AEO Options History — July 2015

In July 2015, AEO traded between $17.11 and $18.31. ATM implied volatility averaged 33.1%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 14.3% (HV 20d: 18.8%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.25.

Notable Days

  • 2015-07-23: Highest Volume — 14,693 contracts
  • 2015-07-20: Largest IV spike — 15.4% change
  • 2015-07-30: Highest IV Rank — 21.6%
  • 2015-07-31: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.77$17.11$18.31$17.38$17.74
Max Pain$17.86$17.00$18.00$17.00$17.50
ATM IV33.1%27.2%40.9%27.3%40.4%
Expected Move10.4%7.5%12.2%7.5%12.2%
HV 20d18.8%17.2%20.4%20.4%20.2%
HV 60d25.1%23.7%26.1%25.5%23.9%
IV Rank11.9%4.7%21.6%4.9%20.9%
IV Percentile37.5%7.5%67.5%9.1%64.7%
Term Structure1.5%-3.3%8.1%0.7%-0.9%
VWIV35.9%26.3%42.1%26.3%41.2%
Skew 25d3.2%0.8%4.9%2.9%4.8%
Skew 10d9.0%3.1%15.8%11.0%9.6%
Call IV 25d31.8%25.7%39.8%26.9%38.0%
Put IV 25d35.0%29.0%43.1%29.8%42.8%
Bid-Ask Spread %16.6913.3524.1913.7219.77
Gamma HHI0.170.150.210.180.19
Net GEX1.4M487.7K2.3M487.7K2.3M
Net DEX-36.0M-52.6M-18.6M-20.9M-41.2M
Net VEX-299.6K-322.2K-277.5K-319.7K-280.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.532.130.550.84
Total Volume8,778.4096,39114,69311,9909,415
Total OI111,875.636107,305117,036107,305117,036

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$17.38$17.0027.3%7.5%20.4%4.9%26.3%2.9%0.7%487.7K-20.9M-319.7K0.5513.727,7374,25356,64650,659
2015-07-02$17.11$17.0028.6%7.7%19.4%6.4%27.9%0.8%1.1%738.1K-18.6M-322.2K0.7316.356,4684,71059,93650,420
2015-07-06$17.29$18.0029.4%10.7%17.9%7.4%36.1%2.0%0.7%836.6K-22.6M-315.6K1.2815.953,2974,22560,04649,412
2015-07-07$17.75$18.0029.9%10.4%19.8%8.0%36.3%2.5%0.6%1.1M-35.6M-320.3K1.8924.192,3984,53961,62749,618
2015-07-08$17.65$18.0031.0%10.6%19.3%9.3%36.3%4.3%-0.0%1.1M-32.2M-321.6K1.7814.612,4804,41262,12650,215
2015-07-09$17.75$18.0031.1%10.6%17.4%9.4%37.2%3.1%-1.0%1.2M-34.7M-320.2K1.7215.452,4014,12362,13050,085
2015-07-10$17.88$18.0028.5%10.3%17.2%6.3%33.6%3.8%0.6%1.3M-38.4M-315.8K1.9916.862,1344,25762,28550,181
2015-07-13$18.27$18.0027.2%10.1%18.5%4.7%34.8%3.4%8.1%1.4M-49.2M-304.3K1.3613.683,2834,47162,31549,232
2015-07-14$18.20$18.0028.2%9.9%17.6%5.9%35.0%2.6%7.1%1.4M-47.9M-300.4K1.2014.043,3574,03561,83449,106
2015-07-15$18.08$18.0028.3%9.8%17.3%6.0%32.2%2.5%6.2%1.5M-46.2M-300.5K1.1813.353,4164,03263,01449,747
2015-07-16$18.31$18.0027.7%9.6%17.7%5.3%32.8%3.4%7.3%1.4M-52.6M-289.7K0.5714.476,7713,87263,11449,929
2015-07-17$18.04$18.0029.2%9.8%18.7%7.1%33.6%2.9%7.9%1.5M-46.0M-298.3K0.6716.015,7513,84964,31849,965
2015-07-20$18.00$18.0033.7%10.1%18.5%12.6%33.8%3.3%1.4%1.3M-40.0M-294.3K1.1615.813,2693,80262,34248,036
2015-07-21$18.04$18.0033.9%9.9%18.5%13.0%34.4%4.2%2.0%1.3M-40.7M-292.9K1.0519.723,9054,10162,53048,091
2015-07-22$18.08$18.0036.3%10.4%17.9%15.9%36.7%2.3%0.1%1.5M-42.5M-293.0K1.1117.053,6083,98864,20648,386
2015-07-23$17.77$18.0037.5%10.8%18.6%17.4%40.7%4.9%-1.0%1.5M-34.3M-293.7K2.0917.584,7619,93264,97548,657
2015-07-24$17.54$18.0039.6%11.5%19.2%19.9%38.3%3.2%-1.8%1.6M-29.9M-286.4K0.8919.775,3334,74765,94244,554
2015-07-27$17.77$18.0039.1%11.4%19.8%19.3%39.9%3.7%-1.2%1.5M-34.4M-284.9K1.6215.692,8884,66764,47645,033
2015-07-28$17.57$18.0039.9%11.8%19.6%20.3%39.1%2.3%-1.5%1.6M-29.9M-279.5K1.2217.713,6884,49565,17545,216
2015-07-29$17.42$18.0040.0%12.1%19.9%20.4%42.1%4.6%-1.0%1.7M-26.4M-277.5K0.5319.519,0394,75266,86045,290
2015-07-30$17.36$17.5040.9%12.1%19.7%21.6%42.1%3.0%-3.3%2.0M-28.1M-279.5K2.1315.962,0684,39670,87945,620
2015-07-31$17.74$17.5040.4%12.2%20.2%20.9%41.2%4.8%-0.9%2.3M-41.2M-280.9K0.8419.775,1094,30671,34545,691