AAL Options History — June 2024

In June 2024, AAL traded between $11.11 and $11.66. ATM implied volatility averaged 36.1%, placing in the 34.3% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 15.8% (HV 20d: 52.0%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.17.

Notable Days

  • 2024-06-06: Highest Volume — 168,560 contracts
  • 2024-06-12: Largest IV drop — 7.5% change
  • 2024-06-26: Highest IV Rank — 59.2%
  • 2024-06-03: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.35$11.11$11.66$11.52$11.27
Max Pain$12.53$12.00$13.00$13.00$12.00
ATM IV36.1%32.6%41.5%36.3%41.0%
Expected Move10.1%9.5%10.9%10.9%10.3%
HV 20d52.0%18.3%61.9%61.9%18.3%
HV 60d46.1%43.7%47.5%47.4%43.7%
IV Rank34.3%18.1%59.2%35.0%57.1%
IV Percentile38.4%6.7%77.4%42.1%75.4%
Term Structure1.0%-1.8%6.5%0.6%-0.9%
VWIV35.7%33.6%38.7%38.7%36.6%
Skew 25d1.3%-0.0%3.3%0.9%1.8%
Skew 10d2.1%-0.5%4.8%2.5%2.8%
Call IV 25d36.2%33.0%41.8%36.2%41.1%
Put IV 25d37.4%33.1%43.4%37.1%42.9%
Bid-Ask Spread %31.152.6148.8218.2030.86
Gamma HHI0.200.160.240.200.20
Net GEX-22.3M-26.3M-18.4M-22.5M-18.4M
Net DEX648.2M512.8M749.2M709.6M513.8M
Net VEX-6.1M-6.3M-5.9M-6.0M-6.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.472.320.571.89
Total Volume110,128.31653,452168,560161,706125,602
Total OI3,698,909.5793,211,7253,932,7873,669,5283,397,242

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-06-03$11.52$13.0036.3%10.9%61.9%35.0%38.7%0.9%0.6%-22.5M709.6M-6.0M0.5718.20102,67759,029845,5772,823,951
2024-06-04$11.52$13.0035.4%10.4%56.8%31.2%35.8%2.6%1.0%-22.3M714.9M-6.1M0.762.6161,55547,044874,7512,853,272
2024-06-05$11.66$13.0034.5%10.2%57.2%27.1%35.4%3.3%-1.6%-20.8M677.6M-6.2M0.4724.7668,29132,055902,4902,867,817
2024-06-06$11.43$13.0035.0%10.5%56.6%29.3%36.7%1.7%0.0%-23.5M749.2M-6.1M1.3439.4472,13996,421922,6302,881,788
2024-06-07$11.50$13.0032.6%10.2%56.8%18.2%34.4%0.0%1.9%-26.3M719.6M-6.3M1.6148.7546,57174,876951,1642,927,143
2024-06-10$11.48$13.0033.8%10.2%56.9%23.5%35.3%0.6%1.7%-21.5M683.0M-6.0M0.5948.8233,66019,792914,8352,902,733
2024-06-11$11.27$13.0035.2%9.9%54.0%30.3%35.5%1.4%-1.8%-23.3M716.8M-6.0M0.9745.8354,53052,724928,6262,881,657
2024-06-12$11.48$13.0032.6%9.9%54.3%18.1%34.7%-0.0%1.5%-21.1M628.7M-6.2M0.4742.7970,18132,782949,7992,886,984
2024-06-13$11.46$13.0032.6%9.5%54.5%18.2%33.6%0.3%1.3%-22.1M650.8M-6.1M1.7536.3950,15887,988964,0752,903,365
2024-06-14$11.21$13.0035.0%10.3%54.6%29.1%36.3%2.1%1.3%-23.2M730.9M-6.2M0.9535.6763,93861,015990,8342,928,375
2024-06-17$11.41$12.0034.8%10.1%55.5%28.2%36.2%0.7%2.5%-21.7M649.2M-6.1M1.2230.7448,41959,138960,1972,918,497
2024-06-18$11.30$12.0034.7%10.0%55.5%27.7%36.3%0.5%3.9%-22.6M656.8M-6.2M1.1137.2231,03134,498976,2382,906,999
2024-06-20$11.23$12.0036.7%10.3%55.2%37.0%36.1%0.7%3.7%-24.6M667.2M-6.2M1.7929.4029,90053,511985,8852,910,279
2024-06-21$11.18$12.0035.8%9.7%55.0%32.9%35.2%0.7%6.5%-22.5M676.4M-6.0M0.7630.1942,05031,7471,000,9302,931,857
2024-06-24$11.23$12.0037.9%9.6%55.1%42.7%33.8%1.5%0.2%-21.9M548.8M-6.1M1.6529.6441,79268,973726,6072,485,118
2024-06-25$11.16$12.0039.2%9.8%54.9%48.6%34.3%1.9%-0.1%-22.6M544.7M-5.9M1.1014.6061,52067,980746,8362,526,680
2024-06-26$11.11$12.0041.5%10.1%54.7%59.2%36.2%0.8%-1.0%-23.1M564.9M-6.2M2.3224.3442,11597,816779,9802,557,142
2024-06-27$11.27$12.0041.3%10.0%19.0%58.3%36.4%2.5%-1.5%-19.7M512.8M-6.2M0.8621.6537,12331,797798,3602,568,569
2024-06-28$11.27$12.0041.0%10.3%18.3%57.1%36.6%1.8%-0.9%-18.4M513.8M-6.2M1.8930.8643,39282,210814,0662,583,176