AAL Options History — March 2022

In March 2022, AAL traded between $12.82 and $18.34. ATM implied volatility averaged 66.1%, placing in the 61.3% IV rank vs the trailing year. The 30-day expected move averaged 19.6%. IV traded below realized volatility by 9.4% (HV 20d: 75.6%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 1.07.

Notable Days

2022-03-08: Highest Volume — 452,397 contracts
2022-03-07: Largest IV spike — 15.9% change
2022-03-04: Highest IV Rank — 100.0%
2022-03-07: Largest Expected Move — 29.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.89	$12.82	$18.34	$16.29	$18.34
Max Pain	$17.70	$17.00	$18.00	$18.00	$18.00
ATM IV	66.1%	53.6%	86.6%	66.0%	53.6%
Expected Move	19.6%	15.4%	29.2%	20.6%	15.7%
HV 20d	75.6%	56.3%	82.6%	57.3%	78.0%
HV 60d	57.7%	46.8%	62.0%	50.0%	61.4%
IV Rank	61.3%	31.3%	100.0%	80.5%	31.3%
IV Percentile	91.9%	77.0%	100.0%	95.2%	77.0%
Term Structure	-0.8%	-4.6%	2.4%	-1.0%	0.2%
VWIV	69.2%	54.7%	100.8%	70.8%	56.6%
Skew 25d	10.1%	5.8%	17.0%	9.7%	6.0%
Skew 10d	23.2%	11.8%	36.5%	21.2%	14.2%
Call IV 25d	62.9%	52.4%	80.4%	63.7%	52.4%
Put IV 25d	73.0%	58.4%	97.4%	73.4%	58.4%
Bid-Ask Spread %	2.81	2.11	4.71	2.65	2.48
Gamma HHI	0.08	0.06	0.13	0.09	0.06
Net GEX	-8.1M	-16.1M	-264.7K	-10.4M	-264.7K
Net DEX	441.7M	-69.7M	904.0M	502.6M	-69.7M
Net VEX	-7.6M	-8.3M	-6.5M	-7.3M	-8.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.07	0.51	1.92	0.51	0.79
Total Volume	220,817.565	120,431	452,397	168,098	173,991
Total OI	2,952,887.043	2,538,297	3,153,063	2,538,297	3,120,744

Daily Data (23 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
2022-03-01	$16.29	$18.00	66.0%	20.6%	57.3%	80.5%	70.8%	9.7%	-1.0%	-10.4M	502.6M	-7.3M	0.51	2.65	111,085	57,013	763,002	1,775,295
2022-03-02	$16.38	$17.50	62.4%	18.6%	56.3%	69.9%	63.3%	9.5%	-1.0%	-9.6M	473.2M	-7.3M	0.91	2.79	71,296	64,933	806,848	1,792,435
2022-03-03	$15.68	$17.50	64.7%	19.7%	58.0%	76.8%	66.8%	8.0%	-0.2%	-12.5M	597.4M	-7.1M	0.80	2.44	112,059	89,830	822,135	1,815,733
2022-03-04	$14.54	$17.00	74.7%	22.6%	62.9%	100.0%	78.4%	14.5%	-1.5%	-12.9M	768.0M	-7.0M	1.51	3.15	152,828	230,892	855,811	1,870,880
2022-03-07	$12.82	$17.00	86.6%	29.2%	75.8%	100.0%	98.1%	17.0%	-1.2%	-11.8M	904.0M	-6.5M	1.65	2.25	170,425	280,344	825,700	1,945,060
2022-03-08	$13.56	$17.00	85.6%	28.2%	77.1%	98.0%	100.8%	16.9%	-4.6%	-11.8M	812.1M	-7.0M	1.86	2.71	157,903	294,494	873,367	2,026,515
2022-03-09	$14.40	$17.00	77.3%	24.9%	77.7%	80.5%	87.8%	14.4%	0.3%	-12.2M	724.0M	-7.5M	0.83	2.65	132,253	109,950	900,624	2,168,509
2022-03-10	$14.12	$17.00	77.4%	24.3%	76.5%	80.8%	87.4%	12.8%	-0.8%	-12.7M	770.9M	-7.3M	1.55	2.96	85,568	132,423	925,702	2,176,691
2022-03-11	$14.00	$17.00	75.8%	23.4%	76.4%	77.4%	82.0%	12.8%	0.6%	-16.1M	791.1M	-7.3M	0.81	2.26	87,519	70,828	943,376	2,189,962
2022-03-14	$14.22	$18.00	78.7%	21.5%	75.5%	83.6%	73.4%	14.7%	-1.3%	-11.5M	745.3M	-7.4M	1.12	3.09	77,202	86,629	899,953	2,144,618
2022-03-15	$15.46	$18.00	75.1%	20.5%	82.6%	76.0%	70.3%	11.2%	-1.8%	-9.9M	524.1M	-7.8M	0.60	4.12	138,067	82,361	914,088	2,134,453
2022-03-16	$16.30	$18.00	66.8%	19.1%	79.6%	58.7%	67.6%	11.5%	-0.7%	-8.5M	350.4M	-7.9M	0.54	3.03	151,353	82,339	945,591	2,149,978
2022-03-17	$16.49	$18.00	63.8%	18.6%	79.9%	52.5%	63.9%	10.4%	0.4%	-7.8M	291.9M	-7.9M	1.04	4.71	65,161	68,089	971,502	2,163,187
2022-03-18	$16.74	$18.00	59.1%	17.0%	79.7%	42.7%	58.4%	8.3%	2.4%	-6.4M	233.7M	-7.8M	1.47	3.02	97,130	142,657	981,528	2,171,535
2022-03-21	$16.03	$18.00	62.1%	17.5%	80.8%	48.9%	60.6%	8.2%	-1.9%	-7.9M	406.2M	-7.6M	1.15	2.67	78,535	89,960	802,490	2,022,718
2022-03-22	$16.63	$18.00	57.0%	15.6%	81.8%	38.2%	54.7%	6.7%	-1.2%	-5.1M	284.7M	-7.7M	0.95	2.82	119,436	112,983	834,560	2,052,545
2022-03-23	$16.26	$18.00	57.6%	16.7%	80.5%	39.6%	58.6%	6.7%	-1.8%	-7.3M	376.3M	-7.8M	1.92	2.50	63,460	121,739	851,303	2,098,934
2022-03-24	$16.69	$18.00	56.2%	15.7%	80.9%	36.7%	59.4%	6.7%	-0.5%	-3.1M	281.8M	-7.9M	0.93	2.11	120,119	111,676	871,296	2,123,559
2022-03-25	$16.89	$18.00	55.9%	15.8%	80.3%	36.0%	55.3%	7.0%	-1.0%	-329.0K	234.2M	-8.1M	0.71	2.47	117,955	84,120	895,472	2,188,352
2022-03-28	$17.29	$18.00	55.8%	15.9%	80.6%	35.8%	61.5%	8.2%	-0.3%	-4.9M	180.2M	-8.2M	0.73	2.68	69,509	50,922	859,594	2,139,580
2022-03-29	$18.18	$18.00	54.7%	15.4%	79.9%	33.6%	55.3%	5.9%	-1.2%	-1.1M	-28.5M	-8.3M	0.72	2.54	122,231	87,466	881,844	2,152,151
2022-03-30	$18.06	$18.00	54.4%	15.4%	80.0%	33.0%	61.4%	5.8%	-1.0%	-2.1M	6.3M	-8.3M	1.46	2.46	61,943	90,128	896,657	2,170,525
2022-03-31	$18.34	$18.00	53.6%	15.7%	78.0%	31.3%	56.6%	6.0%	0.2%	-264.7K	-69.7M	-8.3M	0.79	2.48	97,181	76,810	917,946	2,202,798