Options/AAL

AALAmerican Airlines Group Inc.

Options Analysis Report•AIR TRANSPORTATION, SCHEDULED

Market Cap $8.5B|NASDAQ

● 2026-09-11$12.85

BEARISH

Analysis: 2026-09-10 EOD data

1Y -0.8%YTD -17.0%7D -2.1%

Options Vol

103,934

30D

Implied Move

±12.9%

IV Rank

16%

AAL Options Overview

bearish flow with unusual activity. Conditions favor premium sellers.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for premium sellers

Learn

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AAL Gamma Walls

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AAL Hedge Radar

Neutral

Full Hedge Radar

Neither score is at an extreme today. Neither axis is a forecast — this is where AAL sits on protection cost vs. fragility today.

Protection is priced in the fair band (4.02) — options are pricing vol 83% above what the stock has actually been realizing, and implied vol sits in the 16th percentile of its own past year, measured against this name's own rolling 20-trading-day realized moves (484 overlapping windows). Fragility reads resilient (3.69): its realized-vol regime is contracting, and it is trading 1% below its hedge wall on a wall graded MEDIUM for reliability.

Protection cost

4.02/ 10fair

Basis: cross_sectional

Fragility

3.69/ 10resilient

Basis: per_ticker

Value

Is IV priced right?

4.6

ExpensiveCheap

Measures whether options are cheap, fair, or rich relative to historical and peer

levels.

Risk Checks4/9 checks passed

IV Rank

≤35%

IV Rank 69.3% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 1.83x — IV premium over HV

Sector Relative≤50%

Sector percentile 67% — above sector median

Term Structure

<1.1x

Front/Back 1.04x — flat

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 47.8% — normal range

Spread-Adjusted Value

<80%

Effective IV 62.9% (ATM 47.8% + spread 7.6% + bias) — good value

Execution Efficiency

<3.0%

Total drag 13.91% (spread 7.56% + slippage 6.35%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 0.33 (vega 0.247 / spread 7.56%) — spread drag

Sentiment

Bullish or bearish?

3.1

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksBearish - Moderate signal (Conviction: -12%, Raw: -15%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: -12% (bearish) — Raw: -15%

OI Skew Magnitude

≥15%

|OI skew| 25.9% — put-heavy

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew -47.1%, OI skew -25.9% — aligned

Conviction Quality

≥2/3 conditions

0-DTE 14%, far-OTM 15%, avg DTE 30

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: -17%, ATM: +28%, OTM: -20% — neutral (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 88% — very bearish vs sector

Activity

Unusual activity?

5.4

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks4/8 checks passed

Volume Surge

≥1.5x

Volume 1.6x avg — elevated

Turnover Rate

≥15%

Vol/OI 5.2% — normal turnover

Multi-Day Persistence

≥2 days

1 day(s) elevated — may be one-day event

OI Build

≥5%

OI change +1.9% (5d) — stable

Sector Relative≥60%

Sector activity percentile 83% — very active vs sector

Trade Quality

≥30%

Large trade volume 60% — heavy institutional

Execution Urgency

≥60%

Aggressive execution 61% — urgent

Flow Conviction

≥30

Conviction -12 (bearish) — mixed

Liquidity

Can I trade efficiently?

5.7

IlliquidLiquid

Evaluates

bid-ask spreads

, volume depth, and open interest for trade execution quality.

Risk Checks4/8 checks passed

Tradeable Spread

≤5.0%

Spread 7.6% — wide

Adequate OI

≥10,000

OI 2,010,056 — deep

Active Volume

≥500

Volume 103,934/day — active

Reasonable Cost

≤$0.50

$0.38 to cross — cheap

Strike Coverage

≥5 strikes

3 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 80% — wider than sector

Order Book Depth

≥100 contracts

Depth 953.6 contracts (bid:432.6 ask:521.0) — deep

Execution Quality

<1.0%

Avg slippage 6.35% — poor

Timing

Is now a good time?

6.5

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks4/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope +4.4% — flat/unclear

IV Percentile Clarity

<30 or >70

IV percentile 69% — neutral

Event Detection

≥10pts kink

IV kink 2.4pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 3.77 — favors income trades

Expiration Distribution

≥3 expirations

5 liquid expirations — flexible

Event Risk

≥60% (safe)

caution advised: FOMC in 5d; CPI in 0d (HIGH)

Spread Momentum

<1.2 ratio

Spread ratio 1.00x — stable

Flow Momentum

≥25% strength + ≥50% consistency

Flow -12% @ 56% consistency — unclear

Smart Money Timing

≥40 composite score

Score 90 (ITM 20% + inst 60%) — HIGH institutional

Directional Strategy Fit

Option Buyers

Long Calls4.5

bullishIV fair, bearish flow

Long Puts6.3

bearishIV fair, bearish flow

Premium Sellers

Cash-Secured Put4.8

bullishIV fair, bearish flow

Covered Call6.2

bearishIV fair, bearish flow

For educational purposes only. Not investment advice.

The Options Desk tracks the move options price into every US earnings report the week of Sep 7, next to how much each stock has actually moved on its past prints — plus the SPY, QQQ and IWM expected ranges and the gamma walls that box them in.

More on AAL

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