AEO Options History — September 2015

In September 2015, AEO traded between $15.23 and $17.08. ATM implied volatility averaged 35.8%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 0.4% (HV 20d: 36.3%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.09.

Notable Days

  • 2015-09-11: Highest Volume — 11,863 contracts
  • 2015-09-28: Largest IV spike — 10.0% change
  • 2015-09-01: Highest IV Rank — 21.1%
  • 2015-09-01: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.22$15.23$17.08$16.98$15.67
Max Pain$16.24$16.00$17.00$17.00$16.00
ATM IV35.8%31.9%40.6%40.6%35.8%
Expected Move10.2%9.1%11.5%11.5%10.5%
HV 20d36.3%27.2%41.8%40.9%32.8%
HV 60d29.4%27.4%32.1%28.1%31.7%
IV Rank15.3%10.5%21.1%21.1%15.3%
IV Percentile41.7%29.4%64.3%64.3%39.7%
Term Structure-0.5%-2.1%1.5%-1.8%1.4%
VWIV35.4%32.0%39.3%37.6%36.2%
Skew 25d5.6%3.1%8.2%8.2%7.0%
Skew 10d14.4%6.2%25.0%22.7%12.2%
Call IV 25d33.6%30.6%37.5%37.5%33.5%
Put IV 25d39.3%34.7%45.7%45.7%40.6%
Bid-Ask Spread %18.8114.7925.1921.2015.76
Gamma HHI0.180.140.230.170.14
Net GEX810.3K190.0K1.8M1.8M255.6K
Net DEX-8.7M-22.2M2.8M-20.8M-1.0M
Net VEX-206.7K-238.8K-181.1K-238.8K-189.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.321.850.851.16
Total Volume7,069.66792311,8638,6955,756
Total OI85,766.28676,163101,164101,16476,388

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$16.98$17.0040.6%11.5%40.9%21.1%37.6%8.2%-1.8%1.8M-20.8M-238.8K0.8521.204,7103,98569,22531,939
2015-09-02$17.08$17.0038.3%10.3%40.9%18.4%35.1%5.9%1.2%1.7M-22.2M-234.3K1.0616.563,6363,85368,52332,065
2015-09-03$16.96$16.0036.8%10.1%40.1%16.5%37.0%5.5%-2.1%1.6M-19.7M-229.3K1.0514.793,6673,84168,60332,182
2015-09-04$16.98$16.0037.4%10.2%39.4%17.3%36.1%7.9%-1.3%1.8M-18.7M-228.3K0.9418.903,8523,63168,72932,403
2015-09-08$16.98$16.0036.5%10.3%39.4%16.1%37.1%5.5%-1.0%1.5M-18.8M-219.3K0.3216.7370122254,07931,910
2015-09-09$16.55$16.0036.2%10.0%40.1%15.8%36.8%4.9%-2.0%1.1M-12.2M-211.4K1.0716.793,4713,71854,37532,042
2015-09-10$16.22$16.0036.9%10.3%40.4%16.6%35.8%5.4%-1.7%584.6K-5.9M-200.6K1.1918.013,6864,38454,54332,409
2015-09-11$15.98$17.0036.2%10.1%40.0%15.7%34.4%6.3%-0.8%403.0K-1.6M-197.9K0.5419.227,7254,13854,83733,631
2015-09-14$15.66$17.0036.2%10.2%40.1%15.7%36.0%6.4%0.6%592.1K-1.5M-196.7K0.7616.544,6623,52351,63433,188
2015-09-15$15.25$17.0036.9%10.5%39.4%16.6%35.6%5.1%-0.8%529.5K2.8M-183.2K0.5724.593,0321,73552,52032,613
2015-09-16$15.72$16.0033.3%9.5%41.8%12.1%34.0%4.9%1.2%744.6K-3.1M-202.6K0.7719.294,5943,54753,70333,528
2015-09-17$16.25$16.0034.1%9.8%35.4%13.1%32.8%4.1%-1.3%691.9K-11.4M-209.6K0.6625.195,6753,75053,69333,824
2015-09-18$16.15$16.0033.8%9.7%34.0%12.8%32.0%5.6%0.4%497.5K-9.8M-206.9K0.7720.745,1813,96653,65134,166
2015-09-21$16.52$16.0031.9%9.1%32.3%10.5%32.8%4.7%1.5%627.4K-11.0M-206.8K1.4119.932,7443,88244,29532,412
2015-09-22$16.29$16.0034.6%9.5%32.6%13.8%33.6%4.8%-0.8%560.3K-8.4M-207.0K1.5417.592,5253,89144,60432,838
2015-09-23$16.27$16.0033.1%9.5%31.9%12.0%34.3%4.8%-0.3%532.7K-7.6M-204.8K1.6318.522,2383,64844,84233,168
2015-09-24$16.31$16.0034.2%9.6%27.2%13.3%34.9%6.1%-1.3%545.5K-8.6M-205.2K1.6718.172,3023,83844,86733,042
2015-09-25$15.98$16.0034.9%10.0%28.0%14.2%33.5%3.1%-1.1%517.5K-4.8M-199.2K1.8517.802,6234,85145,12633,128
2015-09-28$15.23$16.0038.4%11.5%32.3%18.4%39.3%5.7%0.2%190.0K2.5M-181.1K1.5320.992,2853,50643,55032,654
2015-09-29$15.51$16.0036.1%11.2%32.3%15.6%38.2%6.3%-1.1%249.9K-227.7K-188.2K1.5017.732,1933,29643,63632,527
2015-09-30$15.67$16.0035.8%10.5%32.8%15.3%36.2%7.0%1.4%255.6K-1.0M-189.8K1.1615.762,6633,09343,63532,753