369	1,891,692
2021-05-20	$22.66	$21.00	47.9%	13.7%	43.6%	4.6%	49.1%	2.7%	-0.2%	18.5M	-829.1M	-7.3M	0.59	2.12	106,789	62,585	1,281,259	1,902,049
2021-05-21	$22.62	$21.00	46.4%	13.3%	41.1%	3.3%	48.0%	1.9%	-0.1%	17.6M	-829.5M	-7.3M	0.29	1.83	116,956	34,046	1,311,808	1,932,883
2021-05-24	$23.01	$22.00	45.1%	13.0%	38.8%	2.3%	45.5%	2.5%	1.1%	15.3M	-665.9M	-7.4M	0.42	2.11	116,014	48,308	1,041,289	1,661,188
2021-05-25	$23.30	$22.00	45.2%	12.7%	38.6%	2.3%	45.0%	2.5%	0.9%	20.5M	-787.5M	-7.1M	0.30	2.25	183,952	55,540	1,090,992	1,689,811
2021-05-26	$23.90	$22.00	44.5%	12.4%	39.3%	1.8%	44.3%	1.1%	0.7%	25.0M	-915.2M	-7.4M	0.30	2.18	125,809	37,445	1,097,058	1,706,714
2021-05-27	$24.38	$22.00	44.6%	12.6%	38.5%	1.9%	44.5%	0.4%	0.5%	31.3M	-1.09B	-7.3M	0.20	2.01	198,806	39,135	1,136,073	1,724,933
2021-05-28	$24.20	$22.00	44.3%	12.1%	38.8%	1.6%	43.4%	0.0%	1.3%	21.8M	-1.05B	-7.3M	0.22	2.47	151,285	33,946	1,172,290	1,735,247