AEO Options History — January 2016

In January 2016, AEO traded between $13.17 and $16.09. ATM implied volatility averaged 39.1%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 27.1% (HV 20d: 66.2%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.94.

Notable Days

  • 2016-01-05: Highest Volume — 21,072 contracts
  • 2016-01-25: Largest IV spike — 8.0% change
  • 2016-01-20: Highest IV Rank — 52.4%
  • 2016-01-20: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.62$13.17$16.09$15.76$14.35
Max Pain$15.26$15.00$16.00$16.00$15.00
ATM IV39.1%36.3%41.4%38.1%39.9%
Expected Move11.0%10.3%11.9%10.3%10.3%
HV 20d66.2%24.0%81.0%25.6%80.7%
HV 60d52.3%37.6%57.3%38.3%56.6%
IV Rank45.7%37.5%52.4%42.7%48.1%
IV Percentile66.1%49.2%76.6%61.1%70.2%
Term Structure1.9%-2.3%8.0%-1.9%6.8%
VWIV37.4%30.6%43.2%36.5%43.2%
Skew 25d5.8%3.3%7.2%7.2%3.3%
Skew 10d16.0%-46.1%30.1%14.0%21.2%
Call IV 25d36.6%33.2%39.6%35.0%35.6%
Put IV 25d42.4%38.8%46.3%42.2%38.8%
Bid-Ask Spread %23.2015.6755.8117.7124.15
Gamma HHI0.180.110.540.240.12
Net GEX306.2K-239.5K1.4M351.9K178.3K
Net DEX7.5M-12.5M31.3M-414.1K5.6M
Net VEX-119.0K-145.5K-85.8K-128.1K-118.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.291.630.500.96
Total Volume9,088.1585,16021,07214,2745,160
Total OI67,153.21142,74696,42772,13247,748

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-01-04$15.76$16.0038.1%10.3%25.6%42.7%36.5%7.2%-1.9%351.9K-414.1K-128.1K0.5017.719,4994,77539,00733,125
2016-01-05$16.09$16.0039.6%10.7%24.0%47.0%35.9%4.5%-1.3%800.4K-10.7M-137.7K0.2923.3616,3814,69145,27734,292
2016-01-06$15.79$16.0039.6%10.9%24.2%47.2%37.9%6.7%0.9%1.4M-10.8M-141.7K1.6321.815,0428,22754,32434,786
2016-01-07$15.99$16.0041.3%11.1%24.7%52.2%38.5%4.9%-2.3%1.3M-12.5M-145.5K1.5918.124,7177,48754,80737,664
2016-01-08$13.17$16.0040.0%11.7%72.4%48.3%41.0%5.1%2.9%-239.5K31.3M-85.8K1.4417.316,1708,90556,11240,315
2016-01-11$13.49$15.0039.4%11.7%73.1%46.5%37.9%5.5%2.1%-142.1K25.2M-96.4K0.9117.423,8833,51946,59638,668
2016-01-12$14.05$15.0038.4%10.5%75.0%43.6%36.4%6.6%-1.7%63.3K21.4M-107.6K0.7423.915,3183,92147,60738,824
2016-01-13$14.02$15.0037.4%11.1%74.9%40.6%37.8%6.3%1.6%83.4K20.7M-110.0K0.9718.863,8433,71649,31339,266
2016-01-14$14.61$15.0038.5%10.8%76.7%44.0%38.1%6.8%-0.5%649.8K14.7M-119.0K1.5721.374,5247,11949,95239,213
2016-01-15$14.33$15.0040.6%11.7%76.9%50.0%40.8%6.7%0.9%52.1K18.4M-117.0K0.9120.514,0103,64048,03339,914
2016-01-19$14.53$15.0040.0%11.5%76.9%48.3%39.3%5.6%-0.3%91.8K5.7M-117.1K0.9627.522,7162,61120,47322,273
2016-01-20$14.75$15.0041.4%11.9%77.1%52.4%31.8%7.0%-0.6%119.4K3.9M-120.7K0.9022.192,8382,54620,95922,324
2016-01-21$14.67$15.0039.4%11.3%77.1%46.5%33.7%6.4%-0.2%125.7K4.4M-119.3K0.5019.944,6862,33721,28222,522
2016-01-22$14.99$15.0036.3%10.4%76.6%37.5%30.6%5.7%0.3%333.8K1.4M-126.1K0.4720.304,3872,06123,29422,845
2016-01-25$14.04$15.0039.2%11.2%79.8%45.9%37.4%4.1%6.6%135.4K7.4M-113.1K0.7915.673,8863,06622,44321,924
2016-01-26$14.50$15.0037.0%10.4%80.9%39.4%39.9%5.1%8.0%162.9K4.7M-120.1K0.8931.083,2162,87223,29122,773
2016-01-27$14.34$15.0038.5%10.8%81.0%43.8%38.6%6.0%7.3%150.5K6.2M-118.9K0.8955.812,9302,60723,86623,275
2016-01-28$14.35$15.0038.8%10.5%80.6%44.6%36.0%6.7%6.8%157.6K6.2M-119.0K0.9223.802,7992,57024,14923,375
2016-01-29$14.35$15.0039.9%10.3%80.7%48.1%43.2%3.3%6.8%178.3K5.6M-118.7K0.9624.152,6392,52124,25323,495