AEO Options History — May 2016

In May 2016, AEO traded between $13.36 and $16.00. ATM implied volatility averaged 39.8%, placing in the 47.8% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 3.3% (HV 20d: 43.1%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.57.

Notable Days

  • 2016-05-18: Highest Volume — 24,872 contracts
  • 2016-05-19: Largest IV drop — 35.9% change
  • 2016-05-18: Highest IV Rank — 93.7%
  • 2016-05-18: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.76$13.36$16.00$14.59$15.66
Max Pain$14.74$14.00$15.00$15.00$15.00
ATM IV39.8%30.2%55.6%42.6%31.5%
Expected Move11.5%8.5%16.0%13.0%9.0%
HV 20d43.1%25.2%69.8%30.9%67.6%
HV 60d33.7%26.3%44.9%29.8%44.3%
IV Rank47.8%19.8%93.7%55.9%23.6%
IV Percentile61.1%19.8%99.2%78.2%24.2%
Term Structure-1.6%-7.5%1.6%-2.2%-0.7%
VWIV39.8%29.1%54.0%43.1%32.2%
Skew 25d5.1%2.1%7.5%5.4%3.3%
Skew 10d12.7%-6.7%27.5%27.5%6.0%
Call IV 25d37.7%27.7%53.1%38.2%31.7%
Put IV 25d42.8%32.3%57.3%43.7%35.1%
Bid-Ask Spread %35.8115.3389.7116.5031.36
Gamma HHI0.180.130.440.200.17
Net GEX133.0K-583.8K1.5M-50.4K331.2K
Net DEX1.5M-27.0M23.7M6.4M-7.3M
Net VEX-169.4K-201.5K-142.3K-165.1K-181.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.792.340.842.30
Total Volume10,706.2385,91024,8727,0746,870
Total OI79,94367,773113,83972,40967,773

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$14.59$15.0042.6%13.0%30.9%55.9%43.1%5.4%-2.2%-50.4K6.4M-165.1K0.8416.503,8433,23144,33228,077
2016-05-03$14.50$15.0041.8%13.5%30.2%53.5%46.0%5.0%-1.6%-40.0K7.0M-165.4K0.8523.303,3232,83345,37028,160
2016-05-04$14.62$15.0041.8%13.8%30.5%53.6%46.4%7.3%-1.4%-112.7K5.6M-168.5K0.8429.713,2182,69245,44328,549
2016-05-05$14.35$15.0042.0%12.3%26.7%54.1%40.9%7.3%-1.6%-9.7K8.0M-162.0K2.1124.233,1086,55945,55528,649
2016-05-06$14.50$15.0042.9%12.1%26.9%56.7%41.4%6.8%-3.1%-32.4K9.1M-167.9K1.5319.254,1556,36345,98832,502
2016-05-09$14.66$15.0042.4%11.3%27.2%55.1%39.3%5.2%-2.7%68.7K3.3M-169.6K0.8319.625,8794,86246,59930,201
2016-05-10$14.36$15.0042.0%11.7%27.8%54.0%40.0%6.4%-0.9%14.6K6.6M-161.2K1.4815.332,4253,58646,46529,677
2016-05-11$13.89$15.0043.8%12.3%26.0%59.2%43.9%7.5%-1.3%-136.5K12.7M-143.4K1.2468.324,6515,78546,27131,087
2016-05-12$13.93$15.0044.2%12.3%25.2%60.5%42.8%7.4%-1.1%-91.5K11.5M-150.1K1.0620.653,5023,69847,90132,074
2016-05-13$13.85$15.0044.5%12.3%25.2%61.4%42.5%4.3%-2.0%-101.6K13.2M-150.1K0.7933.715,4194,26648,55532,785
2016-05-16$14.12$15.0046.8%13.4%26.0%68.1%45.0%5.1%-3.7%-106.4K10.0M-148.8K1.8746.136,46312,06946,52633,354
2016-05-17$13.92$15.0050.2%14.3%26.1%77.9%49.4%5.9%-5.8%-321.6K14.4M-149.2K2.2532.445,40012,16747,20738,457
2016-05-18$13.36$14.0055.6%16.0%28.5%93.7%54.0%4.2%-7.5%-583.8K23.7M-142.3K2.3485.057,45317,41950,60147,265
2016-05-19$15.85$14.0035.6%10.1%69.8%35.6%39.0%4.2%0.8%875.3K-26.0M-201.5K0.9224.0010,1329,35356,11057,307
2016-05-20$16.00$14.0032.6%9.3%69.8%26.9%33.8%2.1%-0.0%1.5M-27.0M-200.5K1.7889.714,3917,79756,33757,502
2016-05-23$15.73$14.0032.6%9.3%68.8%26.8%32.5%3.8%1.6%402.3K-10.9M-195.6K2.0317.482,6725,43441,68828,175
2016-05-24$15.59$14.0031.5%8.8%68.9%23.7%32.6%2.9%0.4%368.5K-8.7M-185.2K2.1637.272,8246,10541,97528,445
2016-05-25$15.34$14.5030.9%8.5%68.3%21.8%31.4%3.8%0.1%250.7K-5.3M-179.2K1.9126.313,1626,04442,15529,263
2016-05-26$15.42$15.0030.2%8.7%68.0%19.8%30.6%2.1%-0.4%296.9K-6.5M-185.5K1.9235.802,7115,19242,45129,557
2016-05-27$15.64$15.0030.9%8.6%67.7%21.8%29.1%5.8%-0.1%310.0K-8.6M-184.5K1.9755.912,6165,15942,79029,625
2016-05-31$15.66$15.0031.5%9.0%67.6%23.6%32.2%3.3%-0.7%331.2K-7.3M-181.7K2.3031.362,0794,79140,94626,827