AEO Options History — March 2016

In March 2016, AEO traded between $15.00 and $16.89. ATM implied volatility averaged 31.5%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 6.6% (HV 20d: 25.0%). Max pain ranged from $14.00 to $16.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.25.

Notable Days

  • 2016-03-04: Highest Volume — 26,625 contracts
  • 2016-03-03: Largest IV drop — 20.9% change
  • 2016-03-01: Highest IV Rank — 60.1%
  • 2016-03-02: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.18$15.00$16.89$15.39$16.73
Max Pain$15.11$14.00$16.50$14.00$16.00
ATM IV31.5%27.2%44.1%44.1%28.7%
Expected Move9.2%7.7%15.5%15.2%8.5%
HV 20d25.0%21.6%34.8%33.5%24.0%
HV 60d51.8%51.6%52.3%52.3%51.7%
IV Rank23.7%11.0%60.1%60.1%15.3%
IV Percentile28.7%7.1%84.1%84.1%18.3%
Term Structure-0.6%-2.9%1.0%-0.9%-0.6%
VWIV35.0%27.4%55.0%53.4%32.6%
Skew 25d5.0%2.2%8.7%5.8%2.8%
Skew 10d14.8%-1.3%24.9%12.8%24.9%
Call IV 25d29.5%23.7%41.7%41.7%27.9%
Put IV 25d34.5%29.2%47.5%47.5%30.7%
Bid-Ask Spread %29.3216.5260.5433.4628.89
Gamma HHI0.210.140.330.250.25
Net GEX497.9K124.2K851.1K491.8K144.0K
Net DEX-13.7M-27.1M56.5K-6.0M-14.1M
Net VEX-205.5K-232.5K-125.9K-131.6K-226.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.194.512.081.38
Total Volume7,216.6362,90026,6254,9782,900
Total OI67,941.40954,04774,03754,04770,922

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$15.39$14.0044.1%15.2%33.5%60.1%53.4%5.8%-0.9%491.8K-6.0M-131.6K2.0833.461,6173,36128,53125,516
2016-03-02$15.44$14.5043.7%15.5%33.3%59.0%55.0%6.6%-2.9%462.8K-6.9M-132.7K2.4440.273,3468,15429,01726,870
2016-03-03$15.00$15.0034.5%9.4%34.6%32.4%33.2%2.2%-0.6%421.3K56.5K-125.9K1.2632.082,9573,73230,49529,273
2016-03-04$15.38$15.0031.6%9.6%34.8%24.0%33.8%8.7%0.3%563.2K-6.5M-126.3K0.1925.9522,3614,26431,17529,776
2016-03-07$15.72$15.0032.3%9.1%24.5%26.0%33.8%5.2%-1.5%844.1K-12.3M-202.6K1.1516.522,8983,32243,07725,154
2016-03-08$15.90$15.0033.2%9.3%23.8%28.4%36.4%4.6%-0.9%851.1K-15.3M-209.1K1.6718.662,5284,23443,10725,278
2016-03-09$16.09$15.0032.5%9.3%22.8%26.5%35.2%5.3%-0.7%739.9K-16.9M-211.4K1.7617.772,1973,85743,61526,886
2016-03-10$16.32$15.0032.4%9.3%21.6%26.3%36.5%6.4%-0.4%741.6K-19.9M-213.5K1.7620.002,0003,51943,79926,899
2016-03-11$16.56$15.0030.5%8.3%21.7%20.7%34.8%3.6%-1.9%694.4K-23.3M-213.1K0.5616.526,0593,42044,07827,019
2016-03-14$16.45$15.0031.8%8.9%21.9%24.5%35.9%5.5%-0.5%763.3K-22.2M-230.6K0.5817.615,3003,06346,98326,132
2016-03-15$16.21$15.0031.3%8.9%22.1%23.0%32.1%5.2%-0.2%812.6K-18.7M-223.9K0.3626.115,0911,82547,08226,434
2016-03-16$16.25$15.0029.6%8.5%22.0%18.0%44.9%6.2%1.0%769.0K-19.7M-221.9K0.3560.545,4211,88847,14426,430
2016-03-17$16.41$15.0029.2%8.4%22.1%17.0%27.9%6.5%-1.0%609.9K-22.4M-228.4K0.3617.115,4561,94547,48726,550
2016-03-18$16.89$15.0027.2%7.7%22.2%11.0%27.4%5.3%0.6%496.0K-27.1M-231.9K0.4830.465,5762,67547,35326,592
2016-03-21$16.57$15.0029.2%8.3%23.1%17.0%28.7%3.6%-0.4%403.8K-10.7M-226.0K4.5138.811,1645,24439,47223,667
2016-03-22$16.52$16.5029.7%8.2%23.3%18.4%30.6%5.3%-1.9%124.2K-8.0M-232.5K1.3439.151,3501,81339,64427,012
2016-03-23$16.41$16.5028.9%7.9%23.6%15.9%38.3%3.9%-0.5%130.7K-6.1M-224.3K0.3642.264,9251,76439,81126,939
2016-03-24$16.32$15.0028.2%7.9%23.7%14.1%27.5%4.4%-1.4%233.5K-10.0M-227.2K0.3831.555,3462,00543,39126,924
2016-03-28$16.30$15.0028.3%8.3%23.5%14.3%32.9%4.2%0.8%217.4K-9.9M-221.5K1.4143.731,2881,82242,98026,485
2016-03-29$16.58$15.0029.2%8.5%23.9%16.9%30.1%4.6%-0.3%223.4K-13.0M-230.6K1.1523.091,4881,70443,16926,510
2016-03-30$16.56$15.0027.8%8.0%23.9%12.7%29.9%3.6%0.6%216.3K-13.0M-229.0K1.9924.411,2992,58843,49126,542
2016-03-31$16.73$16.0028.7%8.5%24.0%15.3%32.6%2.8%-0.6%144.0K-14.1M-226.4K1.3828.891,2161,68443,67627,246