AAL Options History — February 2023

In February 2023, AAL traded between $15.52 and $16.99. ATM implied volatility averaged 39.5%, placing in the 4.4% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 5.1% (HV 20d: 34.4%). Max pain ranged from $15.00 to $17.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.34.

Notable Days

  • 2023-02-02: Highest Volume — 216,481 contracts
  • 2023-02-21: Largest IV spike — 7.8% change
  • 2023-02-22: Highest IV Rank — 11.5%
  • 2023-02-22: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.40$15.52$16.99$16.68$15.96
Max Pain$16.63$15.00$17.00$15.00$17.00
ATM IV39.5%36.9%42.6%38.4%40.2%
Expected Move11.5%10.6%12.4%11.8%11.6%
HV 20d34.4%26.6%48.3%48.3%29.8%
HV 60d43.4%41.9%44.9%44.9%41.9%
IV Rank4.4%0.0%11.5%1.4%6.7%
IV Percentile3.4%0.0%7.5%0.4%6.0%
Term Structure0.2%-1.2%2.4%-0.2%-0.6%
VWIV40.8%38.2%46.5%41.0%40.4%
Skew 25d5.3%4.1%6.4%5.3%6.1%
Skew 10d10.9%9.0%13.3%11.5%12.6%
Call IV 25d37.5%35.7%40.3%36.3%37.6%
Put IV 25d42.8%40.2%46.1%41.6%43.8%
Bid-Ask Spread %3.071.969.043.303.38
Gamma HHI0.090.080.120.090.08
Net GEX-2.9M-12.3M5.1M1.9M-7.0M
Net DEX-103.4M-322.4M167.0M-230.7M88.5M
Net VEX-6.1M-6.4M-5.7M-6.1M-6.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.483.870.481.48
Total Volume86,158.05325,121216,48183,97060,116
Total OI2,678,648.5792,416,5412,776,6392,686,4892,693,696

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-02-01$16.68$15.0038.4%11.8%48.3%1.4%41.0%5.3%-0.2%1.9M-230.7M-6.1M0.483.3056,61427,356680,9102,005,579
2023-02-02$16.99$16.0038.7%11.4%44.8%2.1%40.9%4.6%-0.5%5.1M-322.4M-6.0M0.812.87119,46797,014696,1862,009,642
2023-02-03$16.95$16.0037.7%11.2%44.2%0.1%39.7%5.1%0.5%3.6M-261.8M-6.3M0.492.5054,74827,085686,7042,047,877
2023-02-06$16.91$16.0038.8%11.4%44.4%2.2%40.8%5.3%0.6%985.0K-261.0M-6.0M0.802.4247,65338,186665,0032,008,528
2023-02-07$16.95$16.0037.7%11.3%43.5%0.0%40.2%4.8%1.7%1.3M-244.7M-6.1M3.872.3627,015104,583674,2792,025,330
2023-02-08$16.98$16.0038.4%11.4%42.0%1.5%39.8%4.9%1.3%2.4M-255.2M-6.2M0.932.6641,39038,342683,4212,056,491
2023-02-09$16.69$17.0040.0%11.5%42.7%4.7%40.9%5.9%0.1%-276.0K-175.2M-6.2M1.092.2425,17227,549701,5132,062,377
2023-02-10$16.26$17.0039.8%11.8%26.6%4.4%42.6%4.5%2.4%-3.8M-81.5M-6.2M1.172.2126,59631,115706,6342,070,005
2023-02-13$16.57$17.0040.4%11.6%27.4%5.5%42.5%6.2%0.8%-1.9M-155.9M-6.2M0.739.0430,14221,997679,0442,048,668
2023-02-14$16.77$17.0037.8%10.9%27.8%0.2%40.1%5.5%0.3%-97.5K-213.9M-5.9M1.211.9630,32536,732686,7242,056,796
2023-02-15$16.77$17.0036.9%10.6%26.8%0.0%38.7%4.5%0.3%-132.2K-241.2M-5.7M1.473.6710,16014,961690,1262,060,866
2023-02-16$16.38$17.0038.8%11.2%27.3%3.8%38.2%5.1%-0.8%-5.6M-126.6M-6.1M1.102.5915,53617,024692,0332,065,177
2023-02-17$16.37$17.0038.5%11.1%27.3%3.1%38.2%4.1%-0.1%-5.2M-134.9M-6.0M1.292.6935,12245,302692,4202,067,177
2023-02-21$15.77$17.0041.5%12.1%30.0%9.2%44.5%6.4%-0.7%-6.6M85.4M-6.1M2.242.8125,17656,497545,6931,870,848
2023-02-22$15.52$17.0042.6%12.4%30.2%11.5%40.0%6.2%-1.2%-9.0M148.6M-6.2M3.522.7118,53365,307553,1561,912,074
2023-02-23$15.82$17.0041.5%11.9%29.9%9.1%40.2%5.2%-0.1%-9.0M117.6M-6.1M0.483.13109,68153,139560,1451,956,853
2023-02-24$15.52$17.0042.0%12.1%30.1%10.3%46.5%5.4%-0.4%-12.3M167.0M-6.2M1.752.2551,04389,181628,3011,985,610
2023-02-27$15.66$17.0040.8%11.9%30.4%7.9%40.8%5.2%0.3%-8.8M134.1M-6.1M0.533.5139,84021,304636,8662,031,571
2023-02-28$15.96$17.0040.2%11.6%29.8%6.7%40.4%6.1%-0.6%-7.0M88.5M-6.4M1.483.3824,20535,911649,6322,044,064