AEO Options History — February 2016

In February 2016, AEO traded between $13.16 and $15.28. ATM implied volatility averaged 47.8%, placing in the 70.8% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 2.2% (HV 20d: 50.0%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.38.

Notable Days

  • 2016-02-26: Highest Volume — 10,234 contracts
  • 2016-02-05: Largest IV spike — 10.7% change
  • 2016-02-10: Highest IV Rank — 87.6%
  • 2016-02-29: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.18$13.16$15.28$14.53$15.28
Max Pain$14.15$14.00$15.00$15.00$14.00
ATM IV47.8%43.4%53.5%43.4%45.6%
Expected Move13.5%10.8%14.9%10.9%14.9%
HV 20d50.0%33.2%82.3%80.9%33.6%
HV 60d53.6%52.3%55.0%53.6%52.3%
IV Rank70.8%58.2%87.6%58.2%64.4%
IV Percentile92.4%86.1%98.0%86.1%87.3%
Term Structure-1.9%-3.6%0.4%-1.5%-2.1%
VWIV48.2%39.3%52.3%39.3%51.9%
Skew 25d6.4%3.6%8.6%7.6%4.5%
Skew 10d22.4%-11.2%39.3%14.3%8.7%
Call IV 25d45.1%41.4%51.9%41.4%42.1%
Put IV 25d51.6%46.7%56.7%49.0%46.7%
Bid-Ask Spread %33.2919.3585.6231.2234.88
Gamma HHI0.130.110.180.110.14
Net GEX63.3K-29.3K196.3K124.8K196.3K
Net DEX6.5M-2.9M14.1M4.8M-2.6M
Net VEX-113.1K-128.0K-97.1K-118.1K-127.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.322.540.950.32
Total Volume6,159.854,40110,2345,4159,253
Total OI46,905.8541,57250,59645,16648,458

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$14.53$15.0043.4%10.9%80.9%58.2%39.3%7.6%-1.5%124.8K4.8M-118.1K0.9531.222,7722,64322,51122,655
2016-02-02$14.46$15.0045.0%10.9%80.7%62.8%43.4%5.3%-1.3%128.1K5.3M-118.0K1.0722.892,3732,54622,84523,013
2016-02-03$14.22$15.0046.2%10.8%80.2%66.3%41.2%7.4%-1.7%86.9K7.4M-113.3K1.0523.622,8122,96522,94523,110
2016-02-04$14.01$14.0045.3%12.7%80.2%63.7%43.8%7.5%0.4%67.2K9.1M-111.4K0.9522.743,0672,91523,25623,593
2016-02-05$13.16$14.0050.2%13.8%82.3%77.8%46.4%3.6%-2.5%-29.3K14.1M-97.1K1.4325.862,4163,46023,84723,637
2016-02-08$13.49$14.0049.9%14.4%45.9%77.1%49.1%7.6%-1.0%-9.9K12.0M-104.8K0.9519.353,1172,97422,44723,769
2016-02-09$13.35$14.0052.8%14.6%45.2%85.5%50.6%4.5%-1.3%51.4K11.7M-105.5K1.1038.342,3702,61323,61124,204
2016-02-10$13.21$14.0053.5%14.4%42.6%87.6%52.2%4.7%-3.6%75.9K12.1M-102.9K1.2225.592,2342,73124,16324,304
2016-02-11$13.33$14.0052.4%14.7%42.8%84.4%50.4%7.0%-1.0%95.0K11.6M-105.3K1.5526.222,1003,25524,18624,175
2016-02-12$13.66$14.0051.4%14.6%40.9%81.3%50.3%7.6%-3.2%33.9K9.6M-107.9K1.4835.362,3003,39924,24524,354
2016-02-16$14.07$14.0046.9%13.4%42.0%68.4%48.6%7.1%-1.7%72.2K7.3M-110.3K1.6029.842,0643,30422,76723,664
2016-02-17$14.25$14.0048.4%13.9%42.0%72.6%50.6%8.6%-1.1%53.9K6.1M-111.4K1.6926.622,8604,81923,25224,111
2016-02-18$14.33$14.0048.2%14.0%41.7%72.1%52.3%8.3%-3.4%33.2K5.9M-114.6K1.8141.832,3134,18424,29625,771
2016-02-19$14.16$14.0046.2%13.3%41.8%66.3%47.9%4.7%-0.8%11.5K7.1M-111.7K1.9927.812,0644,10824,45926,137
2016-02-22$14.56$14.0044.7%13.5%42.3%61.9%47.6%6.8%-3.1%24.9K3.9M-115.4K1.4331.802,3623,38018,60522,967
2016-02-23$14.71$14.0046.0%13.3%35.0%65.7%50.2%8.0%-3.0%50.2K2.5M-118.4K2.2527.451,4293,21219,77623,644
2016-02-24$14.70$14.0046.0%13.9%33.2%65.7%48.9%6.1%-2.5%-8.2K3.3M-118.6K1.5885.621,7062,69520,03024,371
2016-02-25$14.92$14.0046.8%14.6%33.3%68.0%50.9%5.4%-1.3%42.5K1.3M-121.3K0.5255.155,3472,80120,47424,573
2016-02-26$15.13$14.0046.3%13.9%33.5%66.5%49.1%6.4%-2.7%166.6K-2.9M-128.0K2.5433.662,8897,34524,48825,404
2016-02-29$15.28$14.0045.6%14.9%33.6%64.4%51.9%4.5%-2.1%196.3K-2.6M-127.8K0.3234.886,9992,25423,24025,218