AAL Options History — September 2021

In September 2021, AAL traded between $19.02 and $21.53. ATM implied volatility averaged 45.9%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 3.7% (HV 20d: 42.2%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.72.

Notable Days

2021-09-09: Highest Volume — 268,014 contracts
2021-09-20: Largest IV spike — 15.7% change
2021-09-20: Highest IV Rank — 14.3%
2021-09-20: Largest Expected Move — 13.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.08	$19.02	$21.53	$19.62	$20.64
Max Pain	$20.79	$20.00	$21.00	$21.00	$21.00
ATM IV	45.9%	42.6%	49.8%	43.8%	49.3%
Expected Move	12.7%	11.4%	13.7%	12.5%	12.5%
HV 20d	42.2%	36.5%	45.1%	44.8%	42.1%
HV 60d	44.8%	42.0%	46.5%	42.0%	46.0%
IV Rank	8.9%	4.3%	14.3%	6.0%	13.6%
IV Percentile	18.1%	2.0%	40.1%	3.6%	38.5%
Term Structure	0.7%	-1.3%	3.4%	0.1%	-1.1%
VWIV	45.1%	40.6%	49.5%	45.0%	43.2%
Skew 25d	4.9%	3.0%	7.9%	3.6%	5.5%
Skew 10d	12.4%	8.4%	18.9%	8.6%	15.8%
Call IV 25d	44.8%	41.6%	50.5%	43.2%	48.1%
Put IV 25d	49.7%	45.0%	56.1%	46.7%	53.6%
Bid-Ask Spread %	4.15	1.69	30.99	2.52	30.99
Gamma HHI	0.09	0.06	0.35	0.08	0.06
Net GEX	-813.2K	-16.5M	39.2M	-10.6M	2.7M
Net DEX	7.8M	-477.4M	340.4M	166.4M	-124.3M
Net VEX	-7.1M	-7.3M	-6.8M	-7.3M	-7.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.33	1.44	0.72	0.62
Total Volume	159,114.524	83,361	268,014	93,619	111,408
Total OI	2,814,309.667	2,627,028	2,964,803	2,745,390	2,931,932

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
2021-09-01	$19.62	$21.00	43.8%	12.5%	44.8%	6.0%	45.0%	3.6%	0.1%	-10.6M	166.4M	-7.3M	0.72	2.52	54,450	39,169	1,010,189	1,735,201
2021-09-02	$19.73	$21.00	43.2%	12.8%	36.5%	5.1%	45.3%	3.6%	-1.3%	-10.8M	130.5M	-7.0M	0.33	1.96	79,108	25,973	1,025,623	1,751,542
2021-09-03	$19.37	$21.00	42.6%	12.9%	36.8%	4.3%	45.1%	3.0%	0.4%	-12.3M	272.3M	-7.3M	0.79	1.69	64,097	50,388	1,047,910	1,765,911
2021-09-07	$19.61	$21.00	43.2%	12.6%	36.7%	5.2%	49.5%	3.5%	0.7%	-9.3M	162.7M	-7.1M	0.82	1.98	53,240	43,869	1,019,468	1,723,930
2021-09-08	$19.10	$21.00	44.2%	13.0%	36.5%	6.5%	46.6%	4.3%	1.0%	-12.5M	306.6M	-6.8M	0.50	1.75	78,985	39,554	1,029,304	1,736,244
2021-09-09	$20.20	$21.00	44.3%	13.0%	42.2%	6.7%	45.6%	4.2%	1.2%	-4.1M	6.2M	-7.3M	0.70	2.09	157,674	110,340	1,048,396	1,758,717
2021-09-10	$19.02	$21.00	45.9%	13.5%	45.1%	8.8%	47.6%	4.4%	1.8%	-16.5M	340.4M	-6.9M	0.69	1.78	147,926	102,336	1,073,783	1,774,660
2021-09-13	$19.23	$21.00	46.3%	13.4%	44.4%	9.4%	47.6%	4.9%	2.1%	-12.4M	294.0M	-6.9M	0.41	2.01	127,139	51,590	1,039,886	1,760,684
2021-09-14	$19.15	$21.00	46.5%	13.4%	44.4%	9.7%	47.4%	6.0%	2.1%	-9.7M	287.4M	-7.0M	0.94	1.82	44,192	41,585	1,083,058	1,765,909
2021-09-15	$19.38	$21.00	45.3%	13.0%	43.9%	8.0%	46.3%	4.7%	1.5%	-6.5M	213.4M	-6.9M	1.06	2.08	47,042	50,088	1,114,981	1,785,444
2021-09-16	$19.94	$21.00	43.2%	12.2%	45.1%	5.1%	43.8%	4.7%	3.2%	1.3M	59.7M	-7.0M	0.78	2.12	95,671	74,433	1,126,059	1,802,078
2021-09-17	$19.65	$21.00	43.1%	12.0%	43.6%	5.0%	42.8%	4.5%	3.4%	-768.3K	154.1M	-7.0M	1.44	1.87	69,484	99,823	1,129,825	1,834,978
2021-09-20	$20.26	$21.00	49.8%	13.7%	44.4%	14.3%	48.6%	5.6%	0.9%	-190.8K	-78.0M	-7.2M	0.45	2.25	161,044	71,852	979,650	1,647,378
2021-09-21	$19.86	$21.00	49.5%	13.4%	43.8%	13.9%	47.8%	6.7%	0.1%	-2.3M	24.2M	-7.1M	0.34	2.22	124,730	41,960	993,308	1,673,220
2021-09-22	$20.46	$20.50	47.2%	12.3%	43.2%	10.6%	43.0%	7.9%	0.1%	5.5M	-137.0M	-7.2M	0.71	2.32	97,702	69,814	1,050,897	1,702,523
2021-09-23	$20.97	$20.00	46.1%	12.1%	43.8%	9.2%	42.9%	5.6%	0.2%	13.7M	-308.7M	-7.2M	0.65	15.38	143,799	93,748	1,078,417	1,719,968
2021-09-24	$21.47	$20.00	45.8%	11.4%	44.1%	8.7%	40.9%	5.5%	0.1%	39.2M	-477.4M	-7.3M	0.97	2.82	132,485	128,674	1,100,790	1,745,122
2021-09-27	$21.53	$20.00	46.2%	11.5%	43.6%	9.3%	40.6%	4.6%	-0.5%	9.4M	-419.8M	-7.3M	0.37	2.45	142,742	52,150	1,070,643	1,718,340
2021-09-28	$21.45	$20.50	49.7%	12.5%	41.0%	14.1%	45.1%	4.1%	-0.5%	10.2M	-406.8M	-7.3M	1.05	3.06	67,105	70,675	1,105,326	1,740,353
2021-09-29	$21.14	$20.50	48.8%	12.5%	41.2%	12.8%	43.2%	4.9%	-0.1%	8.8M	-302.5M	-7.2M	0.74	2.05	47,909	35,452	1,145,802	1,753,054
2021-09-30	$20.64	$21.00	49.3%	12.5%	42.1%	13.6%	43.2%	5.5%	-1.1%	2.7M	-124.3M	-7.3M	0.62	30.99	68,620	42,788	1,158,302	1,773,630