AEO Options History — December 2015

In December 2015, AEO traded between $15.07 and $16.38. ATM implied volatility averaged 38.1%, placing in the 42.8% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 0.9% (HV 20d: 37.2%). Max pain ranged from $15.00 to $15.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.23.

Notable Days

  • 2015-12-15: Highest Volume — 12,224 contracts
  • 2015-12-03: Largest IV drop — 23.5% change
  • 2015-12-02: Highest IV Rank — 70.2%
  • 2015-12-02: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.65$15.07$16.38$15.77$15.57
Max Pain$15.05$15.00$15.50$15.50$15.00
ATM IV38.1%34.6%47.6%46.8%35.5%
Expected Move11.5%10.5%15.9%15.7%11.1%
HV 20d37.2%28.0%51.0%51.0%28.0%
HV 60d39.4%38.2%40.5%39.9%38.2%
IV Rank42.8%32.6%70.2%67.9%35.3%
IV Percentile57.8%41.3%94.8%93.3%45.6%
Term Structure0.6%-1.6%5.6%-1.6%0.3%
VWIV40.5%36.5%55.1%54.0%39.0%
Skew 25d5.3%0.9%7.7%7.0%6.2%
Skew 10d11.2%2.7%20.7%14.1%15.0%
Call IV 25d36.1%32.6%46.0%44.4%32.7%
Put IV 25d41.4%37.2%51.4%51.4%38.9%
Bid-Ask Spread %18.9514.3325.0019.9223.72
Gamma HHI0.200.150.290.170.23
Net GEX411.3K41.7K676.8K401.0K352.8K
Net DEX-356.9K-12.6M8.5M-5.1M539.0K
Net VEX-144.9K-172.8K-128.0K-169.5K-129.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.191.860.191.22
Total Volume7,470.2272,31812,2247,2796,180
Total OI78,134.36470,22787,47077,48374,417

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$15.77$15.5046.8%15.7%51.0%67.9%54.0%7.0%-1.6%401.0K-5.1M-169.5K0.1919.926,1331,14643,19634,287
2015-12-02$15.82$15.5047.6%15.9%39.7%70.2%55.1%5.1%-0.3%656.8K-9.1M-172.8K1.2720.445,3036,76147,99734,955
2015-12-03$15.31$15.0036.4%11.4%41.1%37.7%40.3%4.2%5.6%576.4K2.2M-157.1K1.1825.005,2016,14449,89536,962
2015-12-04$15.82$15.0034.6%10.5%43.1%32.6%37.0%4.3%2.1%454.3K-4.8M-160.7K1.4117.653,8335,39550,39537,075
2015-12-07$16.08$15.0036.3%10.6%43.3%37.5%38.8%7.7%-1.2%564.6K-8.1M-158.3K0.7716.831,3111,00744,36635,451
2015-12-08$16.07$15.0037.3%11.0%42.6%40.3%38.5%5.3%1.2%592.3K-8.0M-158.4K1.4714.842,9874,39045,17635,943
2015-12-09$16.38$15.0036.9%11.3%42.7%39.3%38.9%6.0%2.8%676.8K-12.6M-160.3K1.8617.922,7335,07145,48236,136
2015-12-10$15.93$15.0037.5%10.7%43.7%40.9%40.4%0.9%0.9%524.5K-4.4M-154.3K1.4121.893,2284,55945,41336,986
2015-12-11$15.61$15.0039.2%11.2%42.7%45.9%41.3%2.5%0.9%324.3K764.9K-151.2K1.3214.333,3714,43745,58137,227
2015-12-14$15.63$15.0039.6%11.3%36.5%47.1%40.1%6.7%-0.4%312.7K1.3M-146.9K1.5117.492,7224,11944,76736,743
2015-12-15$15.70$15.0039.2%11.2%36.3%45.9%41.2%5.6%0.8%330.0K691.7K-146.2K0.5815.237,7444,48044,49936,986
2015-12-16$15.56$15.0037.5%10.7%36.4%40.8%39.5%5.7%1.3%245.5K5.1M-140.2K0.9921.844,7344,70942,55137,012
2015-12-17$15.24$15.0039.1%11.2%34.5%45.8%43.1%5.2%0.2%41.7K8.5M-136.7K1.6018.212,5114,02242,70636,813
2015-12-18$15.20$15.0039.4%11.3%34.3%46.4%41.4%2.4%1.2%249.3K8.4M-134.9K1.7714.572,2844,04142,82036,726
2015-12-21$15.07$15.0039.5%11.4%32.7%46.7%38.5%6.7%-0.1%204.4K7.4M-128.8K1.5620.532,0143,14537,76132,466
2015-12-22$15.54$15.0036.8%10.8%34.1%39.0%37.5%6.0%-0.0%315.2K3.0M-132.1K1.3122.242,3973,14437,94532,565
2015-12-23$15.59$15.0035.7%10.8%33.3%35.8%36.5%7.1%-0.7%407.9K2.0M-131.8K0.9718.383,3393,25338,40132,624
2015-12-24$15.47$15.0036.5%10.8%33.1%38.0%36.7%5.3%-0.5%417.7K2.8M-130.6K0.9716.743,3813,28339,48432,768
2015-12-28$15.49$15.0036.4%11.0%33.2%37.9%37.3%4.7%0.6%421.5K1.8M-128.0K1.3821.042,4233,34338,55332,231
2015-12-29$15.74$15.0035.9%11.0%28.3%36.4%38.6%6.1%-0.1%439.4K-525.2K-128.5K1.1716.423,4794,07238,80632,775
2015-12-30$15.65$15.0034.9%11.2%28.0%33.6%38.3%6.1%-0.0%538.6K52.4K-131.0K1.0421.693,1913,32540,19533,819
2015-12-31$15.57$15.0035.5%11.1%28.0%35.3%39.0%6.2%0.3%352.8K539.0K-129.2K1.2223.722,7833,39740,40234,015