AAL Options History — November 2022

In November 2022, AAL traded between $13.69 and $14.92. ATM implied volatility averaged 48.2%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 12.5% (HV 20d: 35.7%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2022-11-04: Highest Volume — 257,932 contracts
  • 2022-11-10: Largest IV drop — 7.3% change
  • 2022-11-02: Highest IV Rank — 27.2%
  • 2022-11-09: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.22$13.69$14.92$14.16$14.36
Max Pain$14.48$14.00$15.00$15.00$15.00
ATM IV48.2%43.1%52.1%51.1%43.1%
Expected Move14.2%12.8%15.1%15.1%12.9%
HV 20d35.7%30.6%41.4%34.7%41.4%
HV 60d46.1%44.9%47.2%46.4%46.5%
IV Rank13.7%0.0%27.2%24.9%0.0%
IV Percentile11.7%0.0%25.0%22.6%0.0%
Term Structure0.4%-1.6%2.7%-0.5%0.3%
VWIV49.5%40.1%54.8%53.2%46.7%
Skew 25d6.8%5.7%8.9%7.9%6.2%
Skew 10d14.3%11.4%20.5%16.9%12.8%
Call IV 25d45.8%40.9%49.4%47.1%40.9%
Put IV 25d52.6%47.1%56.4%55.0%47.1%
Bid-Ask Spread %2.411.902.922.742.18
Gamma HHI0.100.080.130.090.10
Net GEX-8.7M-13.0M-3.7M-7.8M-4.8M
Net DEX314.3M99.7M474.3M319.0M275.1M
Net VEX-6.5M-6.8M-6.2M-6.7M-6.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.432.651.200.87
Total Volume121,436.38150,453257,93274,79050,453
Total OI3,497,078.813,252,1943,728,9493,481,2543,367,618

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-11-01$14.16$15.0051.1%15.1%34.7%24.9%53.2%7.9%-0.5%-7.8M319.0M-6.7M1.202.7433,97740,813974,0732,507,181
2022-11-02$13.69$15.0052.1%15.1%37.3%27.2%52.8%7.2%0.3%-9.7M444.7M-6.6M1.522.6036,67155,716982,6002,514,711
2022-11-03$13.79$14.0049.7%14.8%36.7%21.3%52.0%6.2%1.1%-9.7M432.2M-6.6M1.062.1056,46459,843988,0152,530,237
2022-11-04$14.10$14.0049.4%14.9%32.1%20.7%53.2%6.2%0.9%-11.1M323.1M-6.6M2.652.4770,674187,258999,5512,548,354
2022-11-07$14.32$14.0049.1%14.9%31.7%19.1%51.8%8.9%2.7%-10.8M334.0M-6.8M0.891.9951,97446,263956,8652,573,721
2022-11-08$14.28$14.0049.6%15.0%31.8%20.2%54.8%6.7%2.5%-9.9M316.5M-6.6M1.262.0139,97350,525972,5202,582,720
2022-11-09$14.04$14.0050.8%15.1%30.6%22.7%51.6%7.1%1.7%-10.4M378.7M-6.6M1.262.3844,42355,959983,6292,588,541
2022-11-10$14.92$14.0047.1%13.9%36.0%14.8%47.8%6.5%1.9%-5.6M99.7M-6.5M0.642.4595,84361,503989,3462,601,518
2022-11-11$14.87$14.0046.0%13.7%36.2%12.4%49.0%6.0%2.6%-3.7M135.1M-6.6M0.682.6174,16350,5721,013,6932,605,000
2022-11-14$14.76$14.0046.6%13.5%36.5%8.7%48.6%7.1%-0.4%-9.6M167.3M-6.2M0.912.3067,92861,520993,2192,582,848
2022-11-15$14.61$14.0049.7%14.3%35.8%15.1%50.5%8.6%0.4%-10.9M239.6M-6.5M1.262.8280,126101,0611,007,5742,601,425
2022-11-16$14.06$15.0051.2%14.7%37.7%18.5%51.0%6.8%-1.2%-12.4M436.2M-6.6M1.182.5172,81186,2291,026,9262,643,713
2022-11-17$13.90$15.0050.7%14.6%35.7%17.5%51.2%6.0%-1.6%-10.9M474.3M-6.5M1.532.1462,83795,8791,045,4422,649,649
2022-11-18$14.00$14.0050.0%14.4%35.4%14.8%52.3%6.8%-0.9%-13.0M440.2M-6.4M0.941.9092,24187,0061,057,6312,671,318
2022-11-21$13.81$14.0047.9%13.8%34.3%9.9%46.3%5.7%-1.2%-8.6M330.7M-6.3M1.682.3748,54481,500842,5222,409,672
2022-11-22$13.94$15.0045.8%13.1%33.8%5.0%45.0%6.3%-0.6%-7.8M332.3M-6.2M1.022.9262,94864,448862,7242,439,231
2022-11-23$14.40$15.0044.1%12.8%35.1%0.2%40.1%7.0%-0.2%-4.9M243.7M-6.5M0.912.4457,52752,069875,0182,450,204
2022-11-25$14.66$15.0045.1%13.2%35.6%2.6%43.3%6.7%-0.6%-5.1M193.0M-6.4M0.432.5238,05816,503888,6162,467,736
2022-11-28$13.88$15.0047.0%14.2%40.9%6.8%49.3%7.4%0.4%-8.4M373.2M-6.3M0.872.4848,89542,732856,3442,447,546
2022-11-29$14.13$15.0046.4%13.9%41.1%5.3%48.5%6.0%0.3%-7.0M311.2M-6.3M0.932.7734,38331,852878,9442,460,460
2022-11-30$14.36$15.0043.1%12.9%41.4%0.0%46.7%6.2%0.3%-4.8M275.1M-6.4M0.872.1826,92323,530892,3882,475,230