AAL Options History — September 2022

In September 2022, AAL traded between $11.93 and $14.45. ATM implied volatility averaged 59.6%, placing in the 43.8% IV rank vs the trailing year. The 30-day expected move averaged 17.9%. IV traded above realized volatility by 13.4% (HV 20d: 46.3%). Max pain ranged from $13.00 to $16.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.17.

Notable Days

2022-09-23: Highest Volume — 286,253 contracts
2022-09-13: Largest IV spike — 10.7% change
2022-09-29: Highest IV Rank — 67.0%
2022-09-29: Largest Expected Move — 21.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.28	$11.93	$14.45	$12.85	$12.12
Max Pain	$14.05	$13.00	$16.00	$16.00	$13.00
ATM IV	59.6%	50.0%	70.8%	57.5%	69.5%
Expected Move	17.9%	15.7%	21.2%	17.1%	20.8%
HV 20d	46.3%	39.4%	54.7%	39.4%	54.3%
HV 60d	52.4%	49.2%	58.6%	58.6%	50.8%
IV Rank	43.8%	23.7%	67.0%	39.4%	64.5%
IV Percentile	65.4%	32.9%	89.3%	66.7%	88.1%
Term Structure	0.7%	-3.1%	5.5%	0.1%	-0.5%
VWIV	62.7%	54.5%	77.4%	60.3%	71.0%
Skew 25d	8.3%	5.9%	11.7%	8.7%	9.8%
Skew 10d	16.0%	11.3%	21.6%	18.2%	18.0%
Call IV 25d	56.4%	46.6%	66.1%	55.1%	66.1%
Put IV 25d	64.7%	53.3%	76.4%	63.8%	76.0%
Bid-Ask Spread %	2.46	1.78	3.59	1.84	2.05
Gamma HHI	0.11	0.10	0.14	0.13	0.13
Net GEX	-10.8M	-16.2M	-5.2M	-16.2M	-12.4M
Net DEX	602.8M	369.3M	796.3M	796.3M	694.2M
Net VEX	-6.9M	-7.2M	-6.7M	-6.8M	-7.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.17	0.45	2.19	0.86	0.60
Total Volume	151,266.905	93,179	286,253	96,999	131,318
Total OI	3,296,426.429	2,988,960	3,521,484	3,329,776	3,372,462

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
2022-09-01	$12.85	$16.00	57.5%	17.1%	39.4%	39.4%	60.3%	8.7%	0.1%	-16.2M	796.3M	-6.8M	0.86	1.84	52,265	44,734	853,645	2,476,131
2022-09-02	$12.91	$16.00	55.3%	16.2%	39.6%	34.7%	57.4%	7.5%	-0.5%	-16.2M	774.4M	-6.9M	0.73	1.78	57,782	42,166	866,114	2,483,301
2022-09-06	$13.20	$14.00	57.5%	17.5%	39.8%	39.4%	62.7%	8.3%	1.4%	-14.2M	727.9M	-6.9M	1.35	2.10	47,476	64,220	838,558	2,467,953
2022-09-07	$13.83	$14.00	53.8%	16.5%	42.6%	31.6%	59.6%	6.4%	1.8%	-10.8M	586.2M	-6.9M	0.55	2.05	93,350	51,425	860,104	2,500,856
2022-09-08	$13.91	$14.00	52.2%	16.2%	40.3%	28.3%	58.4%	6.9%	1.8%	-8.2M	559.1M	-6.8M	0.45	2.30	66,734	29,764	894,164	2,501,317
2022-09-09	$14.19	$14.00	50.3%	15.7%	41.2%	24.4%	54.5%	6.7%	1.8%	-9.7M	501.6M	-6.9M	0.60	2.01	58,282	34,897	905,763	2,513,120
2022-09-12	$14.45	$14.00	50.0%	15.9%	41.3%	23.7%	54.8%	6.2%	5.4%	-8.3M	479.2M	-6.8M	1.44	3.19	66,065	95,284	864,216	2,478,557
2022-09-13	$13.65	$14.00	55.3%	16.5%	45.2%	34.8%	57.9%	8.8%	2.4%	-12.1M	651.4M	-6.7M	2.01	2.48	48,546	97,456	884,902	2,504,121
2022-09-14	$14.03	$14.00	53.7%	16.6%	46.5%	31.4%	57.5%	8.1%	4.9%	-9.0M	559.3M	-6.8M	1.71	2.45	83,346	142,591	894,509	2,526,876
2022-09-15	$14.28	$14.00	53.7%	16.8%	45.7%	31.5%	57.0%	5.9%	5.5%	-5.2M	492.4M	-6.9M	1.08	3.59	80,886	87,410	918,673	2,569,653
2022-09-16	$13.72	$14.00	57.1%	16.9%	47.6%	38.6%	60.6%	7.4%	3.0%	-9.5M	627.7M	-7.0M	1.90	2.10	62,213	118,216	933,455	2,588,029
2022-09-19	$14.22	$14.00	59.7%	17.4%	46.4%	43.9%	63.9%	8.3%	-2.3%	-7.2M	369.3M	-7.1M	0.53	2.51	82,947	44,042	747,137	2,241,823
2022-09-20	$14.05	$14.00	60.8%	17.6%	44.8%	46.2%	61.5%	9.3%	-1.0%	-7.8M	398.1M	-7.1M	2.04	3.07	48,654	99,245	775,777	2,266,053
2022-09-21	$13.28	$14.00	61.4%	17.6%	49.0%	47.6%	61.9%	8.0%	-1.4%	-11.9M	538.0M	-7.0M	0.84	3.14	101,006	85,174	795,669	2,335,101
2022-09-22	$12.78	$14.00	63.4%	18.3%	50.2%	51.6%	63.9%	8.7%	-1.8%	-12.6M	609.2M	-6.8M	0.89	3.06	112,209	100,354	800,469	2,321,027
2022-09-23	$12.20	$14.00	66.8%	19.4%	51.0%	58.9%	68.1%	9.5%	-3.1%	-12.3M	688.0M	-6.9M	1.38	2.53	120,229	166,024	826,284	2,351,757
2022-09-26	$11.93	$14.00	68.5%	20.2%	49.2%	62.2%	69.2%	9.0%	-0.4%	-12.0M	700.6M	-6.9M	1.48	2.24	67,432	99,822	820,910	2,370,208
2022-09-27	$12.19	$14.00	69.9%	20.9%	50.2%	65.2%	72.5%	9.7%	-1.1%	-11.3M	677.1M	-7.1M	0.94	2.31	68,856	64,876	842,702	2,427,848
2022-09-28	$12.76	$13.00	65.4%	19.5%	53.1%	55.8%	67.2%	9.8%	-0.5%	-9.7M	563.8M	-7.2M	0.91	2.35	52,283	47,812	864,803	2,430,032
2022-09-29	$12.25	$13.00	70.8%	21.2%	54.7%	67.0%	77.4%	11.7%	-0.8%	-10.4M	664.9M	-7.2M	2.19	2.52	49,906	109,308	872,666	2,438,210
2022-09-30	$12.12	$13.00	69.5%	20.8%	54.3%	64.5%	71.0%	9.8%	-0.5%	-12.4M	694.2M	-7.1M	0.60	2.05	82,056	49,262	888,087	2,484,375