AAL Options History — March 2024

In March 2024, AAL traded between $13.91 and $15.66. ATM implied volatility averaged 37.6%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 5.8% (HV 20d: 31.8%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.95.

Notable Days

2024-03-04: Highest Volume — 179,837 contracts
2024-03-12: Largest IV drop — 6.7% change
2024-03-05: Highest IV Rank — 47.9%
2024-03-01: Largest Expected Move — 13.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.63	$13.91	$15.66	$15.66	$15.36
Max Pain	$14.15	$14.00	$15.00	$14.00	$14.50
ATM IV	37.6%	34.0%	40.9%	40.0%	38.1%
Expected Move	10.8%	9.3%	13.3%	13.3%	9.4%
HV 20d	31.8%	25.6%	35.7%	25.6%	34.6%
HV 60d	44.1%	42.7%	44.8%	42.7%	44.4%
IV Rank	36.1%	22.3%	47.9%	44.2%	43.5%
IV Percentile	46.0%	19.0%	69.0%	63.1%	52.8%
Term Structure	1.2%	-1.9%	3.7%	-1.9%	-0.1%
VWIV	38.0%	33.3%	46.9%	46.9%	33.7%
Skew 25d	1.8%	0.9%	3.0%	1.7%	2.9%
Skew 10d	3.7%	0.4%	5.8%	3.5%	5.8%
Call IV 25d	37.1%	33.6%	40.2%	39.8%	37.1%
Put IV 25d	38.9%	35.4%	41.8%	41.5%	40.0%
Bid-Ask Spread %	39.01	2.79	63.41	23.79	25.94
Gamma HHI	0.11	0.09	0.24	0.10	0.10
Net GEX	-4.3M	-18.8M	4.9M	4.9M	770.1K
Net DEX	30.1M	-253.0M	218.1M	-253.0M	-111.2M
Net VEX	-5.4M	-5.7M	-5.0M	-5.7M	-5.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.30	2.28	0.81	0.30
Total Volume	74,521.05	37,669	179,837	114,176	50,954
Total OI	2,964,095.2	2,687,075	3,165,458	3,120,150	2,814,717

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
2024-03-01	$15.66	$14.00	40.0%	13.3%	25.6%	44.2%	46.9%	1.7%	-1.9%	4.9M	-253.0M	-5.7M	0.81	23.79	63,052	51,124	736,962	2,383,188
2024-03-04	$14.88	$15.00	40.4%	11.7%	31.8%	45.7%	41.4%	0.9%	1.1%	731.5K	-54.8M	-5.5M	0.56	57.66	115,004	64,833	717,200	2,354,881
2024-03-05	$14.61	$15.00	40.9%	11.9%	31.4%	47.9%	42.2%	2.2%	0.0%	-2.9M	33.5M	-5.4M	0.84	55.09	62,078	52,137	730,133	2,368,451
2024-03-06	$14.82	$14.00	39.9%	12.0%	27.5%	43.8%	41.7%	0.9%	0.6%	-568.7K	-14.3M	-5.7M	0.48	15.61	32,661	15,635	741,950	2,387,299
2024-03-07	$14.93	$14.00	39.3%	11.8%	27.7%	41.5%	41.3%	0.9%	0.9%	-449.9K	-37.7M	-5.6M	2.28	9.26	24,613	56,102	742,413	2,392,222
2024-03-08	$14.68	$14.00	39.1%	11.7%	28.2%	40.7%	41.0%	1.1%	0.3%	-2.4M	41.9M	-5.7M	0.44	15.06	41,982	18,607	746,331	2,415,896
2024-03-11	$14.64	$14.00	39.6%	11.7%	28.1%	42.7%	41.3%	2.2%	1.0%	-2.3M	24.0M	-5.2M	1.51	2.79	31,373	47,296	709,360	2,388,339
2024-03-12	$13.91	$14.00	37.0%	11.2%	33.1%	32.4%	39.1%	2.5%	2.1%	-12.6M	211.8M	-5.2M	1.27	63.31	62,997	80,050	724,655	2,396,460
2024-03-13	$13.98	$14.00	36.5%	11.0%	32.4%	30.7%	38.4%	1.1%	1.5%	-11.7M	187.9M	-5.4M	0.85	63.41	30,608	26,065	746,461	2,394,741
2024-03-14	$13.91	$14.00	36.6%	10.8%	31.8%	30.8%	38.3%	2.5%	1.1%	-14.6M	197.6M	-5.3M	1.50	59.81	19,016	28,616	755,706	2,395,130
2024-03-15	$13.91	$14.00	35.4%	10.6%	31.8%	26.1%	36.9%	1.8%	2.3%	-18.8M	218.1M	-5.3M	1.09	59.47	26,127	28,459	760,609	2,404,849
2024-03-18	$14.09	$14.00	35.3%	10.3%	32.1%	26.6%	35.6%	1.7%	2.2%	-6.1M	120.6M	-5.3M	0.76	50.89	32,590	24,911	566,354	2,120,721
2024-03-19	$13.93	$14.00	34.7%	10.0%	32.3%	24.3%	35.3%	1.9%	3.7%	-7.5M	152.5M	-5.3M	1.52	31.57	19,177	29,075	575,466	2,131,696
2024-03-20	$14.52	$14.00	34.0%	9.8%	35.7%	22.3%	34.5%	2.4%	3.7%	-3.7M	26.5M	-5.0M	1.21	51.48	61,399	74,274	575,472	2,144,479
2024-03-21	$14.77	$14.00	35.8%	10.1%	34.6%	29.9%	35.4%	2.1%	2.3%	-2.4M	-11.7M	-5.4M	1.06	47.74	27,377	29,059	599,431	2,189,005
2024-03-22	$14.84	$14.00	35.8%	9.9%	34.6%	30.0%	34.8%	0.9%	3.5%	-3.7M	-3.8M	-5.3M	0.69	48.43	24,117	16,586	603,316	2,207,112
2024-03-25	$14.89	$14.00	37.8%	9.9%	34.5%	38.4%	34.2%	3.0%	-0.1%	-2.9M	-7.4M	-5.3M	0.74	43.46	26,787	19,870	586,057	2,176,814
2024-03-26	$14.95	$14.00	38.1%	9.9%	33.9%	39.9%	34.7%	1.2%	-0.5%	-1.3M	-20.9M	-5.4M	0.43	29.66	26,638	11,503	609,034	2,185,347
2024-03-27	$15.29	$14.50	37.7%	9.3%	34.9%	41.6%	33.3%	2.4%	0.7%	1.7M	-96.7M	-5.2M	0.60	25.67	23,494	14,175	614,625	2,189,022
2024-03-28	$15.36	$14.50	38.1%	9.4%	34.6%	43.5%	33.7%	2.9%	-0.1%	770.1K	-111.2M	-5.0M	0.30	25.94	39,334	11,620	618,883	2,195,834