AAL Options History — October 2021

In October 2021, AAL traded between $19.04 and $21.68. ATM implied volatility averaged 42.9%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 5.9% (HV 20d: 37.0%). Max pain ranged from $19.00 to $21.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.56.

Notable Days

2021-10-01: Highest Volume — 237,949 contracts
2021-10-05: Largest IV drop — 9.0% change
2021-10-04: Highest IV Rank — 16.1%
2021-10-04: Largest Expected Move — 14.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.93	$19.04	$21.68	$21.68	$19.14
Max Pain	$19.95	$19.00	$21.00	$21.00	$21.00
ATM IV	42.9%	38.6%	51.2%	49.2%	38.7%
Expected Move	12.2%	11.1%	14.5%	12.9%	11.4%
HV 20d	37.0%	26.6%	46.9%	45.2%	26.6%
HV 60d	42.9%	37.0%	47.1%	47.1%	37.0%
IV Rank	5.2%	0.0%	16.1%	13.4%	0.1%
IV Percentile	11.4%	0.0%	43.7%	38.1%	0.4%
Term Structure	-0.5%	-1.4%	1.0%	-1.3%	1.0%
VWIV	43.7%	39.8%	50.5%	45.9%	45.3%
Skew 25d	2.3%	-0.4%	5.0%	4.9%	0.5%
Skew 10d	5.5%	-2.0%	15.3%	15.3%	0.7%
Call IV 25d	42.9%	39.4%	50.1%	48.6%	39.4%
Put IV 25d	45.3%	39.7%	55.1%	53.5%	39.8%
Bid-Ask Spread %	4.81	1.67	33.21	33.21	2.25
Gamma HHI	0.09	0.06	0.18	0.06	0.09
Net GEX	-3.1M	-14.2M	10.1M	10.1M	-5.3M
Net DEX	71.5M	-490.6M	317.0M	-490.6M	317.0M
Net VEX	-7.0M	-7.3M	-6.7M	-7.2M	-7.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.18	1.20	0.56	0.47
Total Volume	177,140.905	107,067	237,949	237,949	199,261
Total OI	3,018,447.524	2,797,458	3,201,469	2,945,089	3,172,833

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
2021-10-01	$21.68	$21.00	49.2%	12.9%	45.2%	13.4%	45.9%	4.9%	-1.3%	10.1M	-490.6M	-7.2M	0.56	33.21	152,163	85,786	1,163,947	1,781,142
2021-10-04	$21.38	$19.00	51.2%	14.5%	44.9%	16.1%	50.5%	5.0%	-0.8%	5.7M	-343.6M	-7.1M	0.71	1.91	80,324	57,381	1,089,588	1,750,587
2021-10-05	$21.45	$19.00	46.6%	13.1%	44.8%	9.8%	45.0%	2.9%	-0.8%	8.6M	-390.4M	-7.0M	1.20	16.88	55,710	66,587	1,133,974	1,768,194
2021-10-06	$20.52	$19.00	48.8%	13.3%	46.9%	12.9%	47.0%	4.7%	-0.7%	-1.1M	-87.5M	-7.0M	1.04	8.90	114,694	119,344	1,145,400	1,791,342
2021-10-07	$20.18	$20.00	45.6%	12.7%	43.1%	8.5%	43.7%	3.9%	-1.1%	-5.8M	54.7M	-6.8M	0.59	1.71	80,447	47,228	1,147,878	1,829,653
2021-10-08	$20.09	$20.00	45.6%	12.7%	36.8%	8.5%	44.4%	3.9%	-0.7%	-9.4M	123.4M	-6.9M	0.63	1.71	88,516	55,333	1,150,962	1,884,228
2021-10-11	$20.14	$20.00	46.4%	13.2%	36.7%	9.5%	46.1%	3.3%	-0.1%	-6.1M	93.0M	-6.9M	0.26	1.83	131,165	34,170	1,108,569	1,870,534
2021-10-12	$20.28	$20.00	45.6%	12.9%	36.7%	8.5%	44.8%	4.4%	0.3%	-5.0M	63.8M	-7.0M	0.72	10.24	113,756	81,457	1,127,008	1,883,334
2021-10-13	$19.64	$20.00	44.0%	12.2%	38.5%	6.2%	43.0%	3.1%	-1.4%	-7.8M	230.1M	-6.7M	0.31	1.67	119,149	37,281	1,178,234	1,889,108
2021-10-14	$19.64	$20.00	41.3%	11.6%	37.1%	2.5%	42.7%	2.3%	-0.7%	-9.5M	227.2M	-6.9M	0.35	1.75	79,082	27,985	1,192,823	1,893,925
2021-10-15	$19.99	$20.00	39.8%	11.3%	37.2%	0.4%	40.1%	2.2%	-0.3%	6.6M	105.6M	-6.7M	0.44	2.06	106,774	47,188	1,215,805	1,905,237
2021-10-18	$19.86	$20.00	41.1%	11.7%	35.6%	2.3%	41.5%	2.5%	-1.3%	-5.9M	98.3M	-6.8M	0.71	1.94	85,064	60,631	1,022,514	1,774,944
2021-10-19	$19.52	$20.00	41.6%	11.9%	35.4%	3.0%	42.0%	2.5%	-1.1%	-7.0M	171.1M	-6.8M	0.74	1.87	97,644	72,069	1,040,968	1,787,876
2021-10-20	$19.52	$20.00	41.6%	11.9%	33.5%	3.0%	42.7%	1.7%	-1.2%	-4.1M	142.7M	-7.1M	0.88	1.80	117,429	103,246	1,136,866	1,851,215
2021-10-21	$19.76	$20.00	38.6%	11.1%	32.5%	0.0%	39.8%	-0.1%	-0.9%	-2.8M	74.3M	-7.2M	0.42	1.90	134,290	56,075	1,182,416	1,896,315
2021-10-22	$19.09	$20.00	39.3%	11.3%	32.7%	1.0%	41.5%	-0.4%	-0.8%	-14.2M	280.1M	-7.1M	0.49	1.93	139,179	68,500	1,223,263	1,905,670
2021-10-25	$19.11	$20.00	39.1%	11.4%	32.7%	0.7%	42.0%	1.2%	-0.7%	-5.3M	233.9M	-7.1M	0.37	1.84	110,042	41,247	1,163,707	1,890,070
2021-10-26	$19.39	$20.00	38.9%	11.3%	33.5%	0.4%	43.5%	0.6%	0.5%	-166.6K	126.4M	-7.3M	0.24	1.93	180,857	44,215	1,214,150	1,896,193
2021-10-27	$19.04	$20.00	39.5%	11.7%	33.6%	1.2%	42.8%	-0.0%	0.7%	-4.0M	238.4M	-7.1M	0.51	1.83	128,818	65,981	1,223,215	1,902,242
2021-10-28	$19.07	$20.00	39.0%	11.5%	33.0%	0.5%	43.8%	0.2%	0.0%	-3.3M	234.9M	-7.3M	0.18	1.82	198,344	35,547	1,267,520	1,933,949
2021-10-29	$19.14	$21.00	38.7%	11.4%	26.6%	0.1%	45.3%	0.5%	1.0%	-5.3M	317.0M	-7.2M	0.47	2.25	135,809	63,452	1,237,789	1,935,044