AEO Options History — March 2015

In March 2015, AEO traded between $14.85 and $17.32. ATM implied volatility averaged 29.1%, placing in the 3.5% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 2.8% (HV 20d: 31.9%). Max pain ranged from $15.00 to $17.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.54.

Notable Days

  • 2015-03-04: Highest Volume — 33,446 contracts
  • 2015-03-04: Largest IV drop — 32.3% change
  • 2015-03-03: Highest IV Rank — 19.4%
  • 2015-03-03: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.73$14.85$17.32$14.93$17.09
Max Pain$16.14$15.00$17.00$15.00$16.50
ATM IV29.1%25.5%41.9%41.7%27.7%
Expected Move8.4%7.2%13.6%13.2%7.6%
HV 20d31.9%25.3%34.9%25.4%31.5%
HV 60d33.5%30.7%45.8%44.4%31.5%
IV Rank3.5%0.0%19.4%19.1%2.8%
IV Percentile11.1%0.0%71.4%71.0%6.3%
Term Structure0.2%-2.3%1.3%-1.4%0.8%
VWIV30.4%25.8%51.8%51.6%28.1%
Skew 25d3.0%1.9%5.7%3.9%3.1%
Skew 10d10.4%3.0%16.4%7.9%3.0%
Call IV 25d27.5%24.5%39.9%39.9%26.9%
Put IV 25d30.5%26.4%45.1%43.9%29.9%
Bid-Ask Spread %17.0411.6424.1717.9620.68
Gamma HHI0.250.150.420.150.32
Net GEX596.3K-84.4K1.1M-84.4K1.1M
Net DEX-35.6M-50.2M-12.3M-12.3M-32.9M
Net VEX-216.6K-261.1K-145.3K-159.8K-261.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.067.302.092.94
Total Volume7,788.18253833,44614,3728,365
Total OI85,539.31867,39497,72068,98081,095

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$14.93$15.0041.7%13.2%25.4%19.1%51.6%3.9%-1.4%-84.4K-12.3M-159.8K2.0917.964,6519,72132,62436,356
2015-03-03$14.85$15.0041.9%13.6%25.3%19.4%51.8%5.7%-2.3%122.7K-13.2M-158.4K2.0315.446,53413,24435,17832,216
2015-03-04$16.01$15.0028.3%8.3%34.4%2.0%28.4%3.3%1.2%399.3K-38.0M-145.3K0.6517.5420,25613,19039,14341,317
2015-03-05$16.35$15.0028.9%8.3%34.8%2.7%28.5%2.1%-0.0%740.6K-46.5M-177.8K1.3816.096,5919,07450,26344,995
2015-03-06$16.68$15.0028.5%8.0%34.8%2.2%29.7%2.3%1.1%690.5K-50.2M-176.1K1.4817.105,7348,46550,05443,318
2015-03-09$16.66$15.0028.9%7.8%34.9%2.8%30.4%3.2%-2.1%693.5K-44.1M-174.7K7.3015.046334,62246,73139,472
2015-03-10$16.84$15.0028.5%8.3%34.6%2.2%28.8%3.1%-0.1%587.4K-44.2M-208.9K0.3113.953,3121,02546,96743,693
2015-03-11$17.18$16.0029.3%8.2%33.7%3.2%28.3%2.8%-0.7%585.2K-49.0M-213.6K1.9313.032,0894,03448,70444,476
2015-03-12$17.27$16.0028.5%8.3%32.5%2.2%28.4%2.6%0.7%540.8K-48.3M-240.3K1.6413.016561,07649,50948,007
2015-03-13$17.32$16.0028.1%8.2%32.5%1.6%28.1%3.5%0.9%468.4K-48.4M-238.0K0.3911.641,58862549,17248,548
2015-03-16$17.25$16.0029.3%8.4%32.3%3.3%29.1%2.8%-0.8%451.8K-41.8M-236.7K2.1312.1230665246,21347,800
2015-03-17$17.08$17.0027.8%7.9%32.1%1.3%29.4%3.3%1.3%403.9K-39.2M-235.9K0.1913.014,00475246,35348,223
2015-03-18$17.04$17.0027.5%7.9%32.2%0.9%30.4%2.8%-0.1%522.6K-39.0M-239.1K0.1721.211,35722747,58448,693
2015-03-19$17.05$17.0026.8%7.6%32.0%0.0%27.0%2.6%0.9%491.9K-38.2M-238.0K0.4016.2538315547,02348,836
2015-03-20$17.07$17.0025.5%7.2%31.8%0.0%32.0%1.9%1.1%491.1K-39.1M-234.8K1.4115.2463890147,22848,844
2015-03-23$16.97$17.0026.0%7.4%31.7%0.6%26.8%2.8%1.0%611.8K-25.8M-234.3K1.1422.6757165239,44332,661
2015-03-24$17.00$17.0025.8%7.4%31.1%0.4%25.8%1.9%0.9%679.1K-26.4M-234.2K0.0617.964,97427439,83532,962
2015-03-25$16.75$17.0027.5%7.5%31.2%2.5%25.9%1.9%0.5%937.7K-25.1M-238.3K1.4719.318991,32243,77232,880
2015-03-26$16.93$17.0026.8%7.4%30.6%1.7%26.5%3.7%0.8%1.1M-27.5M-241.4K3.4518.122,3848,22243,80833,777
2015-03-27$16.69$17.0027.7%7.7%30.9%2.9%26.6%3.7%-0.4%626.9K-23.0M-238.1K0.2324.173,46981543,81733,996
2015-03-30$17.14$16.5028.6%7.6%31.6%4.0%26.6%2.1%0.3%971.1K-31.2M-240.6K1.0523.296,2976,60143,97232,307
2015-03-31$17.09$16.5027.7%7.6%31.5%2.8%28.1%3.1%0.8%1.1M-32.9M-261.1K2.9420.682,1226,24348,52532,570