AAL Options History — September 2023

In September 2023, AAL traded between $12.59 and $14.70. ATM implied volatility averaged 35.7%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 11.4% (HV 20d: 24.3%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.87.

Notable Days

  • 2023-09-13: Highest Volume — 279,783 contracts
  • 2023-09-26: Largest IV spike — 9.3% change
  • 2023-09-27: Highest IV Rank — 37.2%
  • 2023-09-27: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.44$12.59$14.70$14.70$12.80
Max Pain$14.78$14.00$15.00$15.00$14.00
ATM IV35.7%28.9%45.6%28.9%44.8%
Expected Move10.6%7.5%12.9%7.5%12.4%
HV 20d24.3%18.9%28.3%19.3%28.2%
HV 60d28.3%26.6%30.3%28.2%27.0%
IV Rank15.4%0.4%37.2%0.4%35.5%
IV Percentile23.2%0.4%60.3%0.4%58.3%
Term Structure1.1%-1.5%3.1%0.4%-1.4%
VWIV36.5%25.4%43.8%25.4%43.3%
Skew 25d4.2%2.4%6.2%4.4%6.2%
Skew 10d9.6%7.2%13.4%8.5%13.4%
Call IV 25d34.3%26.5%43.8%26.5%43.8%
Put IV 25d38.5%30.9%50.0%30.9%50.0%
Bid-Ask Spread %2.021.432.322.092.19
Gamma HHI0.170.120.220.120.15
Net GEX-15.5M-20.2M-11.7M-13.0M-13.2M
Net DEX478.0M294.7M595.8M294.7M551.5M
Net VEX-6.1M-7.1M-5.4M-5.7M-7.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.870.426.751.701.81
Total Volume107,10151,719279,78387,47387,595
Total OI2,893,250.952,714,2853,179,4552,744,6393,179,455

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-09-01$14.70$15.0028.9%7.5%19.3%0.4%25.4%4.4%0.4%-13.0M294.7M-5.7M1.702.0932,36455,109597,2032,147,436
2023-09-05$14.32$15.0030.2%10.2%19.9%3.3%34.8%4.6%2.7%-15.2M358.3M-5.7M1.432.0536,58752,209589,6712,166,507
2023-09-06$14.36$15.0029.6%10.1%18.9%2.1%34.5%3.7%3.0%-16.2M339.2M-5.6M1.551.6232,33850,135599,7572,193,407
2023-09-07$14.00$15.0031.4%10.3%19.1%6.1%37.8%3.7%2.6%-17.7M438.7M-5.8M1.962.1631,74662,340608,2482,199,974
2023-09-08$13.98$15.0030.0%9.8%19.2%2.9%34.0%3.6%3.1%-20.2M434.1M-5.7M1.362.1124,39833,301621,4942,204,176
2023-09-11$14.07$15.0030.5%9.5%19.7%3.9%34.9%3.4%1.8%-17.4M401.0M-5.7M0.921.4333,39430,763609,3072,204,331
2023-09-12$14.13$15.0031.6%9.9%19.0%6.3%34.8%3.2%2.4%-16.9M388.5M-5.7M1.491.9120,78230,937623,2782,217,733
2023-09-13$13.27$15.0032.4%10.2%27.5%8.2%34.8%3.4%3.0%-16.2M547.9M-5.4M1.941.8095,250184,533629,6172,221,264
2023-09-14$13.25$15.0032.2%9.6%27.6%7.7%32.7%4.1%1.3%-16.4M543.0M-5.8M2.851.9039,643113,015671,9382,280,511
2023-09-15$13.27$15.0032.2%9.8%27.1%7.6%34.2%3.0%2.6%-14.8M525.5M-6.0M2.821.9022,57963,643697,7212,334,444
2023-09-18$13.11$15.0034.0%9.8%27.1%11.8%33.7%3.9%2.0%-15.7M511.8M-6.0M0.772.0947,24136,392561,9622,152,323
2023-09-19$13.21$15.0035.1%10.1%27.1%14.1%34.9%2.4%2.0%-14.4M483.1M-6.1M0.872.2439,95834,842590,3702,197,383
2023-09-20$13.11$15.0036.0%10.3%26.6%16.1%35.9%3.6%0.8%-14.0M497.2M-6.2M1.532.1832,51249,585605,9532,219,566
2023-09-21$13.07$15.0038.8%11.1%26.6%22.3%38.6%4.4%0.6%-14.8M511.2M-6.4M6.751.9524,101162,613616,8602,251,418
2023-09-22$12.95$15.0039.7%11.3%26.5%24.2%38.2%5.5%0.3%-18.0M542.7M-6.5M0.932.3256,54852,374624,9132,339,747
2023-09-25$12.89$14.5041.4%11.7%26.5%28.1%39.5%5.3%-0.6%-14.5M532.1M-6.5M0.421.9749,40920,575631,0052,327,272
2023-09-26$12.71$14.0045.3%12.8%26.2%36.6%41.9%5.5%-1.3%-14.1M553.6M-6.7M2.972.1725,10074,560655,8692,334,698
2023-09-27$12.59$14.0045.6%12.9%24.9%37.2%43.8%5.8%-1.2%-15.3M595.8M-6.7M1.362.0869,15093,759664,7812,378,282
2023-09-28$12.96$14.0044.2%12.4%28.3%34.3%42.8%4.4%-1.5%-11.7M509.4M-6.9M1.992.2347,05593,585703,7382,411,407
2023-09-29$12.80$14.0044.8%12.4%28.2%35.5%43.3%6.2%-1.4%-13.2M551.5M-7.1M1.812.1931,20156,394711,0062,468,449