AAL Options History — November 2021 In November 2021, AAL traded between $17.62 and $22.23. ATM implied volatility averaged 44.5%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 5.9% (HV 20d: 38.6%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.52.
Notable Days 2021-11-05 : Highest Volume — 432,826 contracts2021-11-26 : Largest IV spike — 34.7% change2021-11-26 : Highest IV Rank — 28.1%2021-11-30 : Largest Expected Move — 17.7%Monthly Statistics Metric Avg Min Max Open Close Price $20.00 $17.62 $22.23 $19.70 $17.62 Max Pain $20.95 $20.00 $22.00 $21.00 $20.00 ATM IV 44.5% 39.3% 59.3% 39.8% 56.6% Expected Move 13.0% 11.5% 17.7% 11.7% 17.7% HV 20d 38.6% 28.4% 52.8% 29.1% 51.4% HV 60d 39.2% 37.3% 42.9% 37.5% 42.8% IV Rank 8.0% 0.9% 28.1% 1.6% 24.5% IV Percentile 19.1% 2.0% 66.7% 3.6% 65.5% Term Structure -0.1% -1.8% 0.8% 0.1% -0.7% VWIV 46.5% 40.9% 61.8% 42.7% 61.8% Skew 25d -0.0% -3.6% 5.4% 1.0% 5.4% Skew 10d 2.6% -4.3% 23.9% 2.7% 9.9% Call IV 25d 46.0% 40.1% 59.3% 40.6% 55.3% Put IV 25d 46.0% 40.4% 64.7% 41.7% 60.8% Bid-Ask Spread % 2.51 1.69 8.03 2.08 8.03 Gamma HHI 0.08 0.07 0.11 0.08 0.09 Net GEX 2.6M -8.2M 18.1M -643.1K -5.2M Net DEX 18.8M -624.5M 466.2M 150.2M 433.3M Net VEX -7.2M -7.4M -7.0M -7.1M -7.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.52 0.27 0.87 0.52 0.67 Total Volume 228,625.762 132,647 432,826 281,236 258,031 Total OI 3,145,005.429 2,865,950 3,375,148 3,094,146 3,121,646
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 2021-11-01 $19.70 $21.00 39.8% 11.7% 29.1% 1.6% 42.7% 1.0% 0.1% -643.1K 150.2M -7.1M 0.52 2.08 185,432 95,804 1,187,246 1,906,900 2021-11-02 $19.80 $21.00 39.3% 11.5% 29.2% 0.9% 40.9% 1.0% 0.6% 1.9M 128.0M -7.2M 0.33 1.92 115,728 38,372 1,229,198 1,928,281 2021-11-03 $20.60 $21.00 40.2% 11.8% 29.0% 2.2% 43.0% 0.3% 0.5% 10.3M -160.1M -7.3M 0.27 2.19 242,509 64,956 1,231,613 1,936,800 2021-11-04 $20.55 $21.00 39.7% 11.8% 28.4% 1.5% 42.3% -0.3% 0.6% 12.9M -139.7M -7.2M 0.35 1.69 135,398 47,063 1,245,923 1,943,008 2021-11-05 $21.70 $21.00 42.6% 12.3% 34.0% 5.4% 43.7% -1.6% 0.0% 13.4M -593.8M -7.3M 0.41 2.01 307,518 125,308 1,262,882 1,937,123 2021-11-08 $22.16 $21.00 42.7% 12.3% 34.6% 5.6% 44.3% -0.7% 0.2% 16.8M -608.5M -7.2M 0.47 2.07 158,961 74,611 1,215,699 1,928,304 2021-11-09 $22.23 $22.00 41.1% 11.9% 34.6% 3.4% 42.6% 0.4% 0.3% 18.1M -624.5M -7.1M 0.63 2.09 113,415 71,775 1,230,232 1,936,909 2021-11-10 $21.60 $22.00 42.6% 12.0% 34.1% 5.4% 42.8% -1.3% -1.0% 12.6M -414.9M -7.0M 0.54 1.88 124,360 66,924 1,249,047 1,939,491 2021-11-11 $21.46 $21.00 40.2% 11.7% 34.3% 2.2% 41.6% -1.4% 0.8% 10.9M -339.7M -7.2M 0.56 1.81 85,110 47,697 1,264,980 1,946,600 2021-11-12 $20.25 $21.00 42.8% 12.4% 40.4% 5.7% 45.4% -2.6% 0.1% -1.8M 72.8M -7.1M 0.44 1.74 199,140 87,106 1,277,454 1,948,475 2021-11-15 $20.36 $21.00 44.6% 12.8% 40.4% 8.1% 46.8% -3.2% -0.8% 1.3M 10.4M -7.0M 0.39 6.04 123,019 47,998 1,259,522 1,936,113 2021-11-16 $19.82 $21.00 44.5% 12.8% 41.1% 8.1% 46.3% -1.5% -0.3% -3.3M 221.4M -7.1M 0.50 1.96 141,863 70,570 1,306,713 1,949,021 2021-11-17 $19.85 $21.00 43.1% 12.4% 41.1% 6.1% 44.8% -0.9% -0.1% -1.7M 198.5M -7.0M 0.53 1.83 86,766 45,881 1,318,701 1,966,135 2021-11-18 $19.31 $21.00 43.8% 12.6% 42.0% 7.1% 45.8% -3.6% -0.1% -7.5M 393.8M -7.0M 0.87 1.80 117,564 102,184 1,321,365 1,976,893 2021-11-19 $19.19 $21.00 44.6% 12.9% 40.2% 8.1% 45.5% -0.2% -1.1% -4.8M 417.0M -7.2M 0.84 1.70 126,072 106,045 1,369,050 2,006,098 2021-11-22 $19.61 $21.00 43.6% 12.8% 40.9% 6.8% 45.8% -0.3% 0.7% -1.2M 76.3M -7.1M 0.35 2.13 142,053 50,198 1,068,678 1,797,272 2021-11-23 $19.41 $21.00 45.6% 13.1% 40.8% 9.5% 46.7% 0.1% -0.6% -369.2K 115.5M -7.3M 0.52 2.35 98,212 50,578 1,110,742 1,812,268 2021-11-24 $19.45 $21.00 44.0% 12.6% 40.2% 7.3% 44.9% 0.7% 0.1% -117.4K 130.0M -7.3M 0.39 2.05 117,883 45,408 1,133,748 1,829,479 2021-11-26 $17.68 $20.00 59.3% 17.4% 52.8% 28.1% 61.5% 5.4% -1.8% -7.6M 466.2M -7.1M 0.87 2.21 209,167 182,236 1,159,977 1,833,373 2021-11-29 $17.70 $20.00 53.8% 16.2% 52.8% 20.6% 56.9% 3.1% -0.6% -8.2M 462.6M -7.2M 0.44 3.18 202,891 89,335 1,133,604 1,888,551 2021-11-30 $17.62 $20.00 56.6% 17.7% 51.4% 24.5% 61.8% 5.4% -0.7% -5.2M 433.3M -7.4M 0.67 8.03 154,930 103,101 1,216,948 1,904,698
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