AEO Options History — June 2015

In June 2015, AEO traded between $16.21 and $17.77. ATM implied volatility averaged 26.7%, placing in the 2.4% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 0.3% (HV 20d: 27.0%). Max pain ranged from $15.50 to $17.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 2.05.

Notable Days

  • 2015-06-29: Highest Volume — 16,674 contracts
  • 2015-06-29: Largest IV spike — 10.0% change
  • 2015-06-30: Highest IV Rank — 5.9%
  • 2015-06-09: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.06$16.21$17.77$16.21$17.25
Max Pain$16.18$15.50$17.00$15.50$17.00
ATM IV26.7%23.4%28.9%28.9%28.2%
Expected Move7.5%6.6%8.2%8.1%8.0%
HV 20d27.0%20.4%33.1%32.2%20.7%
HV 60d25.7%24.5%26.4%24.9%25.5%
IV Rank2.4%0.0%5.9%4.4%5.9%
IV Percentile6.8%0.0%18.7%18.7%18.7%
Term Structure-0.2%-1.8%2.1%-1.7%-0.5%
VWIV27.3%24.2%32.5%28.0%28.2%
Skew 25d3.1%1.3%6.5%3.8%2.5%
Skew 10d8.8%-6.5%19.4%11.6%10.3%
Call IV 25d24.9%20.8%27.1%25.9%25.6%
Put IV 25d28.0%24.9%30.0%29.8%28.0%
Bid-Ask Spread %16.1110.8847.8712.9415.97
Gamma HHI0.190.160.240.160.19
Net GEX1.2M551.7K2.4M1.6M551.7K
Net DEX-32.1M-43.8M-19.1M-21.4M-19.1M
Net VEX-277.7K-312.7K-267.1K-267.1K-312.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.050.496.821.040.74
Total Volume9,182.0454,79916,67411,59112,674
Total OI98,070.72790,476106,44396,262106,443

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$16.21$15.5028.9%8.1%32.2%4.4%28.0%3.8%-1.7%1.6M-21.4M-267.1K1.0412.945,6855,90656,93539,327
2015-06-02$16.24$15.5028.8%8.0%30.0%4.2%27.4%3.4%-0.4%1.6M-22.1M-267.1K0.4911.524,5562,22057,68939,995
2015-06-03$16.47$15.5027.9%8.1%30.4%3.1%27.5%2.1%-0.8%2.4M-29.0M-278.3K1.4611.264,6526,80060,56741,438
2015-06-04$16.91$16.0028.0%7.9%31.4%3.2%28.6%2.1%-1.8%1.8M-41.9M-280.2K1.4514.694,6926,78361,47441,529
2015-06-05$16.56$16.0028.2%7.7%32.3%3.4%29.0%2.5%-0.4%1.4M-34.4M-271.7K2.7214.133,5129,55960,65641,783
2015-06-08$16.63$16.0027.7%7.8%32.0%2.8%29.2%2.1%-0.9%1.3M-25.5M-279.1K5.1310.881,8329,40255,85243,899
2015-06-09$16.43$16.0027.2%8.2%32.2%2.2%28.9%2.5%1.5%1.2M-20.8M-277.2K3.5619.402,3708,43255,85644,217
2015-06-10$16.87$16.0027.3%7.5%33.1%2.2%27.0%3.4%0.2%1.2M-30.6M-279.8K1.3416.033,9045,22155,80444,463
2015-06-11$17.05$16.0027.1%7.5%32.5%2.1%27.3%3.4%-1.1%1.0M-34.6M-276.7K1.6219.932,4463,97355,46144,522
2015-06-12$17.15$16.0027.8%7.6%28.8%3.0%26.9%2.5%-1.7%984.4K-36.5M-276.4K1.3615.003,0954,20455,78944,767
2015-06-15$16.92$16.0027.3%7.8%29.5%2.3%29.0%3.4%-0.2%984.0K-29.6M-274.3K2.4211.951,9174,63754,25540,004
2015-06-16$17.20$16.0027.5%7.9%29.8%2.6%27.0%3.7%-0.2%894.4K-35.3M-274.2K2.2712.621,9544,43754,25440,772
2015-06-17$17.26$16.0026.6%7.6%28.9%1.4%26.9%2.1%-0.5%873.5K-36.9M-274.2K0.5447.876,9263,77254,29640,937
2015-06-18$17.39$16.0026.4%7.6%22.2%1.1%25.1%5.2%-1.1%1.0M-41.1M-281.0K2.0714.431,8633,85258,53940,855
2015-06-19$17.54$16.0024.7%7.0%21.8%0.0%27.1%6.5%1.5%720.6K-43.8M-279.1K0.8015.374,7263,80458,74041,116
2015-06-22$17.52$16.0024.5%6.8%21.9%0.0%24.6%3.4%-0.2%890.8K-31.9M-276.9K2.0612.922,4304,99652,03938,437
2015-06-23$17.77$16.5023.4%6.7%20.7%0.0%24.6%3.2%0.3%934.0K-37.8M-272.8K2.7312.951,2883,51153,18539,901
2015-06-24$17.59$17.0024.3%6.7%21.3%1.1%25.5%1.3%1.8%891.2K-34.7M-268.7K1.3216.433,3164,36853,13540,000
2015-06-25$17.56$17.0024.1%6.9%21.1%0.9%25.4%2.9%-0.3%1.0M-33.8M-282.4K2.0317.642,1264,31455,17040,995
2015-06-26$17.53$17.0024.9%6.6%20.4%1.9%24.2%3.9%2.1%1.1M-34.4M-273.0K1.0514.574,4684,70855,16840,987
2015-06-29$17.30$17.0027.4%8.0%20.6%5.0%32.5%1.8%-0.2%1.0M-30.6M-285.6K6.8215.952,13114,54357,08439,221
2015-06-30$17.25$17.0028.2%8.0%20.7%5.9%28.2%2.5%-0.5%551.7K-19.1M-312.7K0.7415.977,2915,38357,52748,916