AEO Options History — November 2015

In November 2015, AEO traded between $14.54 and $16.64. ATM implied volatility averaged 48.6%, placing in the 64.1% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 1.0% (HV 20d: 47.5%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2015-11-03: Highest Volume — 35,123 contracts
  • 2015-11-13: Largest IV spike — 14.9% change
  • 2015-11-17: Highest IV Rank — 100.0%
  • 2015-11-18: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.82$14.54$16.64$15.21$15.57
Max Pain$15.15$15.00$16.00$16.00$15.00
ATM IV48.6%42.5%57.8%43.5%50.0%
Expected Move13.8%10.0%16.6%11.1%16.3%
HV 20d47.5%34.6%51.8%34.6%50.9%
HV 60d38.7%35.3%39.9%35.3%39.8%
IV Rank64.1%23.5%100.0%24.8%77.3%
IV Percentile92.0%80.6%100.0%84.1%95.2%
Term Structure-2.1%-5.5%1.4%-0.6%-1.5%
VWIV48.2%32.9%57.9%37.9%56.3%
Skew 25d5.0%2.2%9.2%8.2%3.3%
Skew 10d16.3%3.0%30.6%11.1%12.7%
Call IV 25d46.5%39.4%55.3%39.4%47.4%
Put IV 25d51.5%45.0%61.5%47.6%50.7%
Bid-Ask Spread %18.9913.0926.0617.1026.06
Gamma HHI0.190.130.250.180.17
Net GEX636.7K-126.3K1.4M710.5K346.8K
Net DEX-10.2M-32.9M17.9M-251.8K-3.6M
Net VEX-198.4K-247.5K-168.8K-174.8K-168.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.172.040.590.54
Total Volume13,168.11,68235,12323,6153,826
Total OI101,231.0572,093120,88486,62975,094

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$15.21$16.0043.5%11.1%34.6%24.8%37.9%8.2%-0.6%710.5K-251.8K-174.8K0.5917.1014,8208,79550,44736,182
2015-11-03$16.60$16.0042.5%10.0%46.1%23.5%36.2%2.7%-2.0%1.2M-32.9M-190.4K0.7619.7719,96615,15758,43138,748
2015-11-04$16.62$16.0043.5%10.0%46.0%24.7%32.9%2.2%-1.2%884.4K-31.9M-244.4K0.5515.827,6184,21866,77951,587
2015-11-05$16.64$15.0043.8%11.9%44.0%25.1%41.8%4.2%-2.2%971.6K-32.7M-247.5K0.6517.776,2164,05368,35752,005
2015-11-06$16.38$15.0043.5%12.3%44.4%24.7%43.5%2.4%-3.1%732.4K-26.7M-243.3K0.1718.841,74729168,58052,304
2015-11-09$16.03$15.0045.0%12.6%45.1%60.1%43.7%2.5%-0.0%489.2K-5.6M-233.1K0.2721.471,32735559,11951,720
2015-11-10$16.32$15.0043.9%12.7%45.1%57.1%43.9%4.8%1.4%748.8K-11.1M-235.6K1.0918.243,2013,48759,74151,944
2015-11-11$16.14$15.0044.8%12.5%45.1%59.8%39.8%2.9%-1.5%756.3K-11.1M-232.5K1.3725.382,5543,48759,77551,995
2015-11-12$15.62$15.0047.4%13.3%46.4%67.0%47.9%3.9%-1.5%385.2K996.6K-225.6K0.4613.098,2133,75862,73352,422
2015-11-13$14.72$15.0054.5%15.0%50.8%86.6%53.4%2.5%-2.7%-126.3K17.9M-208.4K0.8420.9418,55115,56866,18452,587
2015-11-16$14.64$15.0055.3%15.4%50.8%93.9%55.0%5.4%0.1%72.3K12.9M-169.8K0.3419.774,1731,41158,98643,263
2015-11-17$14.54$15.0057.7%16.4%50.6%100.0%57.9%6.7%-2.2%232.6K12.2M-169.1K0.3320.1215,7225,22462,00943,028
2015-11-18$15.15$15.0057.8%16.6%51.7%100.0%56.9%7.3%-4.3%687.7K-1.1M-177.7K0.2521.7319,8944,95963,48842,542
2015-11-19$15.32$15.0055.1%16.0%51.8%92.1%56.2%7.4%-5.5%1.4M-10.8M-176.1K0.2816.2315,3714,27769,04642,547
2015-11-20$15.75$15.0051.8%15.1%51.1%82.5%52.9%5.2%-2.1%380.8K-22.3M-169.8K0.3716.4515,9015,80968,57442,578
2015-11-23$16.02$15.0048.7%14.9%51.4%73.6%52.5%9.2%-2.0%475.7K-9.4M-170.2K0.4515.943,5291,57740,40831,685
2015-11-24$16.33$15.0047.5%14.4%50.6%70.1%52.2%7.2%-3.7%851.6K-15.4M-177.1K0.5420.091,42176243,11932,300
2015-11-25$16.45$15.0046.6%14.7%47.6%67.5%50.8%7.2%-2.5%754.5K-17.3M-175.5K1.3116.163,8185,01843,85832,462
2015-11-27$16.40$15.0048.3%15.3%47.0%72.3%53.3%5.8%-4.1%767.2K-16.3M-179.0K2.0418.832,3974,89144,46133,533
2015-11-30$15.57$15.0050.0%16.3%50.9%77.3%56.3%3.3%-1.5%346.8K-3.6M-168.8K0.5426.062,4891,33741,75533,339