AAL Options History — December 2022

In December 2022, AAL traded between $12.27 and $14.29. ATM implied volatility averaged 48.1%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 5.4% (HV 20d: 42.7%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.74.

Notable Days

2022-12-13: Highest Volume — 222,323 contracts
2022-12-22: Largest IV spike — 10.7% change
2022-12-28: Highest IV Rank — 24.9%
2022-12-28: Largest Expected Move — 15.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.18	$12.27	$14.29	$14.02	$12.70
Max Pain	$15.05	$15.00	$16.00	$15.00	$15.00
ATM IV	48.1%	42.1%	53.2%	44.0%	52.5%
Expected Move	14.2%	13.0%	15.0%	13.1%	14.7%
HV 20d	42.7%	36.5%	46.4%	40.5%	42.6%
HV 60d	44.0%	39.8%	45.8%	45.8%	39.8%
IV Rank	13.3%	0.0%	24.9%	2.0%	23.4%
IV Percentile	14.0%	0.0%	35.7%	0.4%	32.1%
Term Structure	1.4%	-0.9%	3.6%	0.2%	-0.9%
VWIV	50.3%	44.0%	54.3%	46.0%	51.3%
Skew 25d	6.2%	5.1%	7.4%	6.5%	7.4%
Skew 10d	12.8%	10.4%	17.5%	13.2%	17.5%
Call IV 25d	45.8%	39.9%	51.4%	41.5%	49.6%
Put IV 25d	52.0%	46.0%	58.8%	48.0%	57.0%
Bid-Ask Spread %	2.52	1.76	6.51	2.31	5.60
Gamma HHI	0.14	0.10	0.19	0.11	0.19
Net GEX	-9.2M	-12.7M	-3.7M	-7.7M	-10.4M
Net DEX	431.3M	226.7M	582.4M	334.3M	438.2M
Net VEX	-6.2M	-6.4M	-6.0M	-6.2M	-6.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.36	1.79	0.71	0.56
Total Volume	107,888.095	62,866	222,323	78,298	78,957
Total OI	3,435,751.952	3,310,482	3,612,483	3,375,066	3,397,133

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
2022-12-01	$14.02	$15.00	44.0%	13.1%	40.5%	2.0%	46.0%	6.5%	0.2%	-7.7M	334.3M	-6.2M	0.71	2.31	45,904	32,394	896,097	2,478,969
2022-12-02	$13.93	$15.00	42.1%	13.0%	40.5%	0.0%	48.6%	6.0%	0.7%	-8.4M	369.9M	-6.2M	0.59	6.51	74,612	44,383	908,215	2,491,338
2022-12-05	$14.07	$16.00	44.9%	14.0%	39.9%	6.2%	48.6%	5.8%	1.6%	-7.2M	311.9M	-6.3M	0.39	1.93	90,678	35,509	891,709	2,486,391
2022-12-06	$14.29	$15.00	45.2%	14.5%	39.9%	6.9%	52.6%	5.6%	1.5%	-3.7M	226.7M	-6.3M	0.85	2.08	49,842	42,384	935,704	2,498,801
2022-12-07	$13.59	$15.00	48.5%	14.6%	43.7%	14.3%	53.1%	5.6%	1.8%	-8.1M	389.2M	-6.3M	0.55	2.03	97,256	53,628	950,246	2,511,642
2022-12-08	$13.57	$15.00	46.9%	14.1%	43.3%	10.7%	51.9%	6.9%	1.6%	-7.2M	408.3M	-6.3M	0.73	2.62	54,015	39,597	977,213	2,516,894
2022-12-09	$13.50	$15.00	46.4%	14.8%	36.5%	9.5%	50.0%	5.6%	2.5%	-9.3M	418.2M	-6.3M	0.81	1.87	41,040	33,377	980,912	2,524,899
2022-12-12	$14.13	$15.00	47.6%	14.3%	40.7%	12.3%	51.6%	5.7%	1.6%	-6.1M	273.7M	-6.4M	0.66	1.91	74,988	49,659	936,324	2,511,329
2022-12-13	$13.39	$15.00	48.9%	14.9%	44.6%	15.2%	51.3%	6.1%	2.8%	-10.4M	436.3M	-6.2M	0.57	2.06	141,952	80,371	959,864	2,533,678
2022-12-14	$13.30	$15.00	46.5%	14.3%	44.5%	9.7%	44.0%	6.2%	3.6%	-10.6M	442.3M	-6.2M	0.62	2.14	96,426	59,803	1,003,136	2,557,736
2022-12-15	$12.93	$15.00	48.0%	14.2%	43.7%	13.3%	50.9%	5.1%	1.9%	-12.7M	547.3M	-6.2M	0.64	1.76	69,390	44,408	1,020,484	2,567,390
2022-12-16	$12.80	$15.00	47.6%	14.2%	43.6%	12.3%	52.1%	6.0%	2.9%	-9.8M	582.4M	-6.2M	1.11	2.04	55,182	61,069	1,036,711	2,575,772
2022-12-19	$12.48	$15.00	49.4%	14.3%	44.0%	16.4%	52.2%	6.2%	1.4%	-11.6M	529.6M	-6.0M	1.79	2.43	52,708	94,475	919,853	2,390,629
2022-12-20	$12.54	$15.00	47.7%	13.7%	44.1%	12.4%	46.6%	5.6%	0.4%	-11.2M	508.7M	-6.1M	0.47	2.88	57,038	26,934	940,097	2,410,785
2022-12-21	$13.02	$15.00	46.3%	13.3%	46.4%	9.3%	47.2%	5.2%	1.1%	-6.7M	395.0M	-6.2M	0.36	1.82	72,908	26,205	964,230	2,414,285
2022-12-22	$12.50	$15.00	51.3%	14.6%	46.1%	20.5%	50.3%	6.6%	1.0%	-10.7M	505.7M	-6.2M	0.63	2.18	68,668	43,470	977,614	2,423,368
2022-12-23	$12.66	$15.00	49.7%	14.1%	45.8%	17.0%	50.5%	6.3%	1.6%	-10.2M	467.5M	-6.2M	0.69	2.55	41,020	28,304	1,004,114	2,436,805
2022-12-27	$12.52	$15.00	52.7%	14.9%	42.3%	23.8%	52.4%	7.3%	0.6%	-10.6M	499.7M	-6.1M	0.73	1.93	36,434	26,432	935,789	2,422,641
2022-12-28	$12.27	$15.00	53.2%	15.0%	41.7%	24.9%	54.3%	7.4%	0.2%	-11.8M	532.8M	-6.0M	1.43	1.85	30,137	43,160	951,646	2,423,842
2022-12-29	$12.63	$15.00	51.1%	14.3%	42.9%	20.1%	51.5%	7.1%	1.2%	-8.7M	439.3M	-6.0M	0.64	2.42	43,328	27,605	962,350	2,424,156
2022-12-30	$12.70	$15.00	52.5%	14.7%	42.6%	23.4%	51.3%	7.4%	-0.9%	-10.4M	438.2M	-6.0M	0.56	5.60	50,737	28,220	971,115	2,426,018