AEO Options History — April 2016

In April 2016, AEO traded between $14.34 and $16.59. ATM implied volatility averaged 33.7%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 7.3% (HV 20d: 26.4%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.04.

Notable Days

  • 2016-04-11: Highest Volume — 8,709 contracts
  • 2016-04-25: Largest IV spike — 9.6% change
  • 2016-04-29: Highest IV Rank — 52.2%
  • 2016-04-29: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.58$14.34$16.59$16.59$14.34
Max Pain$15.05$15.00$16.00$16.00$15.00
ATM IV33.7%27.6%41.3%27.6%41.3%
Expected Move10.5%8.0%12.7%8.0%12.7%
HV 20d26.4%20.5%29.9%21.2%29.6%
HV 60d33.8%28.0%51.6%51.6%29.8%
IV Rank29.9%12.3%52.2%12.3%52.2%
IV Percentile37.5%9.1%72.6%9.1%72.6%
Term Structure1.4%-3.9%7.4%0.6%-1.6%
VWIV36.5%28.5%43.0%28.5%43.0%
Skew 25d4.6%2.1%8.5%3.3%8.5%
Skew 10d12.1%-2.3%21.1%5.5%11.6%
Call IV 25d31.8%26.4%39.4%26.4%37.7%
Put IV 25d36.4%29.7%46.2%29.7%46.2%
Bid-Ask Spread %24.8811.9553.2533.9127.40
Gamma HHI0.190.160.260.240.19
Net GEX363.8K-59.0K678.8K110.7K-59.0K
Net DEX-2.4M-13.0M9.4M-13.0M9.4M
Net VEX-190.6K-226.5K-158.3K-226.5K-158.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.451.931.261.00
Total Volume5,814.7143,0898,7093,0896,852
Total OI70,750.57166,30375,47371,18474,860

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$16.59$16.0027.6%8.0%21.2%12.3%28.5%3.3%0.6%110.7K-13.0M-226.5K1.2633.911,3651,72443,70127,483
2016-04-04$16.42$15.0028.7%9.9%20.5%15.4%33.4%4.5%-0.3%132.2K-10.0M-213.6K0.8326.701,6941,40543,49826,641
2016-04-05$16.05$15.0029.5%10.1%21.2%17.7%33.4%5.3%0.9%228.6K-5.6M-203.3K0.4522.672,8111,25643,71726,655
2016-04-06$16.09$15.0029.9%9.6%20.9%18.9%34.3%4.0%-1.7%61.2K-1.4M-201.9K0.9931.571,9201,90740,87426,749
2016-04-07$15.35$15.0030.1%10.9%26.4%19.5%38.6%3.2%0.9%69.7K4.8M-188.4K1.9322.432,0143,89041,21026,671
2016-04-08$15.17$15.0030.7%10.7%25.9%21.3%39.2%3.4%1.1%138.1K7.5M-178.9K0.9619.893,5993,46241,98928,370
2016-04-11$15.05$15.0031.1%10.8%25.0%22.3%38.9%4.8%5.7%249.0K7.0M-178.1K0.5411.955,6493,06043,26028,036
2016-04-12$15.17$15.0031.0%10.8%25.4%22.0%38.2%4.2%6.3%678.8K3.3M-180.9K1.3320.492,3173,07945,86628,323
2016-04-13$15.71$15.0030.4%10.5%28.5%20.5%36.7%5.9%6.5%655.4K-3.2M-189.3K1.3327.192,4293,22646,57428,310
2016-04-14$15.93$15.0030.5%10.4%29.0%20.7%36.2%3.7%7.4%675.0K-6.8M-199.9K1.2423.442,7443,40646,70428,184
2016-04-15$15.86$15.0030.8%9.8%28.8%21.5%35.4%2.1%5.3%500.8K-5.0M-196.4K1.1127.312,6882,97847,08928,384
2016-04-18$16.06$15.0033.6%10.0%27.0%29.8%35.0%6.0%0.9%524.8K-9.2M-198.6K1.0318.372,4152,48842,69423,726
2016-04-19$15.92$15.0034.3%10.0%26.4%31.8%34.5%4.1%2.3%515.8K-8.0M-194.9K1.1820.132,0972,46742,50723,796
2016-04-20$15.97$15.0035.5%10.2%26.5%35.3%34.7%4.8%-0.3%562.2K-8.9M-197.8K0.9326.043,2393,00542,95223,836
2016-04-21$15.76$15.0035.0%9.9%26.7%33.9%34.7%5.8%2.9%545.0K-7.0M-195.9K1.1724.622,6543,10243,91824,499
2016-04-22$15.89$15.0036.3%10.3%26.9%37.4%35.1%3.7%0.9%510.1K-9.3M-199.0K0.9022.373,4633,10044,48424,663
2016-04-25$15.33$15.0039.7%11.5%29.6%47.5%39.0%4.8%-1.2%525.2K-3.6M-186.3K0.7722.743,4002,60444,60424,470
2016-04-26$15.23$15.0040.0%11.4%28.6%48.2%34.4%4.4%-2.6%517.3K-2.2M-180.0K1.2019.133,7264,48044,59724,863
2016-04-27$14.80$15.0040.8%11.6%29.9%50.6%42.4%4.8%-3.9%270.8K4.8M-166.1K0.7853.254,8093,72845,13927,063
2016-04-28$14.58$15.0040.1%12.3%29.4%48.6%41.8%4.4%-1.4%228.8K6.0M-168.7K0.8720.913,1252,73246,55828,245
2016-04-29$14.34$15.0041.3%12.7%29.6%52.2%43.0%8.5%-1.6%-59.0K9.4M-158.3K1.0027.403,4283,42446,49128,369