AAL Options History — June 2022

In June 2022, AAL traded between $12.17 and $17.39. ATM implied volatility averaged 66.8%, placing in the 58.8% IV rank vs the trailing year. The 30-day expected move averaged 19.2%. IV traded below realized volatility by 9.2% (HV 20d: 76.0%). Max pain ranged from $14.00 to $18.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.30.

Notable Days

2022-06-13: Highest Volume — 386,509 contracts
2022-06-13: Largest IV spike — 20.3% change
2022-06-16: Highest IV Rank — 88.3%
2022-06-16: Largest Expected Move — 23.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.33	$12.17	$17.39	$17.36	$12.66
Max Pain	$15.90	$14.00	$18.00	$18.00	$14.00
ATM IV	66.8%	53.7%	81.0%	56.4%	73.8%
Expected Move	19.2%	16.1%	23.2%	16.6%	20.5%
HV 20d	76.0%	71.6%	81.4%	76.9%	72.7%
HV 60d	65.7%	61.4%	69.1%	63.1%	69.1%
IV Rank	58.8%	31.5%	88.3%	37.0%	73.3%
IV Percentile	88.1%	64.7%	99.2%	76.6%	95.2%
Term Structure	0.4%	-1.3%	4.0%	-1.3%	-1.0%
VWIV	68.5%	55.1%	83.4%	59.3%	72.5%
Skew 25d	10.9%	8.3%	15.4%	9.6%	11.0%
Skew 10d	23.0%	15.7%	31.6%	21.5%	24.3%
Call IV 25d	63.1%	51.0%	76.6%	53.1%	69.8%
Put IV 25d	73.9%	59.9%	90.6%	62.7%	80.8%
Bid-Ask Spread %	2.34	1.95	3.21	2.18	3.01
Gamma HHI	0.12	0.07	0.35	0.07	0.12
Net GEX	-11.3M	-23.7M	-5.1M	-5.8M	-11.0M
Net DEX	625.9M	248.3M	1.03B	253.9M	682.0M
Net VEX	-7.3M	-7.8M	-6.8M	-7.8M	-7.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.30	0.55	3.03	1.04	0.73
Total Volume	194,267.619	84,469	386,509	121,701	132,297
Total OI	3,154,045.286	2,764,551	3,582,239	3,131,617	2,963,934

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
2022-06-01	$17.36	$18.00	56.4%	16.6%	76.9%	37.0%	59.3%	9.6%	-1.3%	-5.8M	253.9M	-7.8M	1.04	2.18	59,543	62,158	896,484	2,235,133
2022-06-02	$17.39	$18.00	53.7%	16.2%	76.2%	31.5%	62.0%	8.9%	-0.6%	-6.0M	248.3M	-7.6M	2.27	2.43	60,732	137,766	897,226	2,248,130
2022-06-03	$16.15	$18.00	57.4%	16.8%	78.0%	39.1%	58.1%	9.8%	-0.5%	-12.1M	537.9M	-7.5M	1.01	1.95	95,992	96,742	911,257	2,334,780
2022-06-06	$16.29	$17.00	55.7%	16.9%	77.4%	35.6%	55.9%	9.0%	3.5%	-9.8M	468.5M	-7.4M	0.57	2.20	102,618	58,176	895,220	2,292,331
2022-06-07	$16.70	$18.00	55.3%	16.1%	71.6%	34.7%	58.7%	8.9%	1.0%	-7.2M	384.0M	-7.5M	1.17	2.19	77,029	90,461	916,083	2,306,381
2022-06-08	$16.17	$18.00	55.5%	16.6%	72.4%	35.3%	55.1%	8.3%	2.4%	-9.3M	488.1M	-7.4M	1.26	2.49	54,782	69,142	947,079	2,339,050
2022-06-09	$15.49	$17.00	58.9%	17.8%	73.0%	42.4%	60.8%	9.5%	4.0%	-14.1M	630.3M	-7.3M	2.34	2.10	59,667	139,454	948,189	2,361,599
2022-06-10	$14.81	$17.00	64.6%	19.0%	73.6%	54.1%	78.2%	10.3%	3.1%	-17.7M	793.7M	-7.5M	2.24	2.24	101,879	228,436	964,832	2,415,108
2022-06-13	$13.25	$17.00	77.7%	22.4%	77.2%	81.5%	83.4%	15.4%	-1.0%	-17.2M	973.3M	-7.0M	3.03	2.33	95,802	290,707	943,101	2,443,729
2022-06-14	$12.94	$16.00	75.1%	21.6%	77.2%	76.1%	76.2%	13.9%	-0.4%	-16.5M	967.7M	-7.1M	0.86	2.45	110,054	94,956	983,688	2,460,416
2022-06-15	$13.35	$16.00	71.9%	20.6%	72.9%	69.3%	70.0%	11.7%	-0.0%	-16.2M	902.6M	-7.2M	0.64	3.21	121,338	77,553	1,032,305	2,467,844
2022-06-16	$12.17	$16.00	81.0%	23.2%	77.2%	88.3%	82.2%	14.0%	-0.7%	-13.6M	1.03B	-6.8M	1.75	2.30	108,248	189,066	1,059,034	2,465,112
2022-06-17	$12.90	$16.00	75.2%	21.5%	81.4%	76.3%	74.6%	13.2%	1.4%	-23.7M	928.8M	-7.1M	1.13	2.04	156,879	177,482	1,083,605	2,498,634
2022-06-21	$13.06	$14.00	72.3%	20.7%	81.1%	70.3%	72.5%	11.0%	0.1%	-8.8M	575.2M	-7.1M	0.62	2.07	96,722	59,982	729,797	2,034,754
2022-06-22	$13.11	$14.00	72.3%	20.4%	80.0%	70.2%	71.8%	9.4%	0.4%	-8.3M	563.1M	-7.1M	0.94	2.26	80,092	75,394	765,187	2,060,335
2022-06-23	$12.97	$14.00	73.0%	20.6%	77.3%	71.6%	73.4%	11.3%	0.4%	-8.1M	586.7M	-7.3M	0.65	2.15	64,903	42,064	795,079	2,079,177
2022-06-24	$13.88	$14.00	66.6%	18.5%	81.1%	58.3%	67.4%	8.4%	0.3%	-5.1M	458.5M	-7.6M	0.55	2.19	120,525	65,740	797,233	2,089,230
2022-06-27	$13.62	$14.00	67.0%	18.9%	74.9%	59.2%	66.2%	11.9%	-0.4%	-8.1M	523.0M	-7.3M	0.75	2.27	48,142	36,327	748,232	2,067,634
2022-06-28	$13.60	$14.00	67.8%	19.1%	72.1%	60.9%	69.6%	10.9%	-1.0%	-7.9M	524.8M	-7.3M	2.22	2.31	59,040	130,895	761,705	2,082,430
2022-06-29	$13.06	$14.00	71.6%	19.6%	72.7%	68.8%	70.5%	11.8%	-0.2%	-10.4M	627.6M	-7.2M	1.51	2.72	60,005	90,830	768,151	2,145,723
2022-06-30	$12.66	$14.00	73.8%	20.5%	72.7%	73.3%	72.5%	11.0%	-1.0%	-11.0M	682.0M	-7.2M	0.73	3.01	76,383	55,914	783,420	2,180,514