AAL Options History — July 2021

In July 2021, AAL traded between $18.88 and $22.06. ATM implied volatility averaged 47.0%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 10.2% (HV 20d: 36.8%). Max pain ranged from $22.00 to $22.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2021-07-19: Highest Volume — 321,685 contracts
  • 2021-07-19: Largest IV spike — 17.1% change
  • 2021-07-19: Highest IV Rank — 21.2%
  • 2021-07-19: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.79$18.88$22.06$21.46$20.24
Max Pain$22.00$22.00$22.00$22.00$22.00
ATM IV47.0%43.0%54.9%47.4%47.0%
Expected Move13.0%10.9%15.6%10.9%13.1%
HV 20d36.8%22.2%53.6%23.1%53.6%
HV 60d38.7%36.7%41.6%37.0%41.6%
IV Rank9.3%4.8%21.2%8.7%10.4%
IV Percentile12.4%2.0%27.8%12.3%16.3%
Term Structure-0.2%-1.2%1.2%-1.2%0.6%
VWIV46.6%39.1%55.9%39.1%48.0%
Skew 25d2.6%-2.0%8.3%-0.5%5.8%
Skew 10d5.6%-4.2%19.7%-3.6%15.4%
Call IV 25d47.3%41.4%52.9%49.2%45.5%
Put IV 25d49.9%45.5%61.2%48.6%51.3%
Bid-Ask Spread %2.021.772.642.111.93
Gamma HHI0.090.070.160.070.13
Net GEX-3.2M-14.2M4.4M4.3M-14.2M
Net DEX7.5M-340.2M355.9M-161.8M216.6M
Net VEX-7.0M-7.4M-6.3M-6.8M-7.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.281.440.281.35
Total Volume194,528.38180,984321,685208,618195,241
Total OI2,840,869.4292,559,1213,045,4672,830,8082,855,260

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-07-01$21.46$22.0047.4%10.9%23.1%8.7%39.1%-0.5%-1.2%4.3M-161.8M-6.8M0.282.11163,09245,5261,181,1681,649,640
2021-07-02$21.41$22.0046.5%11.0%22.2%7.8%40.1%-2.0%-0.1%4.4M-130.0M-6.9M0.512.02113,83958,3781,230,6041,666,014
2021-07-06$20.96$22.0047.9%13.3%22.8%9.3%48.6%-0.2%-0.0%-2.3M-8.3M-6.7M0.331.9790,51629,9491,167,4201,648,263
2021-07-07$20.31$22.0048.2%13.5%24.0%9.7%48.0%1.2%-0.4%-5.6M147.3M-6.3M0.471.77152,84671,2541,188,8701,658,451
2021-07-08$20.30$22.0050.2%13.8%23.9%11.9%48.9%2.0%-1.0%-4.2M151.3M-6.7M0.401.88135,78754,3311,231,8491,684,958
2021-07-09$20.91$22.0046.9%13.0%27.2%8.3%46.5%0.2%-1.1%3.4M6.9M-6.9M0.471.8798,20246,0331,265,1171,705,365
2021-07-12$20.87$22.0047.4%13.3%26.8%8.7%47.5%0.2%-0.5%-4.2M20.3M-6.8M0.391.7769,81927,5631,166,5291,692,839
2021-07-13$20.06$22.0048.5%13.8%28.4%10.0%49.2%1.8%-0.6%-7.1M213.4M-6.6M0.691.91101,68670,0601,186,7571,705,674
2021-07-14$20.54$22.0047.4%13.4%30.3%8.8%48.5%0.8%-0.7%-5.9M88.1M-6.8M0.332.02219,43773,1251,218,8301,740,256
2021-07-15$20.40$22.0045.5%13.1%30.0%6.7%46.7%1.0%0.2%-6.8M130.1M-6.8M0.831.93109,64191,1101,247,1361,747,195
2021-07-16$19.76$22.0046.8%13.3%30.4%10.2%47.2%3.6%-0.7%-12.9M349.1M-6.7M0.861.80119,690102,7801,264,3531,781,114
2021-07-19$18.88$22.0054.9%15.6%33.2%21.2%55.9%8.3%-0.4%-8.4M355.9M-6.6M0.931.99167,106154,5791,004,8061,554,315
2021-07-20$20.45$22.0046.7%13.3%45.6%9.9%46.8%5.9%0.4%-2.8M32.2M-7.2M0.952.14134,374127,3521,065,8541,621,774
2021-07-21$21.43$22.0045.5%13.0%49.0%8.3%46.7%1.9%0.5%2.0M-229.9M-7.3M0.622.10149,00893,0721,083,2421,647,434
2021-07-22$21.07$22.0044.1%12.6%49.2%6.5%44.7%2.9%0.5%2.2M-107.5M-7.3M0.532.07199,048106,2391,114,6431,697,521
2021-07-23$21.23$22.0043.0%12.2%49.3%4.8%43.7%4.1%1.2%-1.9M-161.8M-7.4M0.662.09124,44682,6731,154,9811,732,823
2021-07-26$22.06$22.0045.8%12.9%51.3%8.7%45.2%3.7%0.1%2.4M-340.2M-7.3M0.372.64125,05446,6271,047,5331,670,870
2021-07-27$21.40$22.0048.3%13.7%50.7%12.2%49.5%5.3%-0.2%-1.4M-144.3M-7.4M1.102.0863,74370,2351,063,0451,697,556
2021-07-28$21.65$22.0044.9%12.6%50.5%7.5%44.2%5.0%-0.5%-856.2K-191.8M-7.3M1.442.2949,52371,1281,089,0141,713,942
2021-07-29$21.28$22.0043.6%11.9%51.0%5.7%43.2%4.2%0.5%-7.1M-79.0M-7.2M0.672.1348,36532,6191,094,8611,720,382
2021-07-30$20.24$22.0047.0%13.1%53.6%10.4%48.0%5.8%0.6%-14.2M216.6M-7.0M1.351.9382,987112,2541,105,7981,749,462