AAL Options History — January 2024

In January 2024, AAL traded between $12.95 and $15.36. ATM implied volatility averaged 40.6%, placing in the 46.6% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 8.1% (HV 20d: 48.7%). Max pain ranged from $13.50 to $14.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.01.

Notable Days

2024-01-25: Highest Volume — 394,977 contracts
2024-01-25: Largest IV drop — 10.7% change
2024-01-03: Highest IV Rank — 60.2%
2024-01-22: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.98	$12.95	$15.36	$13.41	$14.29
Max Pain	$13.95	$13.50	$14.00	$14.00	$14.00
ATM IV	40.6%	34.5%	44.1%	43.5%	34.8%
Expected Move	11.7%	9.9%	12.8%	11.8%	10.3%
HV 20d	48.7%	28.6%	65.3%	28.6%	65.0%
HV 60d	40.2%	34.4%	45.7%	35.1%	45.7%
IV Rank	46.6%	22.6%	60.2%	58.0%	23.8%
IV Percentile	60.4%	23.0%	79.0%	75.0%	24.6%
Term Structure	-0.4%	-2.4%	2.6%	-0.8%	2.6%
VWIV	41.4%	35.1%	45.7%	42.2%	36.8%
Skew 25d	2.1%	1.0%	3.8%	2.1%	1.0%
Skew 10d	4.1%	1.2%	8.2%	4.7%	1.8%
Call IV 25d	40.2%	34.6%	43.9%	43.4%	35.2%
Put IV 25d	42.4%	35.7%	46.6%	45.5%	36.2%
Bid-Ask Spread %	4.26	1.79	11.54	5.99	11.54
Gamma HHI	0.12	0.08	0.16	0.13	0.09
Net GEX	-7.0M	-17.5M	2.9M	-13.3M	-2.7M
Net DEX	100.9M	-268.8M	408.0M	268.2M	25.6M
Net VEX	-6.3M	-6.7M	-6.0M	-6.5M	-6.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.01	0.33	3.46	0.63	3.33
Total Volume	135,931.714	46,713	394,977	60,127	138,602
Total OI	3,540,838.286	3,032,175	3,969,286	3,613,427	3,171,674

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
2024-01-02	$13.41	$14.00	43.5%	11.8%	28.6%	58.0%	42.2%	2.1%	-0.8%	-13.3M	268.2M	-6.5M	0.63	5.99	36,926	23,201	742,653	2,870,774
2024-01-03	$12.95	$14.00	44.1%	12.0%	30.3%	60.2%	42.2%	2.0%	-0.5%	-17.5M	408.0M	-6.7M	3.46	6.83	42,376	146,486	755,506	2,880,252
2024-01-04	$13.09	$14.00	43.0%	12.2%	30.2%	56.2%	43.9%	2.8%	-1.0%	-16.5M	372.8M	-6.7M	2.45	1.98	22,486	55,192	767,236	2,971,562
2024-01-05	$13.61	$14.00	42.5%	11.8%	32.0%	54.1%	43.7%	2.8%	-1.3%	-11.5M	224.7M	-6.7M	0.83	1.93	65,576	54,345	773,233	2,975,878
2024-01-08	$14.59	$14.00	43.5%	12.0%	38.9%	57.8%	42.7%	1.6%	-0.9%	-2.7M	-56.3M	-6.4M	0.65	1.80	95,478	61,642	766,105	2,968,147
2024-01-09	$14.46	$14.00	40.8%	11.7%	38.9%	47.4%	40.7%	1.8%	0.2%	-3.0M	-41.3M	-6.2M	0.54	2.45	30,270	16,443	794,236	2,997,868
2024-01-10	$14.34	$14.00	40.8%	11.5%	39.0%	47.4%	39.9%	1.7%	-0.6%	-3.6M	-19.0M	-6.0M	0.71	2.52	37,625	26,692	797,480	3,000,188
2024-01-11	$14.52	$14.00	40.6%	11.4%	38.4%	46.7%	40.3%	1.8%	-0.7%	-653.4K	-76.1M	-6.2M	0.49	2.04	57,361	28,152	813,934	3,009,693
2024-01-12	$13.23	$14.00	41.4%	11.7%	50.9%	49.7%	41.4%	2.0%	-0.6%	-16.3M	348.9M	-6.2M	0.62	2.22	133,377	82,559	841,417	3,013,749
2024-01-16	$13.07	$14.00	43.4%	12.4%	49.6%	57.7%	43.2%	2.9%	-1.2%	-17.4M	386.7M	-6.6M	1.03	2.32	92,283	94,755	845,699	2,996,130
2024-01-17	$12.96	$14.00	42.3%	12.1%	49.6%	53.5%	41.2%	3.1%	-1.5%	-17.2M	402.7M	-6.6M	1.13	1.89	50,077	56,461	890,357	3,017,595
2024-01-18	$13.77	$14.00	43.9%	12.7%	54.6%	59.4%	45.7%	2.9%	-2.4%	-2.4M	97.7M	-6.5M	0.33	2.24	129,264	42,626	902,677	3,026,957
2024-01-19	$13.68	$14.00	43.4%	12.6%	54.5%	57.6%	45.1%	3.8%	-1.1%	-6.7M	107.1M	-6.4M	0.72	1.79	52,592	37,670	934,634	3,034,652
2024-01-22	$13.64	$14.00	42.9%	12.8%	54.2%	55.8%	45.2%	2.5%	-1.1%	-7.8M	153.1M	-6.4M	0.65	11.08	52,939	34,393	610,320	2,421,855
2024-01-23	$13.98	$14.00	40.0%	12.1%	54.5%	44.4%	43.9%	1.3%	-1.0%	-5.7M	77.1M	-6.2M	0.49	3.40	95,802	47,138	626,075	2,440,968
2024-01-24	$13.95	$14.00	40.7%	12.4%	54.5%	47.1%	44.0%	2.4%	-1.6%	-5.5M	87.5M	-6.4M	0.80	11.12	88,629	70,788	630,022	2,448,561
2024-01-25	$15.36	$13.50	36.4%	10.9%	64.2%	30.1%	38.7%	2.2%	0.2%	2.9M	-268.8M	-6.0M	0.40	7.22	282,150	112,827	679,717	2,463,330
2024-01-26	$15.07	$13.50	34.5%	9.9%	64.6%	22.6%	35.1%	1.1%	0.5%	1.4M	-211.8M	-6.1M	0.83	2.48	110,542	91,744	713,324	2,498,916
2024-01-29	$14.98	$14.00	35.1%	10.2%	64.6%	25.0%	35.7%	1.4%	1.8%	1.1M	-128.7M	-6.0M	0.64	3.20	50,864	32,519	671,660	2,447,861
2024-01-30	$14.55	$14.00	34.7%	10.2%	65.3%	23.5%	36.9%	1.8%	1.7%	-1.5M	-38.4M	-6.0M	0.57	3.38	46,917	26,797	683,872	2,460,837
2024-01-31	$14.29	$14.00	34.8%	10.3%	65.0%	23.8%	36.8%	1.0%	2.6%	-2.7M	25.6M	-6.2M	3.33	11.54	31,984	106,618	701,366	2,470,308