AEO Options History — January 2015

In January 2015, AEO traded between $13.77 and $14.63. ATM implied volatility averaged 36.6%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 0.8% (HV 20d: 37.4%). Max pain ranged from $13.00 to $13.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.55.

Notable Days

  • 2015-01-07: Highest Volume — 34,484 contracts
  • 2015-01-08: Largest IV drop — 13.5% change
  • 2015-01-07: Highest IV Rank — 25.5%
  • 2015-01-06: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.16$13.77$14.63$13.77$14.06
Max Pain$13.00$13.00$13.00$13.00$13.00
ATM IV36.6%31.5%44.2%39.2%34.3%
Expected Move10.3%8.9%11.9%11.2%10.1%
HV 20d37.4%26.2%62.8%62.8%37.3%
HV 60d52.8%51.7%53.8%52.5%52.4%
IV Rank14.3%6.0%25.5%19.4%9.6%
IV Percentile43.7%16.7%76.2%58.7%33.7%
Term Structure-0.1%-1.9%1.7%-1.1%1.4%
VWIV36.3%30.3%41.5%38.4%35.3%
Skew 25d4.2%1.4%6.2%3.9%2.0%
Skew 10d12.7%3.2%23.2%4.8%9.1%
Call IV 25d34.6%29.1%43.2%38.2%34.0%
Put IV 25d38.8%34.1%47.9%42.1%36.0%
Bid-Ask Spread %16.8711.1928.3815.8517.50
Gamma HHI0.360.200.740.280.20
Net GEX1.1M-388.4K5.5M1.4M-149.7K
Net DEX-28.7M-69.6M-6.0M-35.2M-6.0M
Net VEX-191.2K-243.3K-166.7K-224.2K-166.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.294.071.352.22
Total Volume11,418.21,05934,4846,7927,567
Total OI140,372.6573,793210,201180,26773,793

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$13.77$13.0039.2%11.2%62.8%19.4%38.4%3.9%-1.1%1.4M-35.2M-224.2K1.3515.852,8953,897110,26370,004
2015-01-05$13.90$13.0041.5%11.4%61.3%22.2%40.6%6.0%-1.3%1.6M-39.9M-217.5K1.3915.371,9232,671109,37268,908
2015-01-06$13.95$13.0042.3%11.9%26.2%23.2%40.9%5.8%-1.4%1.6M-40.9M-217.1K0.9616.977,4857,189109,60870,847
2015-01-07$14.63$13.0044.2%11.9%28.8%25.5%41.5%4.7%-0.4%2.4M-69.6M-243.3K0.8316.5218,88315,601116,34577,025
2015-01-08$13.94$13.0038.2%11.0%34.9%18.2%39.9%4.9%0.7%-388.4K-29.9M-219.5K0.8313.4914,49612,002122,51387,688
2015-01-09$13.82$13.0037.9%10.8%33.6%17.8%37.7%2.0%-0.9%1.1M-19.3M-207.1K3.5317.294,05714,333122,47685,981
2015-01-12$14.17$13.0038.9%10.7%34.4%19.0%36.8%6.1%-1.3%1.7M-42.2M-193.8K2.4614.813,6408,938113,24277,523
2015-01-13$14.23$13.0037.4%10.3%33.5%17.2%34.9%4.5%-1.9%2.1M-47.7M-186.4K0.5214.1610,8375,582113,86077,199
2015-01-14$14.50$13.0038.4%11.0%33.5%18.5%35.8%5.4%0.3%3.2M-60.1M-183.2K1.1918.084,6875,564115,49076,399
2015-01-15$13.81$13.0036.5%10.4%36.7%16.1%40.2%1.4%-0.1%1.1M-28.7M-184.8K1.4713.654,0015,873115,79177,757
2015-01-16$14.03$13.0036.8%10.3%36.0%12.8%34.8%4.0%-1.3%5.5M-39.7M-182.5K0.3316.691,882626116,19378,135
2015-01-20$13.83$13.0035.4%10.1%36.1%11.1%36.5%4.5%-0.3%-265.6K-8.7M-171.0K0.9319.091,1101,02939,68636,341
2015-01-21$14.08$13.0033.4%9.6%35.2%8.5%33.6%6.2%1.4%-310.2K-12.5M-172.0K0.2915.0694827540,16036,782
2015-01-22$14.45$13.0032.2%9.2%35.9%7.0%34.3%4.3%-0.5%155.2K-19.6M-172.0K4.0715.773,19613,01540,56936,726
2015-01-23$14.40$13.0031.5%8.9%36.0%6.0%34.4%5.1%1.2%570.8K-19.5M-175.4K4.0723.703,78315,40541,36237,118
2015-01-26$14.55$13.0032.4%9.0%36.0%7.2%30.3%2.8%0.8%371.9K-16.3M-184.1K0.5111.1970035940,68938,484
2015-01-27$14.58$13.0033.0%9.1%36.0%8.0%31.6%3.9%1.4%395.2K-16.7M-175.9K0.6617.971,01767139,81337,145
2015-01-28$14.25$13.0035.0%9.9%36.9%10.5%35.7%3.9%-0.1%283.0K-10.9M-173.7K2.5228.382,3435,89340,05537,684
2015-01-29$14.26$13.0032.7%9.2%36.9%7.6%31.8%2.5%1.7%262.1K-10.8M-173.1K0.8015.867,7756,21640,16738,260
2015-01-30$14.06$13.0034.3%10.1%37.3%9.6%35.3%2.0%1.4%-149.7K-6.0M-166.7K2.2217.502,3495,21834,90438,889