AAL Options History — June 2023

In June 2023, AAL traded between $14.71 and $17.95. ATM implied volatility averaged 34.4%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 6.3% (HV 20d: 28.1%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.06.

Notable Days

2023-06-27: Highest Volume — 189,410 contracts
2023-06-16: Largest IV drop — 6.1% change
2023-06-29: Highest IV Rank — 15.8%
2023-06-01: Largest Expected Move — 11.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.17	$14.71	$17.95	$14.71	$17.95
Max Pain	$15.36	$15.00	$16.00	$15.00	$16.00
ATM IV	34.4%	31.3%	38.2%	37.1%	36.9%
Expected Move	10.0%	9.2%	11.0%	11.0%	9.5%
HV 20d	28.1%	17.7%	35.5%	35.5%	24.2%
HV 60d	38.4%	36.6%	41.3%	41.3%	37.8%
IV Rank	5.4%	0.0%	15.8%	2.2%	12.8%
IV Percentile	2.9%	0.0%	13.5%	1.6%	7.5%
Term Structure	1.1%	-1.6%	4.1%	-0.5%	-0.8%
VWIV	35.6%	32.3%	40.7%	38.5%	34.0%
Skew 25d	2.9%	1.5%	5.4%	5.4%	1.7%
Skew 10d	6.5%	3.4%	10.9%	10.9%	4.2%
Call IV 25d	33.9%	31.0%	38.2%	35.0%	37.0%
Put IV 25d	36.8%	33.9%	40.4%	40.4%	38.7%
Bid-Ask Spread %	2.51	1.78	3.98	2.03	2.37
Gamma HHI	0.09	0.08	0.13	0.09	0.13
Net GEX	-412.3K	-7.0M	8.7M	-5.6M	8.7M
Net DEX	-149.9M	-429.9M	142.3M	142.3M	-429.9M
Net VEX	-5.9M	-6.4M	-5.6M	-6.4M	-5.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.06	0.41	2.97	0.63	0.83
Total Volume	86,059	34,301	189,410	46,546	53,861
Total OI	2,839,364.476	2,457,703	3,132,188	3,014,352	2,642,473

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
2023-06-01	$14.71	$15.00	37.1%	11.0%	35.5%	2.2%	38.5%	5.4%	-0.5%	-5.6M	142.3M	-6.4M	0.63	2.03	28,606	17,940	743,262	2,271,090
2023-06-02	$14.89	$15.00	35.1%	10.6%	34.4%	0.0%	37.7%	4.3%	-0.5%	-5.3M	83.1M	-6.3M	0.59	1.78	61,863	36,305	745,595	2,278,457
2023-06-05	$14.79	$15.00	34.2%	10.7%	33.7%	0.0%	40.7%	4.5%	1.1%	-7.0M	124.8M	-6.2M	1.50	3.34	22,764	34,104	735,220	2,256,841
2023-06-06	$14.93	$15.00	32.9%	10.5%	31.2%	0.0%	36.8%	3.5%	1.8%	-6.0M	81.8M	-6.2M	1.58	2.21	22,542	35,686	741,309	2,267,274
2023-06-07	$15.16	$15.00	33.1%	10.6%	31.6%	0.5%	37.2%	3.6%	1.7%	-4.9M	23.9M	-6.0M	0.89	1.95	47,327	41,947	749,239	2,290,123
2023-06-08	$15.27	$15.00	31.3%	10.3%	31.3%	0.0%	34.7%	2.9%	1.7%	-4.8M	-10.7M	-6.0M	0.49	2.15	69,344	33,878	757,839	2,310,715
2023-06-09	$15.61	$15.00	33.0%	10.1%	30.8%	3.4%	36.1%	3.5%	0.4%	-1.2M	-129.8M	-5.9M	0.41	2.36	60,846	25,137	772,014	2,316,578
2023-06-12	$16.02	$15.00	34.5%	10.5%	31.4%	6.4%	38.6%	3.1%	2.1%	-1.1M	-211.7M	-5.9M	0.61	2.56	70,504	43,259	754,769	2,288,843
2023-06-13	$16.30	$15.00	34.0%	10.4%	31.5%	5.5%	36.4%	2.9%	2.1%	886.3K	-266.7M	-5.9M	1.06	3.23	51,072	54,303	764,040	2,300,553
2023-06-14	$16.59	$15.00	35.0%	10.3%	31.5%	7.6%	37.4%	2.5%	1.0%	953.7K	-318.2M	-5.9M	0.52	3.08	68,956	35,598	760,940	2,324,317
2023-06-15	$16.61	$15.00	34.8%	9.9%	27.7%	7.1%	37.6%	2.2%	-0.2%	1.6M	-333.0M	-5.8M	1.26	2.79	32,897	41,527	779,365	2,341,019
2023-06-16	$16.48	$15.00	32.7%	9.8%	28.1%	2.8%	34.3%	2.2%	2.3%	2.9M	-290.5M	-5.8M	0.47	2.19	33,409	15,845	777,587	2,354,601
2023-06-20	$16.34	$15.00	32.7%	9.4%	27.5%	2.8%	33.5%	1.6%	3.7%	-407.6K	-128.9M	-5.6M	2.97	2.36	25,202	74,890	559,670	1,898,033
2023-06-21	$16.32	$15.50	32.4%	9.3%	24.6%	2.6%	33.1%	2.3%	3.2%	-532.1K	-106.2M	-5.9M	1.38	2.52	23,407	32,294	569,484	1,926,625
2023-06-22	$16.34	$16.00	32.8%	9.2%	23.0%	3.5%	33.3%	2.4%	3.1%	-294.9K	-106.3M	-5.8M	0.69	2.38	20,322	13,979	579,141	1,947,422
2023-06-23	$16.23	$16.00	33.8%	9.3%	21.0%	5.7%	32.3%	2.7%	4.1%	-1.9M	-82.3M	-6.0M	1.40	2.72	33,859	47,486	581,810	1,949,158
2023-06-26	$16.41	$16.00	34.8%	9.2%	17.7%	8.2%	33.1%	2.7%	-1.6%	73.1K	-120.4M	-5.9M	0.71	2.27	36,817	26,146	578,500	1,936,843
2023-06-27	$17.38	$16.00	36.3%	9.2%	25.0%	11.5%	32.9%	2.2%	-0.9%	4.3M	-332.8M	-5.6M	0.75	3.98	107,964	81,446	599,204	1,941,212
2023-06-28	$17.55	$16.00	37.7%	9.9%	24.6%	14.7%	34.9%	2.3%	-0.8%	5.2M	-352.2M	-5.9M	1.59	2.20	47,806	75,797	629,607	1,971,005
2023-06-29	$17.61	$16.00	38.2%	9.8%	24.6%	15.8%	34.6%	1.5%	-0.8%	5.8M	-383.7M	-5.7M	1.85	2.26	42,217	78,087	646,128	1,988,749
2023-06-30	$17.95	$16.00	36.9%	9.5%	24.2%	12.8%	34.0%	1.7%	-0.8%	8.7M	-429.9M	-5.9M	0.83	2.37	29,429	24,432	654,822	1,987,651