AAL Options History — December 2023

In December 2023, AAL traded between $13.02 and $14.54. ATM implied volatility averaged 37.9%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 7.0% (HV 20d: 30.9%). Max pain ranged from $12.00 to $14.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.79.

Notable Days

  • 2023-12-04: Highest Volume — 185,470 contracts
  • 2023-12-26: Largest IV spike — 9.1% change
  • 2023-12-26: Highest IV Rank — 57.4%
  • 2023-12-26: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.92$13.02$14.54$13.02$13.75
Max Pain$13.40$12.00$14.00$12.00$14.00
ATM IV37.9%32.8%43.3%32.8%42.2%
Expected Move10.9%10.1%11.5%10.1%11.1%
HV 20d30.9%28.5%37.5%37.5%31.5%
HV 60d36.3%34.7%37.4%36.7%34.7%
IV Rank35.9%15.9%57.4%15.9%53.1%
IV Percentile42.4%9.1%73.4%9.1%69.0%
Term Structure1.1%-1.5%3.8%0.4%-0.6%
VWIV38.6%35.7%41.7%35.7%38.9%
Skew 25d1.6%0.4%3.2%2.4%1.6%
Skew 10d3.7%1.3%6.6%6.4%4.8%
Call IV 25d37.8%32.5%43.9%32.5%42.4%
Put IV 25d39.5%34.8%45.4%34.9%44.1%
Bid-Ask Spread %11.451.6328.5810.4420.50
Gamma HHI0.110.100.170.170.12
Net GEX-5.1M-10.5M3.5M369.5K-10.5M
Net DEX60.2M-155.4M220.5M211.9M197.8M
Net VEX-6.9M-7.2M-6.6M-7.1M-6.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.261.840.840.99
Total Volume74,924.2533,547185,470159,54152,011
Total OI3,699,439.33,587,2613,829,6863,688,7563,643,623

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-12-01$13.02$12.0032.8%10.1%37.5%15.9%35.7%2.4%0.4%369.5K211.9M-7.1M0.8410.4486,85172,690813,9612,874,795
2023-12-04$13.30$13.0034.9%11.1%32.8%24.1%39.0%3.2%2.3%-8.4M171.0M-7.0M1.582.2371,957113,513789,3162,878,872
2023-12-05$13.11$13.0035.4%11.0%30.4%26.4%38.3%2.7%2.2%-9.2M220.5M-7.1M0.897.0929,50626,338805,9192,940,697
2023-12-06$13.45$13.0035.4%11.1%31.2%26.3%38.9%1.0%2.5%-5.7M133.4M-7.2M0.367.1966,63624,024813,7922,952,298
2023-12-07$13.89$13.0035.8%10.8%32.1%27.9%38.5%0.7%1.9%-3.4M18.9M-7.2M0.637.2846,69329,213815,1612,961,872
2023-12-08$13.75$13.0035.0%10.5%30.8%24.5%37.3%0.9%3.0%-6.1M41.7M-7.2M0.5611.4258,89232,899823,9712,971,413
2023-12-11$13.68$13.0036.2%10.6%31.1%29.5%38.1%2.1%0.3%-6.3M80.8M-7.2M0.721.8624,17917,503818,5902,941,931
2023-12-12$14.00$13.0036.3%10.5%31.5%29.7%37.2%0.7%-0.4%-4.5M-4.4M-7.0M0.432.3554,34023,132817,3772,951,950
2023-12-13$14.14$13.0036.6%10.5%29.4%30.9%38.1%2.5%0.1%-3.2M-35.0M-7.0M0.491.6344,08821,395842,0422,957,316
2023-12-14$14.54$13.0037.0%10.5%30.2%32.7%37.9%1.4%-0.3%878.3K-155.4M-6.7M0.267.4989,16322,864843,1942,967,117
2023-12-15$14.50$13.0037.0%10.9%28.5%32.6%37.8%0.4%1.4%3.5M-151.0M-6.8M1.4712.5634,51850,657852,6312,977,055
2023-12-18$14.23$14.0037.4%10.7%30.1%33.9%37.7%2.3%2.2%-5.6M24.4M-6.7M0.6428.5842,87227,531740,9302,846,331
2023-12-19$14.30$14.0037.5%10.8%30.0%34.3%38.5%1.9%2.4%-4.1M16.3M-6.9M0.6125.4923,62614,457754,2482,852,483
2023-12-20$14.04$14.0038.8%11.1%29.3%39.5%39.8%1.3%2.8%-6.6M88.6M-6.9M0.7816.5733,24926,036754,5232,856,947
2023-12-21$14.32$14.0039.8%11.3%29.6%43.5%39.7%1.6%2.7%-3.2M21.2M-6.8M0.4122.8843,67917,700767,1892,856,330
2023-12-22$14.34$14.0039.7%11.0%29.7%43.2%39.0%1.7%3.8%-5.5M-845.7K-6.6M1.2616.8118,56723,374774,4592,859,701
2023-12-26$14.11$14.0043.3%11.5%30.1%57.4%41.7%1.6%-1.0%-6.9M72.1M-6.7M1.8410.0120,11936,994749,0382,855,210
2023-12-27$13.98$14.0043.0%11.2%30.5%56.2%39.9%1.4%-1.3%-8.4M127.5M-6.8M0.486.8629,60214,070756,1582,874,252
2023-12-28$13.96$14.0043.1%11.0%30.7%56.4%39.9%1.7%-1.5%-9.2M124.0M-6.6M0.599.8021,15012,397755,7352,880,359
2023-12-29$13.75$14.0042.2%11.1%31.5%53.1%38.9%1.6%-0.6%-10.5M197.8M-6.7M0.9920.5026,08625,925757,7552,885,868