AAL Options History — September 2024

In September 2024, AAL traded between $10.61 and $11.88. ATM implied volatility averaged 47.0%, placing in the 68.3% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 18.1% (HV 20d: 29.0%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.53.

Notable Days

  • 2024-09-26: Highest Volume — 248,076 contracts
  • 2024-09-04: Largest IV spike — 8.3% change
  • 2024-09-30: Highest IV Rank — 88.1%
  • 2024-09-30: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.00$10.61$11.88$10.61$11.21
Max Pain$11.10$11.00$12.00$12.00$11.00
ATM IV47.0%41.2%51.8%41.2%51.8%
Expected Move13.3%12.4%14.2%12.6%14.2%
HV 20d29.0%22.8%40.6%28.7%40.6%
HV 60d36.6%34.8%40.6%34.9%40.6%
IV Rank68.3%48.6%88.1%48.6%88.1%
IV Percentile89.7%63.5%99.6%63.5%99.6%
Term Structure1.3%-2.0%10.0%10.0%0.8%
VWIV47.1%43.4%50.3%44.7%50.3%
Skew 25d3.3%1.8%6.5%3.7%2.6%
Skew 10d6.5%4.1%10.4%6.4%5.0%
Call IV 25d46.1%40.9%50.2%40.9%50.2%
Put IV 25d49.4%44.6%53.5%44.6%52.8%
Bid-Ask Spread %36.276.8343.6620.7935.60
Gamma HHI0.220.180.290.200.25
Net GEX-13.1M-17.3M-5.9M-16.6M-10.9M
Net DEX372.6M89.7M511.6M504.4M294.3M
Net VEX-6.5M-6.9M-6.2M-6.9M-6.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.357.490.351.48
Total Volume102,70950,732248,07657,62287,122
Total OI3,737,013.153,339,4203,918,0463,908,8843,375,889

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-09-03$10.61$12.0041.2%12.6%28.7%48.6%44.7%3.7%10.0%-16.6M504.4M-6.9M0.3520.7942,53415,088935,7272,973,157
2024-09-04$10.64$12.0044.6%13.7%28.7%61.6%48.0%6.5%2.9%-15.9M482.2M-6.8M0.506.8333,74216,990950,5842,947,115
2024-09-05$10.79$11.0044.5%13.2%28.7%60.2%46.1%2.3%0.2%-14.6M423.8M-6.8M2.9333.1555,679163,161964,9512,953,095
2024-09-06$10.80$11.0046.4%13.4%22.8%67.8%47.1%3.7%-0.1%-14.4M423.8M-6.9M7.4939.4427,426205,463971,2482,879,428
2024-09-09$11.21$11.0046.4%13.5%25.4%67.2%47.0%3.9%0.4%-13.4M326.2M-6.8M0.7440.0149,19536,514950,2502,842,349
2024-09-10$10.96$11.0047.5%13.6%25.3%71.9%47.8%3.8%-0.0%-14.3M401.1M-6.6M2.7539.0120,96257,668966,2712,859,314
2024-09-11$10.71$11.0048.0%13.8%27.1%73.4%50.2%4.7%0.4%-16.2M495.8M-6.8M2.5443.6626,88668,254973,2462,891,780
2024-09-12$10.93$11.0046.5%13.5%27.6%65.4%47.4%2.4%0.6%-15.0M424.0M-6.6M0.7533.4541,78731,370976,9352,923,404
2024-09-13$10.66$11.0045.9%13.3%28.0%61.8%46.8%3.5%0.7%-17.3M511.6M-6.5M0.8540.2745,19038,538978,8592,935,048
2024-09-16$10.80$11.0046.5%13.5%28.2%64.3%48.7%3.8%2.7%-14.9M458.2M-6.4M0.8941.6036,95432,855951,1602,904,766
2024-09-17$11.09$11.0047.6%13.7%28.4%69.6%48.1%3.3%0.9%-12.9M369.8M-6.4M0.6141.4952,87732,427969,3362,912,760
2024-09-18$11.02$11.0046.3%13.3%28.6%63.1%46.8%2.1%2.6%-13.0M389.0M-6.5M0.8740.1230,78926,731974,8382,918,917
2024-09-19$11.09$11.0045.8%12.9%28.6%60.7%45.0%2.6%5.8%-11.3M362.2M-6.3M1.7240.4627,06746,609981,3372,921,498
2024-09-20$11.05$11.0046.3%13.0%27.1%62.7%45.3%3.2%3.4%-15.6M352.3M-6.3M0.8440.3245,30938,272985,4972,912,215
2024-09-23$11.00$11.0046.7%12.4%26.9%64.6%43.4%3.3%-1.2%-11.3M336.9M-6.3M0.6332.7552,79233,304808,6692,530,751
2024-09-24$11.02$11.0048.0%12.9%26.4%70.7%45.7%2.1%-1.2%-10.9M323.1M-6.3M0.8039.6164,14151,120826,1122,556,157
2024-09-25$10.98$11.0050.3%13.4%26.4%81.1%49.0%1.8%-0.8%-10.5M319.9M-6.3M2.6142.3627,74372,470848,2882,586,319
2024-09-26$11.88$11.0050.8%13.6%37.4%83.7%49.7%3.4%-2.0%-5.9M89.7M-6.3M0.3735.84180,66867,408857,4352,597,410
2024-09-27$11.59$11.0049.8%12.6%38.8%78.8%45.3%3.2%-1.0%-8.0M163.8M-6.2M0.8338.6338,93432,141853,8712,594,277
2024-09-30$11.21$11.0051.8%14.2%40.6%88.1%50.3%2.6%0.8%-10.9M294.3M-6.2M1.4835.6035,14751,975817,2452,558,644