AAL Options History — February 2022

In February 2022, AAL traded between $16.50 and $18.83. ATM implied volatility averaged 52.8%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 1.6% (HV 20d: 51.3%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.67.

Notable Days

2022-02-11: Highest Volume — 252,990 contracts
2022-02-11: Largest IV spike — 13.4% change
2022-02-28: Highest IV Rank — 66.1%
2022-02-28: Largest Expected Move — 18.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.59	$16.50	$18.83	$16.79	$17.17
Max Pain	$17.84	$17.00	$18.00	$18.00	$18.00
ATM IV	52.8%	46.2%	61.1%	49.2%	61.1%
Expected Move	15.4%	13.3%	18.3%	14.5%	18.3%
HV 20d	51.3%	44.3%	56.9%	44.3%	56.2%
HV 60d	51.7%	49.5%	54.3%	50.9%	50.1%
IV Rank	37.9%	19.9%	66.1%	27.5%	66.1%
IV Percentile	70.2%	36.5%	91.7%	58.7%	91.7%
Term Structure	-0.3%	-1.4%	1.2%	-0.6%	-0.1%
VWIV	54.0%	47.3%	64.0%	52.0%	64.0%
Skew 25d	6.4%	3.7%	8.6%	6.5%	8.6%
Skew 10d	14.6%	8.8%	20.0%	15.0%	20.0%
Call IV 25d	51.2%	45.2%	58.0%	47.7%	58.0%
Put IV 25d	57.5%	48.9%	66.6%	54.2%	66.6%
Bid-Ask Spread %	3.79	2.09	16.03	2.66	9.80
Gamma HHI	0.08	0.06	0.09	0.08	0.09
Net GEX	-3.9M	-10.9M	3.4M	-6.6M	-8.3M
Net DEX	260.0M	-35.9M	496.0M	410.5M	352.2M
Net VEX	-7.4M	-7.6M	-7.0M	-7.0M	-7.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.33	1.28	0.78	0.57
Total Volume	188,022.421	107,187	252,990	218,029	107,187
Total OI	2,665,771.526	2,463,461	2,837,927	2,502,670	2,497,551

Daily Data (19 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
2022-02-01	$16.79	$18.00	49.2%	14.5%	44.3%	27.5%	52.0%	6.5%	-0.6%	-6.6M	410.5M	-7.0M	0.78	2.66	122,680	95,349	871,755	1,630,915
2022-02-02	$17.02	$18.00	48.4%	14.4%	44.4%	25.7%	51.8%	6.1%	-1.4%	-4.5M	368.0M	-7.3M	0.62	3.21	96,626	59,894	916,322	1,669,163
2022-02-03	$16.59	$17.00	50.1%	14.2%	44.8%	30.1%	50.7%	5.0%	-0.4%	-7.2M	461.9M	-7.0M	1.28	2.46	69,568	89,321	936,381	1,677,037
2022-02-04	$16.50	$17.00	48.4%	14.3%	44.8%	25.6%	49.9%	6.1%	-0.6%	-6.2M	496.0M	-7.0M	0.77	2.25	92,533	71,395	950,357	1,726,383
2022-02-07	$17.25	$17.00	48.7%	14.3%	46.0%	26.3%	50.1%	4.6%	1.1%	-6.2M	322.0M	-7.2M	0.46	2.11	165,380	76,483	912,880	1,732,114
2022-02-08	$18.22	$18.00	48.4%	14.3%	50.0%	25.6%	49.8%	4.3%	1.2%	1.2M	81.4M	-7.6M	0.33	2.09	187,739	62,154	935,344	1,778,205
2022-02-09	$18.70	$18.00	46.2%	13.3%	50.9%	19.9%	47.3%	3.7%	0.1%	3.4M	-35.9M	-7.6M	0.69	2.26	142,738	97,870	941,785	1,788,499
2022-02-10	$18.61	$18.00	48.7%	13.9%	50.0%	26.4%	49.5%	3.7%	-0.1%	3.0M	-5.6M	-7.5M	0.52	2.34	125,394	64,768	945,376	1,819,552
2022-02-11	$17.60	$18.00	55.3%	15.9%	51.1%	43.5%	57.3%	7.8%	0.1%	-3.9M	287.7M	-7.6M	0.94	3.12	130,179	122,811	960,365	1,838,037
2022-02-14	$17.41	$18.00	56.3%	16.2%	49.3%	46.2%	55.9%	7.1%	-1.3%	-7.4M	333.8M	-7.5M	0.82	2.41	113,152	92,225	920,175	1,828,706
2022-02-15	$18.82	$18.00	52.9%	15.2%	55.8%	37.5%	53.2%	4.7%	-1.0%	3.2M	-26.4M	-7.6M	0.41	2.25	155,292	63,037	951,555	1,848,121
2022-02-16	$18.83	$18.00	51.2%	14.7%	54.3%	33.0%	52.0%	6.5%	0.3%	2.8M	-13.0M	-7.6M	0.63	2.25	95,052	60,224	960,874	1,864,078
2022-02-17	$18.27	$18.00	54.3%	15.6%	54.2%	40.9%	55.7%	7.1%	-0.8%	-2.9M	145.0M	-7.5M	0.98	2.54	64,730	63,320	954,525	1,871,383
2022-02-18	$17.93	$18.00	54.4%	15.5%	53.4%	41.3%	54.5%	8.2%	0.8%	-713.3K	241.0M	-7.5M	0.78	16.03	117,680	92,262	960,259	1,877,668
2022-02-22	$17.50	$18.00	56.6%	16.2%	54.2%	47.0%	56.6%	6.7%	-1.4%	-7.9M	329.8M	-7.3M	0.59	3.08	69,007	40,416	733,951	1,729,510
2022-02-23	$16.70	$18.00	58.6%	17.3%	56.9%	52.2%	57.9%	8.0%	-0.4%	-10.9M	468.7M	-7.1M	0.38	2.24	146,862	55,643	753,805	1,744,644
2022-02-24	$16.92	$18.00	58.6%	17.2%	56.9%	52.3%	60.8%	7.9%	-0.6%	-8.2M	414.9M	-7.4M	0.64	3.05	104,932	66,911	792,972	1,759,647
2022-02-25	$17.43	$18.00	56.3%	16.5%	56.5%	51.9%	57.5%	8.3%	-0.8%	-6.3M	308.9M	-7.4M	0.50	5.93	127,490	64,122	801,453	1,768,312
2022-02-28	$17.17	$18.00	61.1%	18.3%	56.2%	66.1%	64.0%	8.6%	-0.1%	-8.3M	352.2M	-7.4M	0.57	9.80	68,061	39,126	737,660	1,759,891