AAL Options History — January 2023

In January 2023, AAL traded between $12.68 and $17.04. ATM implied volatility averaged 47.3%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded below realized volatility by 1.3% (HV 20d: 48.6%). Max pain ranged from $13.00 to $15.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.24.

Notable Days

2023-01-12: Highest Volume — 465,621 contracts
2023-01-26: Largest IV drop — 13.1% change
2023-01-03: Highest IV Rank — 26.3%
2023-01-03: Largest Expected Move — 15.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.67	$12.68	$17.04	$12.68	$16.05
Max Pain	$14.25	$13.00	$15.00	$15.00	$15.00
ATM IV	47.3%	37.7%	53.8%	53.8%	39.1%
Expected Move	13.7%	11.1%	15.5%	15.5%	12.0%
HV 20d	48.6%	42.6%	52.6%	42.6%	47.7%
HV 60d	43.4%	39.7%	45.6%	39.7%	44.3%
IV Rank	13.3%	0.0%	26.3%	26.3%	2.9%
IV Percentile	14.1%	0.0%	40.1%	40.1%	0.8%
Term Structure	-0.7%	-2.2%	0.4%	0.1%	-0.4%
VWIV	49.0%	39.6%	54.4%	53.5%	41.8%
Skew 25d	6.1%	4.5%	8.2%	7.6%	4.8%
Skew 10d	12.5%	8.5%	16.8%	15.9%	9.1%
Call IV 25d	45.2%	36.4%	50.5%	50.5%	37.4%
Put IV 25d	51.3%	40.9%	58.1%	58.1%	42.2%
Bid-Ask Spread %	2.82	1.80	7.29	5.35	2.74
Gamma HHI	0.10	0.07	0.19	0.19	0.08
Net GEX	-1.2M	-10.2M	7.4M	-10.2M	-2.1M
Net DEX	-165.0M	-610.1M	425.6M	425.6M	-95.5M
Net VEX	-6.0M	-6.2M	-5.8M	-6.0M	-6.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.24	0.56	3.02	0.82	2.55
Total Volume	171,848.4	63,648	465,621	91,117	113,124
Total OI	3,195,625.75	2,475,955	3,649,911	3,354,917	2,646,667

Daily Data (20 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
2023-01-03	$12.68	$15.00	53.8%	15.5%	42.6%	26.3%	53.5%	7.6%	0.1%	-10.2M	425.6M	-6.0M	0.82	5.35	50,081	41,036	945,860	2,409,057
2023-01-04	$13.50	$15.00	51.3%	15.3%	48.7%	20.7%	54.4%	5.9%	-1.2%	-5.2M	232.0M	-6.1M	0.58	2.40	105,166	61,297	964,107	2,432,460
2023-01-05	$13.98	$13.00	51.2%	14.5%	50.1%	20.3%	53.2%	6.0%	-0.4%	-2.9M	116.7M	-6.2M	0.84	2.12	73,737	61,826	988,368	2,446,147
2023-01-06	$14.13	$13.00	49.8%	14.1%	46.7%	17.2%	48.2%	6.1%	-0.8%	-3.4M	77.2M	-6.1M	0.56	1.93	92,664	51,904	994,758	2,472,951
2023-01-09	$14.59	$13.00	49.7%	13.9%	47.9%	17.1%	49.8%	6.2%	-0.9%	-1.5M	-5.7M	-6.1M	0.72	2.06	93,816	68,016	976,054	2,464,264
2023-01-10	$15.16	$13.00	50.6%	14.3%	49.3%	19.1%	49.5%	7.1%	-0.7%	477.7K	-147.2M	-6.0M	2.89	7.29	94,208	272,438	986,355	2,491,525
2023-01-11	$15.32	$13.00	50.4%	14.6%	47.0%	18.6%	49.8%	7.3%	0.4%	-543.1K	-163.1M	-6.2M	1.14	1.80	75,026	85,538	985,860	2,510,611
2023-01-12	$16.88	$13.00	49.8%	14.2%	52.6%	17.2%	53.9%	5.9%	-0.5%	3.5M	-562.3M	-6.0M	1.30	2.10	202,103	263,518	998,205	2,523,645
2023-01-13	$17.04	$14.00	48.9%	13.7%	52.1%	15.3%	52.7%	6.3%	-1.6%	7.4M	-610.1M	-6.1M	0.86	2.67	134,996	115,656	1,038,695	2,597,918
2023-01-17	$17.02	$14.00	47.8%	13.6%	50.2%	12.7%	51.4%	8.2%	-0.5%	1.3M	-523.1M	-5.8M	1.50	2.37	45,897	68,869	996,937	2,543,011
2023-01-18	$16.68	$14.00	49.8%	14.3%	50.9%	17.2%	51.7%	6.5%	-0.9%	-911.2K	-412.4M	-6.0M	1.01	3.11	107,488	108,043	1,009,676	2,554,705
2023-01-19	$16.37	$15.00	49.9%	14.4%	50.3%	17.5%	51.1%	6.9%	-2.1%	-501.0K	-317.0M	-6.1M	1.08	2.96	59,883	64,408	1,041,128	2,608,783
2023-01-20	$16.43	$15.00	47.3%	13.8%	50.4%	11.7%	49.2%	5.5%	-2.2%	-1.4M	-326.8M	-5.9M	0.64	2.73	48,052	30,717	1,039,731	2,608,549
2023-01-23	$16.20	$15.00	46.3%	13.6%	50.4%	9.3%	48.9%	6.1%	-0.4%	-81.5K	-165.1M	-5.8M	3.02	2.78	39,413	118,925	642,053	1,833,902
2023-01-24	$16.01	$15.00	46.1%	13.8%	47.4%	8.8%	48.5%	5.3%	-0.5%	-1.2M	-112.7M	-6.0M	1.56	2.46	32,760	51,241	659,045	1,890,379
2023-01-25	$16.37	$15.00	44.9%	13.6%	47.6%	6.1%	48.9%	4.9%	-1.0%	-478.8K	-171.4M	-6.0M	1.33	2.72	80,832	107,619	672,940	1,917,211
2023-01-26	$16.56	$15.00	39.0%	11.6%	46.7%	0.0%	40.8%	4.9%	0.0%	446.6K	-235.6M	-6.0M	0.62	2.44	125,313	77,205	713,106	1,967,396
2023-01-27	$16.46	$15.00	37.7%	11.1%	45.6%	0.0%	39.6%	4.5%	0.1%	-4.1M	-205.2M	-6.2M	0.94	2.29	77,661	72,844	729,702	1,997,877
2023-01-30	$16.02	$15.00	41.5%	12.6%	47.6%	7.8%	43.7%	5.4%	-0.2%	-2.4M	-97.9M	-6.0M	0.75	2.10	36,448	27,200	657,153	1,955,724
2023-01-31	$16.05	$15.00	39.1%	12.0%	47.7%	2.9%	41.8%	4.8%	-0.4%	-2.1M	-95.5M	-6.1M	2.55	2.74	31,840	81,284	669,768	1,976,899