AAL Options History — January 2022

In January 2022, AAL traded between $15.54 and $19.33. ATM implied volatility averaged 50.9%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 10.4% (HV 20d: 40.5%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2022-01-20: Highest Volume — 366,510 contracts
  • 2022-01-21: Largest IV spike — 11.0% change
  • 2022-01-31: Highest IV Rank — 29.3%
  • 2022-01-25: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.70$15.54$19.33$18.82$16.31
Max Pain$18.85$18.00$19.00$19.00$18.00
ATM IV50.9%46.0%57.2%46.1%51.0%
Expected Move14.8%12.8%17.4%12.8%14.8%
HV 20d40.5%35.1%45.9%45.8%45.9%
HV 60d48.9%47.1%50.5%47.1%50.5%
IV Rank17.6%10.0%29.3%10.2%29.3%
IV Percentile60.6%32.9%79.8%34.5%65.1%
Term Structure-0.6%-3.1%1.5%1.0%-0.3%
VWIV52.6%45.2%62.8%45.2%52.5%
Skew 25d3.7%0.9%7.7%2.6%6.4%
Skew 10d8.6%-16.0%27.8%6.8%16.4%
Call IV 25d50.8%46.6%56.4%46.6%49.7%
Put IV 25d54.6%48.7%62.2%49.2%56.1%
Bid-Ask Spread %4.631.9832.934.972.74
Gamma HHI0.090.080.170.080.08
Net GEX-7.8M-22.5M5.6M-4.9M-8.8M
Net DEX330.1M-73.9M780.2M121.5M502.1M
Net VEX-7.1M-7.6M-6.5M-7.5M-6.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.381.090.640.38
Total Volume200,713.8598,651366,510162,664122,401
Total OI3,021,850.652,281,4943,498,7013,187,4412,474,058

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-01-03$18.82$19.0046.1%12.8%45.8%10.2%45.2%2.6%1.0%-4.9M121.5M-7.5M0.644.9799,12063,5441,086,2682,101,173
2022-01-04$19.01$19.0046.0%12.9%37.0%10.0%45.9%1.9%0.2%-3.7M70.1M-7.6M0.452.22116,61752,9921,094,0462,123,626
2022-01-05$18.68$19.0049.1%13.8%37.6%14.3%49.7%3.9%0.4%-6.5M173.5M-7.5M0.672.1184,44356,8441,114,9472,138,946
2022-01-06$18.61$19.0048.7%14.1%36.8%13.7%49.6%1.5%-0.2%-5.8M195.1M-7.5M0.446.74100,25944,2031,127,2652,141,969
2022-01-07$19.29$19.0048.5%14.2%38.8%13.4%49.8%1.6%-1.9%5.4M-56.7M-7.5M0.6532.93147,76095,5401,159,5942,145,832
2022-01-10$18.82$19.0051.3%14.7%39.8%17.3%53.0%5.0%1.5%-6.2M138.4M-7.4M0.791.9855,12243,5291,077,1652,140,403
2022-01-11$19.01$19.0049.0%14.0%35.1%14.2%51.8%1.8%-0.6%-3.9M88.5M-7.3M0.642.2168,71843,9331,087,7722,145,845
2022-01-12$18.52$19.0050.2%14.2%36.2%15.7%54.4%2.6%-0.4%-6.8M202.9M-7.2M0.562.85126,46370,5601,103,9272,141,498
2022-01-13$19.33$19.0048.8%13.9%38.6%13.8%49.5%0.9%-0.2%5.6M-73.9M-7.1M0.532.34183,42096,8471,135,0292,158,867
2022-01-14$18.54$19.0047.0%13.4%40.7%11.4%47.4%1.7%-0.3%-12.2M235.4M-7.1M0.792.20115,84091,3411,137,6422,177,245
2022-01-18$17.97$19.0051.3%14.7%42.0%17.2%53.3%3.1%-1.9%-11.7M366.8M-6.8M0.582.13129,99575,8811,111,1052,145,321
2022-01-19$17.40$19.0051.9%14.9%43.6%18.1%53.0%3.1%-1.9%-14.0M477.2M-6.8M1.042.08133,224138,1761,149,6512,161,257
2022-01-20$16.86$19.0047.4%13.7%41.5%12.0%49.5%2.5%-3.1%-22.5M692.2M-6.5M0.892.01193,815172,6951,189,8122,200,084
2022-01-21$16.35$19.0052.6%15.3%42.1%19.1%53.5%4.8%-2.1%-13.8M780.2M-6.6M0.917.30125,750114,9911,242,4362,256,265
2022-01-24$16.27$19.0057.1%17.3%42.0%25.1%62.8%5.8%0.7%-10.2M525.5M-6.8M0.622.38132,46981,536754,2261,527,268
2022-01-25$16.50$19.0057.2%17.4%42.6%25.3%60.4%6.0%-0.8%-7.4M453.2M-6.9M0.382.46131,04049,454806,5721,535,285
2022-01-26$16.33$19.0053.9%16.0%41.3%20.8%55.3%5.4%-1.0%-6.0M489.3M-6.8M0.406.25109,46243,696863,7101,555,980
2022-01-27$15.85$18.0055.9%17.0%41.3%23.5%58.9%6.6%-1.5%-8.5M580.3M-6.7M0.812.19110,61289,686874,6171,564,477
2022-01-28$15.54$18.0054.8%16.5%41.3%27.9%57.2%7.7%0.1%-14.7M640.7M-6.6M1.092.53144,897157,402896,7781,589,052
2022-01-31$16.31$18.0051.0%14.8%45.9%29.3%52.5%6.4%-0.3%-8.8M502.1M-6.9M0.382.7488,85633,545854,9431,619,115