AEO Options History — October 2015

In October 2015, AEO traded between $14.67 and $16.13. ATM implied volatility averaged 34.6%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 2.3% (HV 20d: 32.3%). Max pain ranged from $16.00 to $16.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.16.

Notable Days

  • 2015-10-23: Highest Volume — 11,405 contracts
  • 2015-10-05: Largest IV drop — 9.8% change
  • 2015-10-30: Highest IV Rank — 18.7%
  • 2015-10-27: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.56$14.67$16.13$15.53$15.32
Max Pain$16.00$16.00$16.00$16.00$16.00
ATM IV34.6%31.7%38.6%38.4%38.6%
Expected Move9.8%9.2%10.7%10.2%10.1%
HV 20d32.3%28.3%35.7%32.6%34.8%
HV 60d33.1%31.7%35.7%31.7%35.5%
IV Rank13.8%10.2%18.7%18.4%18.7%
IV Percentile38.9%29.4%59.9%52.4%59.9%
Term Structure1.0%-1.6%5.7%-1.2%5.0%
VWIV34.6%32.1%38.1%35.1%38.1%
Skew 25d4.5%2.6%7.7%7.7%2.6%
Skew 10d12.9%3.3%27.3%8.0%17.4%
Call IV 25d32.5%29.4%35.6%33.0%34.9%
Put IV 25d37.1%34.8%40.6%40.6%37.5%
Bid-Ask Spread %16.1411.9825.4420.1113.74
Gamma HHI0.160.140.190.140.18
Net GEX461.3K225.1K703.5K238.4K703.5K
Net DEX-1.5M-8.9M9.3M-336.5K-903.0K
Net VEX-178.4K-192.0K-161.8K-192.0K-173.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.322.051.391.30
Total Volume6,387.6361,69511,4055,5047,078
Total OI79,580.22775,49586,80477,02586,804

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$15.53$16.0038.4%10.2%32.6%18.4%35.1%7.7%-1.2%238.4K-336.5K-192.0K1.3920.112,3013,20344,12332,902
2015-10-02$15.67$16.0037.4%10.0%33.0%17.2%33.2%4.0%-1.2%314.2K-1.6M-186.0K1.3124.342,2762,97644,26732,998
2015-10-05$15.81$16.0033.7%9.7%33.2%12.7%34.4%4.9%0.4%372.1K-3.6M-190.1K0.3216.471,28840742,86232,633
2015-10-06$15.46$16.0034.1%10.3%33.9%13.1%34.3%3.9%1.9%253.2K507.9K-181.5K1.4111.982,2483,16943,01032,665
2015-10-07$15.40$16.0034.5%10.2%32.9%13.7%36.4%5.6%0.6%225.1K1.7M-179.7K1.4913.802,1083,15143,06832,936
2015-10-08$16.02$16.0033.9%9.8%35.7%13.0%33.5%5.2%-0.5%435.2K-5.6M-188.4K0.8514.473,9573,34443,22832,999
2015-10-09$16.13$16.0035.4%9.7%35.3%14.7%35.0%4.6%-1.6%627.9K-8.9M-191.0K1.5514.672,1103,27845,04133,199
2015-10-12$16.04$16.0033.6%9.4%34.6%12.6%32.7%4.6%-0.8%608.8K-7.7M-184.8K1.2816.022,4713,15344,70433,151
2015-10-13$15.79$16.0032.8%9.4%33.6%11.6%33.6%3.5%-0.8%580.0K-4.2M-181.6K1.3814.612,2363,08144,92633,176
2015-10-14$15.63$16.0034.2%9.6%32.1%13.3%32.7%5.0%0.2%589.9K-2.0M-175.6K1.3612.452,2253,02945,01633,216
2015-10-15$15.89$16.0033.1%9.3%30.3%12.0%33.4%4.7%-1.6%666.3K-4.9M-177.8K0.7512.013,9862,98745,03233,080
2015-10-16$15.90$16.0031.7%9.4%30.2%10.2%32.1%5.4%1.8%524.0K-6.9M-179.3K0.7313.893,9952,93546,97933,277
2015-10-19$15.77$16.0031.9%9.2%29.0%10.5%33.0%5.5%-0.9%488.4K-3.9M-175.0K0.8216.923,3902,76744,15032,330
2015-10-20$15.90$16.0032.9%9.4%28.9%11.7%33.2%3.1%-1.3%554.8K-5.9M-177.3K1.2013.513,6754,40244,44932,439
2015-10-21$15.35$16.0033.9%9.7%31.3%12.9%33.2%4.7%0.5%308.8K1.9M-169.3K0.7515.553,9903,00744,94633,976
2015-10-22$15.42$16.0033.1%9.5%31.4%11.9%33.9%3.9%0.6%506.5K-565.1K-173.0K1.2014.302,7133,26647,16634,051
2015-10-23$14.91$16.0034.8%10.0%32.7%14.1%35.6%4.4%0.5%284.3K6.2M-162.2K2.0519.963,7437,66247,36434,320
2015-10-26$15.03$16.0036.6%10.5%28.3%16.3%36.9%5.6%5.7%331.6K5.1M-169.1K1.2717.923,1193,96847,85535,673
2015-10-27$14.67$16.0036.8%10.7%28.5%16.4%36.8%3.4%5.3%239.5K9.3M-161.8K0.9815.903,6343,54848,59635,992
2015-10-28$15.44$16.0033.9%9.9%34.2%12.9%36.1%3.8%5.3%684.5K-3.0M-183.2K0.8825.444,1723,66949,85636,030
2015-10-29$15.15$16.0036.8%10.1%34.7%16.5%36.9%3.5%4.9%611.5K1.3M-172.2K1.1617.083,1493,66250,28935,991
2015-10-30$15.32$16.0038.6%10.1%34.8%18.7%38.1%2.6%5.0%703.5K-903.0K-173.9K1.3013.743,0803,99850,63536,169