AAL Options History — May 2023 In May 2023, AAL traded between $13.50 and $15.04. ATM implied volatility averaged 39.1%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 2.2% (HV 20d: 41.4%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.07.
Notable Days 2023-05-08 : Highest Volume — 141,709 contracts2023-05-05 : Largest IV drop — 10.1% change2023-05-04 : Highest IV Rank — 13.0%2023-05-04 : Largest Expected Move — 12.7%Monthly Statistics Metric Avg Min Max Open Close Price $14.26 $13.50 $15.04 $13.91 $14.80 Max Pain $14.86 $14.00 $15.00 $14.00 $15.00 ATM IV 39.1% 36.1% 41.9% 36.1% 37.8% Expected Move 11.6% 10.4% 12.7% 10.4% 11.3% HV 20d 41.4% 35.4% 52.0% 49.8% 35.4% HV 60d 40.2% 38.9% 41.5% 38.9% 41.5% IV Rank 6.7% 0.0% 13.0% 0.0% 3.7% IV Percentile 9.0% 0.0% 17.5% 0.0% 4.8% Term Structure 0.5% -1.4% 3.1% 0.9% -0.5% VWIV 41.1% 36.9% 45.2% 39.3% 42.3% Skew 25d 5.5% 4.0% 7.1% 4.0% 6.3% Skew 10d 11.8% 8.4% 17.4% 10.0% 13.4% Call IV 25d 37.5% 35.1% 39.7% 35.1% 36.5% Put IV 25d 43.0% 39.1% 46.9% 39.1% 42.9% Bid-Ask Spread % 2.09 1.62 2.87 2.35 1.98 Gamma HHI 0.11 0.09 0.25 0.11 0.10 Net GEX -8.4M -18.7M -4.0M -8.3M -6.1M Net DEX 194.5M -54.2M 365.2M 263.0M 105.8M Net VEX -6.5M -6.8M -6.3M -6.6M -6.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.07 0.50 1.91 1.45 0.60 Total Volume 83,590.273 40,952 141,709 129,731 112,843 Total OI 3,122,935.682 2,875,392 3,261,988 3,117,053 2,997,004
Daily Data (22 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 2023-05-01 $13.91 $14.00 36.1% 10.4% 49.8% 0.0% 39.3% 4.0% 0.9% -8.3M 263.0M -6.6M 1.45 2.35 52,969 76,762 818,848 2,298,205 2023-05-02 $13.77 $14.00 38.6% 11.2% 49.5% 5.6% 41.0% 6.1% 0.1% -8.2M 298.7M -6.6M 1.23 2.22 19,782 24,400 829,586 2,316,327 2023-05-03 $13.80 $14.00 39.1% 11.5% 49.1% 6.6% 41.3% 5.5% 0.3% -7.9M 289.7M -6.7M 1.39 2.87 25,517 35,383 834,551 2,325,298 2023-05-04 $13.50 $15.00 41.9% 12.7% 49.4% 13.0% 45.2% 7.1% 1.0% -10.2M 365.2M -6.6M 1.70 2.46 36,664 62,191 837,355 2,338,628 2023-05-05 $13.86 $15.00 37.7% 11.6% 50.3% 3.6% 42.9% 5.3% 1.0% -9.4M 264.2M -6.5M 1.36 2.12 49,776 67,796 845,164 2,370,536 2023-05-08 $14.39 $15.00 39.2% 12.1% 52.0% 7.0% 41.1% 4.8% 2.7% -7.1M 144.8M -6.6M 0.62 2.24 87,541 54,168 829,772 2,313,323 2023-05-09 $14.48 $15.00 39.2% 12.2% 51.7% 6.9% 40.8% 5.4% 3.1% -6.4M 127.6M -6.6M 0.87 1.90 51,708 45,150 847,856 2,315,123 2023-05-10 $14.34 $15.00 38.7% 11.9% 35.7% 5.7% 40.9% 4.5% 2.8% -7.8M 177.8M -6.8M 0.88 1.62 41,097 36,324 863,890 2,346,758 2023-05-11 $14.07 $15.00 40.2% 12.0% 36.6% 9.2% 41.9% 4.7% 1.8% -10.7M 259.2M -6.8M 1.29 1.76 32,733 42,375 871,023 2,361,427 2023-05-12 $14.00 $15.00 40.4% 12.1% 36.2% 9.7% 42.3% 5.7% 2.4% -18.7M 289.8M -6.8M 0.69 1.86 32,832 22,806 876,213 2,385,775 2023-05-15 $14.23 $15.00 40.3% 11.7% 36.1% 9.3% 40.8% 5.5% -0.6% -8.5M 213.4M -6.6M 1.47 1.84 22,683 33,431 858,376 2,349,705 2023-05-16 $14.21 $15.00 41.5% 12.0% 35.8% 12.1% 41.2% 5.6% -1.4% -8.6M 209.3M -6.5M 0.55 2.22 26,381 14,571 866,248 2,358,165 2023-05-17 $14.91 $15.00 39.1% 11.2% 38.5% 6.7% 40.9% 4.6% -0.7% -6.0M 2.8M -6.6M 0.62 1.95 71,338 44,239 870,407 2,362,801 2023-05-18 $15.04 $15.00 37.7% 10.8% 37.4% 3.6% 37.7% 5.0% -0.3% -8.5M -54.2M -6.4M 0.50 1.93 45,005 22,442 876,033 2,362,379 2023-05-19 $14.80 $15.00 37.3% 10.6% 38.2% 2.7% 40.2% 5.6% 0.5% -4.0M 34.2M -6.3M 0.58 2.60 37,254 21,585 882,182 2,362,214 2023-05-22 $14.38 $15.00 37.1% 10.7% 40.0% 2.1% 36.9% 5.1% 0.3% -5.9M 169.9M -6.4M 1.42 1.77 39,183 55,500 718,665 2,156,727 2023-05-23 $14.13 $15.00 39.2% 11.5% 38.1% 7.0% 40.2% 5.3% -1.0% -8.0M 248.0M -6.3M 1.55 2.16 25,770 40,061 730,917 2,193,876 2023-05-24 $13.82 $15.00 41.1% 12.1% 38.7% 11.3% 41.8% 7.0% -1.0% -9.3M 324.5M -6.4M 1.91 2.10 43,435 83,130 740,878 2,204,374 2023-05-25 $14.36 $15.00 40.1% 12.0% 40.3% 8.9% 43.2% 6.5% -0.3% -7.7M 197.2M -6.4M 1.26 2.16 40,163 50,667 752,825 2,248,022 2023-05-26 $14.34 $15.00 38.6% 11.3% 35.5% 5.7% 41.2% 6.3% -0.2% -8.9M 204.6M -6.3M 0.66 2.10 33,650 22,254 751,380 2,261,865 2023-05-30 $14.66 $15.00 39.3% 11.6% 35.6% 7.1% 41.3% 5.7% -0.5% -7.8M 142.6M -6.3M 0.90 1.85 29,133 26,294 724,910 2,248,974 2023-05-31 $14.80 $15.00 37.8% 11.3% 35.4% 3.7% 42.3% 6.3% -0.5% -6.1M 105.8M -6.3M 0.60 1.98 70,364 42,479 735,123 2,261,881
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