AEO Options History — May 2015

In May 2015, AEO traded between $15.74 and $16.74. ATM implied volatility averaged 37.7%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 9.3% (HV 20d: 28.3%). Max pain ranged from $15.50 to $17.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.04.

Notable Days

  • 2015-05-19: Highest Volume — 41,897 contracts
  • 2015-05-20: Largest IV drop — 36.1% change
  • 2015-05-19: Highest IV Rank — 26.3%
  • 2015-05-19: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.30$15.74$16.74$15.98$16.39
Max Pain$16.00$15.50$17.00$16.00$15.50
ATM IV37.7%27.0%46.3%40.0%27.7%
Expected Move10.2%7.7%13.1%8.9%7.7%
HV 20d28.3%23.0%34.4%23.0%31.9%
HV 60d27.6%25.2%29.5%26.4%25.2%
IV Rank15.4%1.9%26.3%18.3%2.8%
IV Percentile54.5%3.6%88.1%65.1%8.7%
Term Structure-1.1%-3.3%1.6%-0.9%-0.8%
VWIV35.5%26.7%45.0%30.1%26.7%
Skew 25d3.9%2.0%5.9%3.1%3.2%
Skew 10d8.0%0.6%24.4%6.9%11.9%
Call IV 25d36.0%25.7%43.8%38.8%26.5%
Put IV 25d39.9%28.8%48.7%41.9%29.7%
Bid-Ask Spread %20.2911.9232.2013.5112.04
Gamma HHI0.250.170.430.180.17
Net GEX2.5M763.8K5.3M1.2M1.1M
Net DEX-33.4M-56.6M-12.2M-12.2M-30.7M
Net VEX-271.1K-298.8K-248.1K-248.1K-260.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.093.151.250.69
Total Volume16,639.851,44741,89717,32714,237
Total OI121,292.387,389141,43887,389109,929

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$15.98$16.0040.0%8.9%23.0%18.3%30.1%3.1%-0.9%1.2M-12.2M-248.1K1.2513.517,6919,63653,52533,864
2015-05-04$16.51$17.0044.3%11.3%25.6%23.7%40.1%2.0%-1.7%1.6M-25.2M-266.1K0.1932.2026,7384,97257,22738,331
2015-05-05$16.43$16.0043.9%11.5%25.5%23.2%40.0%3.9%-3.3%2.8M-40.1M-288.8K0.5719.8517,61410,04178,67042,927
2015-05-06$16.68$16.0042.7%11.2%25.7%21.7%40.8%4.0%-1.5%3.1M-51.1M-293.2K1.0223.7814,85915,18082,42045,009
2015-05-07$16.74$16.0042.2%11.2%25.5%21.2%40.4%4.7%-1.0%3.7M-56.6M-298.8K0.8724.0611,0809,59489,45650,569
2015-05-08$16.54$16.0041.0%11.2%25.3%19.6%36.2%2.4%-2.8%5.3M-52.2M-291.0K0.0922.055,68553288,49650,580
2015-05-11$16.45$16.0042.6%11.6%24.3%21.7%40.4%4.8%-1.5%2.3M-37.0M-279.7K0.3020.201,11733076,73050,518
2015-05-12$16.21$16.0042.6%11.9%23.8%21.6%40.6%5.9%-0.3%2.3M-26.8M-271.9K0.9822.915,1475,03977,13650,773
2015-05-13$16.54$16.0041.7%11.3%25.2%20.4%37.7%5.5%-2.9%2.5M-41.9M-270.0K1.0319.695,5375,68078,41051,872
2015-05-14$15.91$16.0042.3%12.0%28.1%21.2%41.4%2.2%-0.4%3.2M-13.2M-262.8K0.7126.0310,6587,60079,04352,557
2015-05-15$16.00$16.0042.1%11.4%27.1%20.9%39.8%5.3%-2.8%763.8K-16.5M-257.9K2.5819.834,53911,69384,96153,746
2015-05-18$16.00$16.0042.3%11.9%27.1%21.2%41.3%4.4%-2.1%1.5M-24.2M-260.0K0.3227.488,3612,64562,79137,891
2015-05-19$15.74$16.0046.3%13.1%27.5%26.3%45.0%5.2%-2.5%1.4M-20.0M-270.6K3.1523.3510,09131,80668,88239,664
2015-05-20$16.62$16.0029.6%8.5%34.4%5.2%29.2%4.5%1.5%3.0M-53.8M-277.0K0.8323.2113,91911,56475,38460,583
2015-05-21$16.46$16.0027.8%7.9%34.3%2.9%28.7%2.8%0.8%3.8M-52.6M-276.5K0.9718.386,3166,13277,70162,440
2015-05-22$16.47$16.0027.0%7.7%34.2%1.9%27.6%2.3%1.6%4.2M-53.4M-272.4K1.6911.923,3675,69078,14263,296
2015-05-26$16.18$16.0029.7%8.2%33.6%5.4%28.7%3.7%-0.2%1.8M-19.7M-260.0K0.8814.635,1794,53860,07345,182
2015-05-27$16.16$16.0029.7%8.1%33.4%5.4%27.9%3.0%-0.8%2.3M-21.1M-258.4K1.8816.762,4654,63761,56245,590
2015-05-28$16.07$15.5028.3%7.9%31.2%3.6%27.6%4.1%-0.6%2.3M-19.2M-258.3K0.8013.916,0614,82763,76646,150
2015-05-29$16.39$15.5027.7%7.7%31.9%2.8%26.7%3.2%-0.8%1.1M-30.7M-260.2K0.6912.048,4435,79463,39746,532