AEO Options History — August 2015

In August 2015, AEO traded between $15.69 and $18.35. ATM implied volatility averaged 41.6%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 13.5% (HV 20d: 28.1%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.01.

Notable Days

  • 2015-08-18: Highest Volume — 58,325 contracts
  • 2015-08-19: Largest IV drop — 31.4% change
  • 2015-08-18: Highest IV Rank — 33.5%
  • 2015-08-18: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.25$15.69$18.35$17.75$17.05
Max Pain$17.12$17.00$18.00$17.50$17.00
ATM IV41.6%34.7%50.6%40.6%38.1%
Expected Move11.8%10.0%14.4%12.7%10.9%
HV 20d28.1%18.4%41.6%20.0%41.4%
HV 60d24.8%20.1%28.9%23.9%28.1%
IV Rank22.4%14.0%33.5%21.1%18.1%
IV Percentile70.0%44.0%90.5%65.1%51.6%
Term Structure-1.9%-3.8%1.9%-2.1%-1.0%
VWIV40.5%34.2%49.5%44.2%35.2%
Skew 25d3.7%0.6%5.9%2.8%4.8%
Skew 10d8.6%-0.7%26.4%6.7%21.5%
Call IV 25d40.1%35.4%50.2%38.1%35.6%
Put IV 25d43.8%37.7%53.3%40.8%40.4%
Bid-Ask Spread %21.9814.6349.8616.6020.21
Gamma HHI0.190.140.260.190.17
Net GEX1.9M949.4K3.6M2.4M2.0M
Net DEX-28.5M-74.5M19.5M-42.2M-22.3M
Net VEX-255.5K-290.3K-223.7K-278.7K-237.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.174.030.861.12
Total Volume14,609.09590758,3259076,843
Total OI126,542.286100,569180,921117,713100,569

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$17.75$17.5040.6%12.7%20.0%21.1%44.2%2.8%-2.1%2.4M-42.2M-278.7K0.8616.6048742072,61745,096
2015-08-04$18.00$17.5040.1%13.2%18.4%20.6%43.5%3.3%-2.9%2.5M-52.3M-269.8K1.0016.063,5793,58073,05245,443
2015-08-05$17.77$17.5040.7%13.3%18.9%21.3%41.9%4.0%-3.1%2.5M-45.0M-276.0K4.0319.773,45213,90074,33645,544
2015-08-06$17.35$17.0042.0%11.0%20.6%22.9%38.3%4.7%-2.0%1.0M-15.8M-268.4K0.8617.295,6104,82374,32855,042
2015-08-07$17.68$17.0041.5%10.9%21.6%22.3%38.4%4.2%-2.2%1.2M-35.2M-272.5K1.4318.145,2457,48575,80454,767
2015-08-10$17.73$17.0041.9%10.8%20.0%22.7%38.4%4.3%-3.2%1.6M-35.2M-263.6K1.8814.632,0253,80969,28246,442
2015-08-11$17.87$17.0042.2%11.3%20.3%23.1%39.2%2.5%-2.1%1.6M-38.8M-262.9K0.2715.162,07757069,28046,838
2015-08-12$17.65$17.0043.4%11.7%20.6%24.6%40.8%3.7%-2.3%1.6M-32.2M-262.4K0.5520.337,4424,12070,78147,337
2015-08-13$17.87$17.0043.5%11.9%20.6%24.8%40.5%3.2%-2.4%1.9M-43.1M-264.7K0.9315.184,3964,11073,93748,043
2015-08-14$17.99$17.0044.0%12.3%20.1%25.4%41.5%4.0%-2.1%1.5M-43.4M-261.6K0.8017.664,8603,87375,55948,373
2015-08-17$18.35$17.0046.8%13.2%21.3%28.8%46.0%2.9%-3.5%1.7M-54.3M-252.1K0.1730.0529,0164,88172,27145,967
2015-08-18$18.24$17.0050.6%14.4%21.4%33.5%49.5%5.6%-3.8%3.1M-74.5M-290.3K0.2623.3646,44511,88099,10746,643
2015-08-19$16.90$18.0034.7%10.0%34.7%14.0%34.6%2.3%1.9%3.6M-14.5M-256.5K0.1849.8640,8317,476125,65150,458
2015-08-20$16.41$17.0036.4%10.5%35.6%16.1%34.2%3.0%-1.0%2.2M2.3M-244.9K0.3921.8114,7045,751127,04052,583
2015-08-21$15.83$17.0038.4%11.0%37.2%18.4%37.1%3.8%-1.0%1.3M19.5M-224.0K1.1518.776,1507,052128,56252,359
2015-08-24$15.69$17.0045.3%12.9%36.6%26.9%46.7%3.2%-2.7%949.4K-5.1M-223.7K0.9034.613,6293,27776,38330,479
2015-08-25$15.99$17.0043.3%11.8%37.6%24.5%41.6%0.6%-3.3%1.4M-10.9M-234.1K0.7423.224,9043,62876,78130,906
2015-08-26$16.74$17.0042.3%11.7%41.6%23.2%41.3%5.4%-0.6%2.1M-19.4M-244.8K1.0727.064,2894,58277,31931,452
2015-08-27$16.70$17.0038.6%11.2%41.6%18.7%39.6%4.0%0.7%2.0M-17.8M-238.9K1.1624.743,7494,33877,39932,918
2015-08-28$16.75$17.0038.6%11.1%40.7%18.7%37.0%5.9%-1.5%1.6M-17.6M-238.8K1.4317.063,0884,41577,77632,864
2015-08-31$17.05$17.0038.1%10.9%41.4%18.1%35.2%4.8%-1.0%2.0M-22.3M-237.0K1.1220.213,2223,62168,69331,876