AAL Options History — December 2021

In December 2021, AAL traded between $16.45 and $18.59. ATM implied volatility averaged 54.3%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded below realized volatility by 6.3% (HV 20d: 60.7%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.89.

Notable Days

2021-12-01: Highest Volume — 511,193 contracts
2021-12-07: Largest IV drop — 14.9% change
2021-12-03: Highest IV Rank — 44.7%
2021-12-01: Largest Expected Move — 23.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.62	$16.45	$18.59	$16.45	$18.04
Max Pain	$19.64	$19.00	$20.00	$20.00	$19.00
ATM IV	54.3%	45.8%	71.5%	67.7%	46.3%
Expected Move	15.9%	12.3%	23.8%	23.8%	12.8%
HV 20d	60.7%	47.9%	65.8%	55.8%	47.9%
HV 60d	47.0%	44.8%	48.0%	44.8%	46.3%
IV Rank	21.3%	9.8%	44.7%	39.6%	10.5%
IV Percentile	61.1%	31.0%	88.5%	80.6%	36.5%
Term Structure	0.6%	-4.2%	3.8%	0.1%	2.7%
VWIV	55.8%	43.0%	81.7%	81.1%	44.2%
Skew 25d	5.4%	2.6%	11.1%	8.0%	4.2%
Skew 10d	10.3%	2.5%	19.8%	7.3%	11.6%
Call IV 25d	53.4%	45.3%	70.2%	70.2%	45.3%
Put IV 25d	58.8%	49.3%	81.3%	78.2%	49.5%
Bid-Ask Spread %	3.76	1.76	10.53	8.53	2.19
Gamma HHI	0.11	0.08	0.27	0.08	0.24
Net GEX	-12.1M	-26.6M	-4.4M	-7.0M	-25.8M
Net DEX	474.9M	181.6M	868.6M	618.5M	330.1M
Net VEX	-7.7M	-8.2M	-7.3M	-7.3M	-7.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.47	1.54	1.29	0.99
Total Volume	213,950.364	101,639	511,193	511,193	111,403
Total OI	3,402,631.045	3,176,000	3,709,976	3,200,450	3,286,152

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
2021-12-01	$16.45	$20.00	67.7%	23.8%	55.8%	39.6%	81.1%	8.0%	0.1%	-7.0M	618.5M	-7.3M	1.29	8.53	223,262	287,931	1,252,947	1,947,503
2021-12-02	$17.40	$20.00	63.3%	19.1%	58.0%	33.5%	66.5%	10.2%	-1.5%	-6.1M	505.4M	-7.9M	1.10	3.12	164,000	180,446	1,301,819	2,078,454
2021-12-03	$16.55	$20.00	71.5%	23.7%	59.8%	44.7%	81.7%	11.1%	-0.8%	-10.2M	706.3M	-7.9M	1.54	2.10	116,966	180,110	1,302,669	2,129,818
2021-12-06	$17.91	$20.00	64.0%	18.3%	63.8%	34.5%	64.6%	8.8%	-4.2%	-8.1M	390.7M	-8.1M	0.96	3.37	202,188	194,322	1,238,776	2,154,713
2021-12-07	$17.80	$20.00	54.5%	16.1%	62.8%	21.6%	56.2%	6.9%	0.2%	-9.9M	457.2M	-8.0M	0.86	2.32	118,105	101,915	1,278,306	2,213,735
2021-12-08	$18.23	$20.00	52.2%	15.3%	63.9%	18.4%	53.9%	4.3%	-0.6%	-8.4M	369.6M	-8.1M	0.76	2.40	109,458	82,714	1,297,848	2,242,350
2021-12-09	$18.18	$20.00	53.9%	15.5%	63.5%	20.8%	54.9%	4.3%	0.1%	-10.2M	406.8M	-8.2M	0.66	2.31	90,110	59,362	1,318,912	2,262,157
2021-12-10	$18.02	$20.00	49.0%	14.4%	63.5%	14.1%	50.6%	4.2%	0.4%	-21.8M	471.3M	-7.9M	0.49	2.29	117,617	57,883	1,352,703	2,272,045
2021-12-13	$17.17	$20.00	51.9%	15.0%	62.6%	18.1%	52.6%	4.3%	0.6%	-14.8M	684.4M	-7.7M	0.47	2.09	123,827	57,881	1,315,420	2,226,393
2021-12-14	$16.93	$20.00	53.2%	15.5%	62.4%	19.8%	54.9%	4.9%	0.6%	-15.2M	751.3M	-7.5M	0.58	1.90	84,360	48,654	1,351,321	2,247,038
2021-12-15	$16.95	$20.00	53.8%	15.7%	62.2%	20.7%	56.8%	4.8%	1.0%	-16.0M	743.7M	-7.5M	0.73	2.39	108,666	79,473	1,373,295	2,265,230
2021-12-16	$16.51	$20.00	55.3%	15.9%	62.4%	22.7%	57.4%	4.3%	0.4%	-18.4M	868.6M	-7.5M	0.77	2.44	90,955	70,455	1,393,020	2,289,684
2021-12-17	$16.93	$20.00	56.0%	16.3%	63.1%	23.7%	57.3%	5.0%	1.6%	-26.6M	757.2M	-7.6M	0.94	5.50	149,167	139,674	1,409,386	2,300,590
2021-12-20	$17.18	$20.00	57.0%	16.3%	63.6%	25.0%	58.2%	6.4%	2.6%	-11.6M	520.6M	-7.8M	0.63	7.28	111,982	69,990	1,060,282	2,115,718
2021-12-21	$17.99	$19.00	53.5%	15.4%	65.5%	20.2%	53.3%	4.6%	0.8%	-8.5M	319.2M	-7.9M	0.74	7.18	160,774	119,225	1,060,403	2,142,002
2021-12-22	$18.24	$19.00	49.5%	14.2%	65.8%	14.8%	50.1%	5.3%	2.2%	-5.9M	242.9M	-7.9M	1.04	1.76	84,239	87,649	1,117,749	2,142,122
2021-12-23	$18.29	$19.00	48.3%	13.7%	65.8%	13.2%	48.5%	4.1%	-0.5%	-4.4M	226.3M	-7.9M	0.90	2.62	84,229	75,415	1,136,914	2,143,977
2021-12-27	$18.17	$19.00	52.3%	14.4%	56.1%	18.6%	50.2%	4.3%	-0.1%	-9.2M	276.4M	-7.5M	0.80	2.00	76,734	61,708	1,079,590	2,099,647
2021-12-28	$18.59	$19.00	45.8%	12.3%	56.6%	9.8%	43.0%	2.6%	2.2%	-6.2M	181.6M	-7.7M	1.00	5.93	67,636	67,401	1,094,654	2,106,418
2021-12-29	$18.04	$19.00	48.8%	12.9%	57.7%	13.8%	45.5%	3.2%	1.0%	-11.5M	324.0M	-7.4M	0.75	2.47	58,033	43,606	1,104,479	2,114,324
2021-12-30	$18.14	$19.00	47.1%	12.7%	51.5%	11.6%	46.5%	2.9%	3.8%	-10.0M	296.2M	-7.4M	1.53	10.53	74,003	113,380	1,121,249	2,116,071
2021-12-31	$18.04	$19.00	46.3%	12.8%	47.9%	10.5%	44.2%	4.2%	2.7%	-25.8M	330.1M	-7.4M	0.99	2.19	56,065	55,338	1,137,445	2,148,707