AAL Options History — July 2023

In July 2023, AAL traded between $16.45 and $18.80. ATM implied volatility averaged 36.1%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 5.4% (HV 20d: 30.7%). Max pain ranged from $15.00 to $18.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.80.

Notable Days

2023-07-20: Highest Volume — 204,072 contracts
2023-07-20: Largest IV drop — 11.1% change
2023-07-12: Highest IV Rank — 18.1%
2023-07-18: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.78	$16.45	$18.80	$18.09	$16.66
Max Pain	$15.90	$15.00	$18.00	$16.00	$18.00
ATM IV	36.1%	32.7%	39.0%	36.8%	33.4%
Expected Move	10.1%	9.1%	11.1%	9.4%	9.4%
HV 20d	30.7%	23.5%	39.5%	24.2%	33.3%
HV 60d	33.3%	31.2%	38.3%	37.6%	32.1%
IV Rank	11.2%	3.2%	18.1%	12.6%	4.9%
IV Percentile	10.2%	0.8%	22.6%	7.5%	4.8%
Term Structure	-0.5%	-1.6%	0.6%	-0.5%	-0.3%
VWIV	36.1%	31.3%	40.4%	34.5%	33.1%
Skew 25d	2.0%	0.8%	3.0%	1.7%	2.7%
Skew 10d	4.5%	1.2%	7.5%	2.6%	6.5%
Call IV 25d	35.8%	31.6%	38.8%	36.4%	32.4%
Put IV 25d	37.8%	34.1%	40.8%	38.1%	35.1%
Bid-Ask Spread %	2.10	1.80	2.70	2.36	2.09
Gamma HHI	0.08	0.07	0.10	0.07	0.07
Net GEX	2.5M	-8.8M	8.8M	5.3M	-6.1M
Net DEX	-308.7M	-546.0M	73.5M	-434.0M	18.9M
Net VEX	-5.4M	-5.8M	-5.0M	-5.5M	-5.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.32	1.88	0.84	0.32
Total Volume	88,303.5	34,706	204,072	58,165	52,240
Total OI	2,708,417	2,612,284	2,817,145	2,612,284	2,719,399

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
2023-07-03	$18.09	$16.00	36.8%	9.4%	24.2%	12.6%	34.5%	1.7%	-0.5%	5.3M	-434.0M	-5.5M	0.84	2.36	31,694	26,471	635,833	1,976,451
2023-07-05	$18.34	$16.00	37.3%	9.9%	23.5%	13.7%	34.9%	1.1%	-0.9%	6.4M	-485.3M	-5.3M	0.73	2.70	46,751	34,205	648,756	1,981,146
2023-07-06	$17.88	$15.00	37.9%	10.5%	26.8%	15.5%	37.4%	1.6%	-0.7%	5.6M	-402.2M	-5.5M	1.18	2.15	36,756	43,491	666,770	1,990,085
2023-07-07	$18.36	$15.00	37.6%	10.5%	27.4%	14.8%	37.7%	0.8%	-0.8%	7.1M	-470.4M	-5.8M	0.99	2.38	44,482	44,191	675,788	2,001,302
2023-07-10	$18.56	$15.00	38.5%	10.6%	27.4%	17.0%	38.1%	1.8%	-1.6%	6.2M	-491.5M	-5.4M	1.12	2.15	44,489	49,964	658,372	1,990,011
2023-07-11	$18.80	$15.00	38.3%	10.8%	27.0%	16.4%	38.9%	2.0%	-0.5%	7.8M	-546.0M	-5.3M	0.49	1.97	42,872	20,914	681,652	2,019,864
2023-07-12	$18.59	$15.00	39.0%	10.8%	27.2%	18.1%	38.7%	2.0%	-1.5%	7.1M	-488.7M	-5.6M	0.69	2.06	60,777	42,164	684,952	2,031,768
2023-07-13	$18.45	$15.00	37.4%	10.7%	27.5%	14.2%	36.7%	2.6%	0.5%	7.3M	-454.9M	-5.6M	0.39	1.87	71,597	27,806	702,358	2,043,689
2023-07-14	$18.16	$15.00	37.4%	10.5%	28.2%	14.2%	40.4%	2.9%	-0.7%	5.1M	-397.1M	-5.6M	0.58	2.02	46,060	26,575	719,023	2,049,983
2023-07-17	$18.18	$15.00	38.8%	11.1%	28.2%	17.5%	39.0%	1.4%	-1.1%	6.1M	-419.1M	-5.2M	0.59	1.85	21,859	12,847	681,198	2,000,981
2023-07-18	$18.66	$15.00	38.9%	11.1%	28.8%	17.7%	39.3%	1.7%	-0.6%	8.3M	-506.2M	-5.3M	0.96	2.18	33,850	32,350	689,729	2,006,744
2023-07-19	$18.59	$15.00	38.0%	10.9%	28.5%	15.8%	39.6%	1.9%	-0.4%	8.8M	-507.4M	-5.1M	0.83	2.06	48,744	40,674	696,142	2,021,986
2023-07-20	$17.45	$16.00	33.8%	9.7%	37.7%	6.0%	34.3%	1.1%	-0.7%	2.8M	-283.8M	-5.0M	0.50	1.80	136,224	67,848	709,037	2,036,459
2023-07-21	$17.39	$16.00	32.9%	9.5%	37.8%	3.7%	33.6%	1.4%	-0.8%	360.5K	-242.7M	-5.4M	0.74	1.83	56,250	41,639	753,757	2,063,388
2023-07-24	$16.91	$16.00	32.9%	9.4%	39.2%	3.7%	34.3%	2.6%	0.6%	-3.0M	-113.7M	-5.2M	0.81	2.13	63,869	51,973	644,707	1,988,107
2023-07-25	$16.66	$16.00	33.7%	9.7%	39.5%	5.5%	33.5%	3.0%	-0.0%	-3.0M	-77.2M	-5.2M	1.88	1.97	66,817	125,726	660,071	2,005,049
2023-07-26	$16.73	$18.00	32.8%	9.4%	33.5%	3.6%	32.6%	2.7%	0.4%	-7.2M	31.7M	-5.7M	0.78	2.04	28,304	22,032	675,482	2,085,908
2023-07-27	$16.45	$18.00	34.0%	9.6%	33.6%	6.3%	34.5%	2.7%	-0.0%	-8.8M	73.5M	-5.4M	1.20	2.22	31,603	37,904	679,606	2,092,703
2023-07-28	$16.73	$18.00	32.7%	9.1%	34.3%	3.2%	31.3%	2.5%	0.3%	-6.5M	21.4M	-5.5M	0.41	2.23	37,049	15,009	682,514	2,117,570
2023-07-31	$16.66	$18.00	33.4%	9.4%	33.3%	4.9%	33.1%	2.7%	-0.3%	-6.1M	18.9M	-5.5M	0.32	2.09	39,684	12,556	639,499	2,079,900