AEO Options History — April 2015

In April 2015, AEO traded between $15.95 and $17.91. ATM implied volatility averaged 32.2%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 12.4% (HV 20d: 19.8%). Max pain ranged from $14.00 to $16.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.22.

Notable Days

  • 2015-04-02: Highest Volume — 14,693 contracts
  • 2015-04-20: Largest IV spike — 16.5% change
  • 2015-04-27: Highest IV Rank — 18.1%
  • 2015-04-30: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.07$15.95$17.91$16.92$15.95
Max Pain$15.93$14.00$16.50$16.50$16.00
ATM IV32.2%26.9%39.8%28.1%39.5%
Expected Move8.0%7.7%8.9%7.7%8.9%
HV 20d19.8%16.6%23.2%19.1%23.1%
HV 60d27.5%25.7%31.6%31.6%26.4%
IV Rank8.5%1.9%18.1%3.3%17.7%
IV Percentile29.4%2.8%64.7%8.3%63.5%
Term Structure1.7%-2.0%8.4%-0.4%-1.4%
VWIV29.0%26.6%32.6%27.9%31.0%
Skew 25d3.2%1.5%5.1%2.6%3.8%
Skew 10d7.3%-7.3%14.3%7.3%8.3%
Call IV 25d30.9%25.8%38.8%27.4%38.8%
Put IV 25d34.1%28.4%42.6%30.0%42.6%
Bid-Ask Spread %17.0512.8625.9221.9112.86
Gamma HHI0.230.140.340.330.14
Net GEX1.1M498.5K1.6M1.0M498.5K
Net DEX-28.2M-45.0M-7.8M-30.1M-7.8M
Net VEX-254.2K-263.6K-233.5K-261.9K-243.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.443.173.170.44
Total Volume9,311.47650114,6938,21413,749
Total OI79,635.42974,57382,93581,29581,353

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$16.92$16.5028.1%7.7%19.1%3.3%27.9%2.6%-0.4%1.0M-30.1M-261.9K3.1721.911,9726,24248,70232,593
2015-04-02$17.02$14.0027.0%8.0%17.9%1.9%28.5%1.6%1.5%1.1M-32.0M-259.7K0.8813.437,8146,87948,77832,775
2015-04-06$17.26$16.0028.3%8.2%17.2%3.5%29.9%3.9%0.2%1.2M-31.9M-262.4K1.4821.034,6936,96745,39232,718
2015-04-07$17.09$16.0028.2%8.0%17.7%3.4%32.6%1.5%-0.1%1.2M-29.5M-258.2K1.1215.055,8416,55645,53032,980
2015-04-08$17.30$16.0027.4%8.2%17.8%2.4%28.8%2.6%1.6%1.5M-33.6M-263.6K0.7615.2828521646,90833,025
2015-04-09$17.43$16.0027.6%8.3%16.6%2.7%30.3%2.6%2.6%1.5M-36.5M-258.7K0.8813.804,9734,38947,34133,097
2015-04-10$17.63$16.0026.9%7.8%16.9%1.9%30.8%3.3%0.2%1.4M-40.6M-258.9K1.0216.684,4244,53347,80733,389
2015-04-13$17.91$16.0027.7%7.9%17.7%2.8%28.1%3.4%7.1%1.2M-45.0M-257.1K0.8919.825,2684,66447,41532,812
2015-04-14$17.54$16.0027.3%7.8%19.4%2.2%32.2%2.9%7.0%1.5M-39.6M-257.1K1.0818.434,1344,45248,51833,302
2015-04-15$17.59$16.0027.1%7.8%19.0%2.0%29.2%3.2%7.5%1.4M-40.6M-257.0K0.9221.244,9644,54448,77533,684
2015-04-16$17.40$16.0029.5%8.0%19.4%5.1%31.7%2.6%8.4%1.6M-37.4M-256.5K0.9014.804,9254,40848,67933,772
2015-04-17$16.95$16.0030.7%8.0%21.7%6.6%27.1%1.8%5.6%758.9K-23.3M-252.4K1.0213.494,3614,43148,94433,991
2015-04-20$16.94$16.0035.7%7.9%21.7%12.9%27.5%3.9%-0.5%811.2K-22.3M-251.5K1.3213.653,3914,48142,91231,661
2015-04-21$16.94$16.0035.1%7.8%21.6%12.1%27.0%3.1%2.0%840.9K-22.3M-252.1K1.4716.623,1244,59743,52832,036
2015-04-22$16.93$16.0036.7%8.0%21.6%14.1%27.9%3.3%1.6%812.2K-21.8M-252.9K1.4617.273,5955,26443,60432,553
2015-04-23$17.10$16.0038.0%7.9%21.2%15.8%28.3%5.1%-1.6%989.2K-25.0M-255.0K1.2015.814,1034,91744,46033,169
2015-04-24$17.17$16.0038.0%7.8%20.9%15.7%26.8%5.1%-1.1%1.1M-26.7M-254.8K1.3013.544,0025,22246,05933,220
2015-04-27$16.73$16.0039.8%8.3%22.4%18.1%27.4%3.3%-2.0%862.2K-19.6M-246.7K1.7613.813,0635,38245,45233,185
2015-04-28$16.57$16.0039.0%8.0%20.3%17.1%26.6%3.9%-1.5%804.1K-17.3M-245.2K1.6423.613,2435,31845,64633,374
2015-04-29$16.02$16.0039.6%8.6%23.2%17.8%30.0%4.1%-1.5%514.9K-9.5M-233.5K1.0025.925,0655,09045,82733,378
2015-04-30$15.95$16.0039.5%8.9%23.1%17.7%31.0%3.8%-1.4%498.5K-7.8M-243.2K0.4412.869,5304,21947,54333,810