AAL Options History — June 2021

In June 2021, AAL traded between $21.07 and $25.81. ATM implied volatility averaged 45.8%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 10.9% (HV 20d: 34.9%). Max pain ranged from $22.00 to $22.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.37.

Notable Days

2021-06-02: Highest Volume — 376,860 contracts
2021-06-18: Largest IV spike — 6.5% change
2021-06-28: Highest IV Rank — 12.6%
2021-06-02: Largest Expected Move — 14.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.06	$21.07	$25.81	$24.78	$21.12
Max Pain	$22.00	$22.00	$22.00	$22.00	$22.00
ATM IV	45.8%	39.5%	50.9%	46.1%	49.2%
Expected Move	12.6%	11.8%	14.4%	12.6%	11.9%
HV 20d	34.9%	23.1%	42.0%	38.9%	23.1%
HV 60d	41.0%	36.2%	46.4%	45.8%	36.8%
IV Rank	5.6%	0.0%	12.6%	3.1%	10.8%
IV Percentile	7.7%	0.0%	17.9%	5.6%	17.1%
Term Structure	1.2%	-2.3%	6.4%	-0.0%	-1.4%
VWIV	45.7%	42.4%	51.4%	44.7%	44.9%
Skew 25d	-0.5%	-1.6%	1.0%	0.6%	-0.9%
Skew 10d	-2.7%	-7.4%	1.8%	-0.5%	-5.1%
Call IV 25d	47.6%	40.4%	52.7%	47.4%	51.3%
Put IV 25d	47.1%	39.9%	52.0%	48.0%	50.4%
Bid-Ask Spread %	4.77	2.01	17.16	2.49	13.59
Gamma HHI	0.08	0.06	0.11	0.11	0.08
Net GEX	14.2M	367.1K	29.1M	26.1M	367.1K
Net DEX	-598.6M	-1.41B	-62.1M	-1.11B	-62.1M
Net VEX	-6.9M	-7.4M	-6.6M	-7.3M	-6.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.37	0.17	0.75	0.19	0.33
Total Volume	168,062.5	97,308	376,860	187,861	117,112
Total OI	2,838,790.364	2,478,133	3,078,415	2,805,581	2,797,587

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
2021-06-01	$24.78	$22.00	46.1%	12.6%	38.9%	3.1%	44.7%	0.6%	-0.0%	26.1M	-1.11B	-7.3M	0.19	2.49	157,628	30,233	1,101,186	1,704,395
2021-06-02	$25.81	$22.00	48.0%	14.4%	37.8%	4.7%	51.4%	-0.9%	-1.8%	29.1M	-1.41B	-7.2M	0.26	2.07	298,552	78,308	1,124,031	1,714,886
2021-06-03	$24.96	$22.00	47.5%	13.8%	40.7%	4.3%	50.0%	1.0%	-2.3%	26.8M	-1.12B	-7.4M	0.45	6.02	136,964	61,981	1,163,713	1,742,481
2021-06-04	$24.35	$22.00	44.9%	13.4%	42.0%	2.1%	48.0%	-0.2%	-0.4%	21.8M	-951.8M	-7.1M	0.27	2.86	152,208	41,255	1,199,547	1,755,447
2021-06-07	$24.23	$22.00	44.6%	13.2%	41.5%	1.8%	48.1%	-0.6%	1.1%	22.6M	-949.9M	-7.0M	0.27	3.34	83,934	22,340	1,149,572	1,729,843
2021-06-08	$24.30	$22.00	44.4%	13.1%	41.5%	1.7%	47.0%	-0.3%	1.8%	24.2M	-951.1M	-7.2M	0.17	17.16	140,531	23,819	1,171,643	1,739,867
2021-06-09	$23.86	$22.00	43.6%	12.9%	41.0%	1.0%	46.5%	-0.0%	1.4%	23.3M	-846.9M	-6.9M	0.24	3.39	78,175	19,133	1,212,169	1,752,510
2021-06-10	$23.47	$22.00	41.3%	12.2%	39.3%	0.0%	43.6%	-0.8%	1.3%	19.4M	-727.0M	-6.8M	0.26	3.29	116,115	30,487	1,230,708	1,759,342
2021-06-11	$23.62	$22.00	39.5%	11.8%	38.5%	0.0%	42.4%	-0.5%	2.6%	21.2M	-766.8M	-6.9M	0.42	2.45	96,881	40,796	1,269,263	1,775,279
2021-06-14	$22.98	$22.00	41.0%	12.0%	36.9%	1.5%	43.0%	0.6%	5.4%	16.2M	-595.0M	-6.7M	0.47	2.41	120,117	55,893	1,194,246	1,755,725
2021-06-15	$22.71	$22.00	42.5%	12.3%	33.8%	3.1%	44.4%	-0.4%	5.8%	12.0M	-500.0M	-6.7M	0.45	2.10	76,735	34,396	1,212,999	1,779,605
2021-06-16	$22.84	$22.00	43.9%	12.6%	33.3%	4.7%	45.9%	-0.1%	5.8%	14.4M	-536.9M	-7.0M	0.34	2.82	101,277	34,213	1,228,252	1,792,253
2021-06-17	$22.20	$22.00	43.9%	12.2%	32.5%	4.9%	44.1%	-0.1%	6.4%	5.1M	-326.6M	-6.9M	0.42	2.01	106,462	44,867	1,247,992	1,800,024
2021-06-18	$22.30	$22.00	46.8%	12.8%	32.4%	8.0%	45.7%	-0.6%	5.9%	3.7M	-358.9M	-7.0M	0.40	12.64	133,676	53,104	1,270,533	1,807,882
2021-06-21	$22.40	$22.00	48.1%	12.4%	32.5%	9.5%	46.1%	-0.9%	-0.4%	7.0M	-362.5M	-6.9M	0.34	2.67	114,187	39,095	985,088	1,493,045
2021-06-22	$22.16	$22.00	46.4%	11.8%	32.0%	7.6%	43.7%	-0.8%	0.6%	7.3M	-316.1M	-6.7M	0.41	2.26	83,308	34,161	1,033,488	1,511,326
2021-06-23	$22.26	$22.00	48.6%	12.2%	31.6%	10.1%	45.3%	-1.1%	-1.6%	9.0M	-345.2M	-6.8M	0.28	2.57	97,167	27,441	1,061,488	1,528,364
2021-06-24	$22.35	$22.00	48.2%	12.4%	30.0%	9.6%	44.6%	-1.6%	0.6%	11.0M	-374.8M	-6.8M	0.41	3.86	142,630	58,984	1,089,151	1,539,925
2021-06-25	$22.20	$22.00	48.8%	12.2%	28.7%	10.3%	44.7%	-1.6%	-0.4%	8.1M	-327.9M	-7.0M	0.50	2.34	92,960	46,059	1,114,987	1,568,723
2021-06-28	$21.38	$22.00	50.9%	12.8%	31.0%	12.6%	46.8%	-0.7%	-2.1%	2.7M	-157.7M	-6.8M	0.52	10.53	185,672	95,864	1,073,287	1,548,394
2021-06-29	$21.07	$22.00	49.4%	12.0%	29.0%	10.9%	44.1%	-1.2%	-0.8%	666.8K	-74.1M	-6.6M	0.75	2.04	110,091	82,564	1,125,232	1,597,910
2021-06-30	$21.12	$22.00	49.2%	11.9%	23.1%	10.8%	44.9%	-0.9%	-1.4%	367.1K	-62.1M	-6.8M	0.33	13.59	88,335	28,777	1,157,622	1,639,965