AAL Options History — November 2023

In November 2023, AAL traded between $11.11 and $12.46. ATM implied volatility averaged 35.7%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 2.7% (HV 20d: 38.3%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.35.

Notable Days

  • 2023-11-22: Highest Volume — 172,739 contracts
  • 2023-11-20: Largest IV drop — 8.4% change
  • 2023-11-01: Highest IV Rank — 42.6%
  • 2023-11-01: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.03$11.11$12.46$11.11$12.39
Max Pain$12.88$12.00$13.00$12.50$12.00
ATM IV35.7%32.8%39.6%39.6%32.8%
Expected Move10.6%9.8%11.7%11.7%10.1%
HV 20d38.3%34.5%43.7%36.0%34.5%
HV 60d34.3%30.1%35.6%30.1%35.4%
IV Rank27.2%15.9%42.6%42.6%15.9%
IV Percentile23.4%8.7%44.8%44.8%8.7%
Term Structure-0.0%-1.9%2.4%0.2%-0.2%
VWIV37.5%34.0%42.2%39.9%36.0%
Skew 25d4.4%2.5%7.7%7.7%2.5%
Skew 10d9.8%4.5%15.7%14.9%6.7%
Call IV 25d34.4%31.9%36.9%36.9%32.9%
Put IV 25d38.8%35.3%44.6%44.6%35.3%
Bid-Ask Spread %10.141.6135.042.432.03
Gamma HHI0.150.130.160.160.13
Net GEX-15.3M-18.5M-11.6M-18.3M-12.8M
Net DEX498.2M359.0M720.3M720.3M398.4M
Net VEX-7.2M-7.4M-6.9M-7.0M-7.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.452.921.861.90
Total Volume93,130.66727,166172,73961,90774,795
Total OI3,555,390.2383,403,2943,695,8093,403,2943,657,446

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-11-01$11.11$12.5039.6%11.7%36.0%42.6%39.9%7.7%0.2%-18.3M720.3M-7.0M1.862.4321,61940,288763,5092,639,785
2023-11-02$11.36$13.0037.1%11.7%37.2%32.9%39.1%6.5%-0.4%-17.2M658.7M-7.0M1.491.7334,78351,712768,6412,646,179
2023-11-03$12.04$13.0036.0%11.1%43.7%28.7%39.3%5.1%0.8%-13.5M494.8M-7.3M0.451.9398,73344,254776,0652,684,786
2023-11-06$11.64$13.0037.6%10.6%41.8%34.8%37.1%7.1%-0.6%-18.2M619.3M-7.2M1.252.2057,61971,762777,2692,693,811
2023-11-07$11.77$13.0034.9%10.7%41.9%24.4%37.4%6.0%2.4%-17.1M563.7M-7.2M1.112.5028,95232,181799,9572,728,648
2023-11-08$12.02$13.0035.3%10.6%42.4%25.9%37.8%3.7%1.6%-15.0M510.6M-7.3M0.791.6179,47062,938805,7522,752,379
2023-11-09$11.75$13.0037.7%10.7%41.5%35.3%40.2%6.2%-0.4%-17.4M573.3M-7.4M0.902.4235,38532,011833,1382,791,854
2023-11-10$11.80$13.0036.2%10.8%40.2%29.5%38.1%4.5%2.1%-18.3M566.1M-7.3M0.851.9532,21927,540841,1302,793,432
2023-11-13$11.79$13.0036.5%10.6%39.6%30.4%42.2%3.8%-0.6%-18.5M566.2M-7.3M1.2114.3626,78132,356827,4442,782,851
2023-11-14$12.25$13.0036.7%10.6%41.9%31.4%35.6%5.1%-0.8%-14.6M418.9M-7.1M1.0114.4355,82056,170837,8952,793,244
2023-11-15$12.46$13.0038.1%10.9%37.7%36.7%37.6%3.6%-1.9%-11.6M359.0M-7.2M0.862.0460,26052,084847,1682,793,527
2023-11-16$12.20$13.0037.5%10.8%38.8%34.3%39.3%3.6%-0.6%-14.4M427.8M-7.2M2.2719.9928,81265,282867,9392,782,498
2023-11-17$12.25$13.0036.5%10.5%36.5%30.5%36.4%3.8%-0.8%-13.3M438.5M-7.3M1.802.2128,94452,194876,0582,819,751
2023-11-20$12.43$13.0033.4%9.8%36.2%18.5%34.0%3.4%-0.5%-12.4M414.4M-7.2M0.9334.4845,26241,973726,7562,697,258
2023-11-21$12.14$13.0033.5%9.8%37.0%18.9%34.3%3.7%-0.4%-14.6M460.2M-6.9M2.9235.0427,83481,146745,2662,712,110
2023-11-22$12.29$13.0033.8%10.1%36.8%20.0%37.3%3.6%-0.0%-12.5M432.5M-7.1M1.0718.4483,49089,249756,1412,734,299
2023-11-24$12.32$13.0033.7%10.0%36.8%19.4%35.8%2.9%-0.5%-15.1M446.2M-7.0M0.7418.2715,61711,549790,2752,792,225
2023-11-27$12.18$13.0034.6%10.4%35.7%23.0%37.8%3.5%-0.1%-16.0M470.4M-7.1M1.7518.2831,65455,395758,9692,760,663
2023-11-28$12.16$13.0033.7%10.3%34.8%19.7%36.3%4.0%0.2%-15.5M486.9M-7.0M1.6714.6442,00069,960778,8592,787,164
2023-11-29$12.25$12.0033.6%10.3%34.5%19.3%36.3%2.5%0.1%-14.3M435.6M-7.1M1.571.8629,45046,201805,5482,835,506
2023-11-30$12.39$12.0032.8%10.1%34.5%15.9%36.0%2.5%-0.2%-12.8M398.4M-7.1M1.902.0325,83048,965807,8262,849,620