AEO Options History — June 2016

In June 2016, AEO traded between $14.91 and $16.11. ATM implied volatility averaged 31.2%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 14.8% (HV 20d: 46.0%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 2.87.

Notable Days

  • 2016-06-07: Highest Volume — 12,929 contracts
  • 2016-06-27: Largest IV spike — 15.0% change
  • 2016-06-27: Highest IV Rank — 35.0%
  • 2016-06-27: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.48$14.91$16.11$15.64$15.91
Max Pain$15.75$15.00$16.00$15.00$15.50
ATM IV31.2%28.8%36.4%31.9%29.4%
Expected Move8.7%7.8%9.8%9.0%7.8%
HV 20d46.0%19.6%67.6%67.5%21.5%
HV 60d44.2%43.9%44.5%44.1%44.2%
IV Rank21.2%7.3%35.0%24.6%7.3%
IV Percentile21.0%7.5%47.2%25.8%8.3%
Term Structure-0.7%-2.7%1.1%-0.8%0.5%
VWIV31.3%29.0%36.3%35.0%33.4%
Skew 25d5.2%2.7%9.2%5.0%6.1%
Skew 10d10.5%-4.4%26.6%2.4%11.3%
Call IV 25d29.4%25.8%33.3%30.2%27.4%
Put IV 25d34.6%30.1%42.2%35.2%33.5%
Bid-Ask Spread %27.6112.3072.4142.1152.08
Gamma HHI0.200.150.310.170.18
Net GEX213.7K-122.0K443.4K339.6K243.8K
Net DEX-1.9M-11.5M5.8M-7.2M-1.9M
Net VEX-186.8K-212.0K-177.2K-183.2K-191.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.871.666.051.896.05
Total Volume9,019.5917,40612,9297,4067,907
Total OI68,738.54563,57173,55968,36064,857

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$15.64$15.0031.9%9.0%67.5%24.6%35.0%5.0%-0.8%339.6K-7.2M-183.2K1.8942.112,5614,84541,07927,281
2016-06-02$15.90$16.0031.0%8.4%67.6%22.1%30.1%2.8%-2.5%381.6K-9.2M-182.6K1.8413.652,6494,87841,23127,300
2016-06-03$16.03$16.0030.4%8.4%67.1%20.5%30.3%3.2%-1.6%443.4K-11.5M-189.2K1.6615.942,9214,85441,55227,323
2016-06-06$15.78$16.0030.9%8.4%67.5%21.9%31.4%3.9%-1.0%402.6K-8.3M-180.8K1.7719.313,2905,82441,45626,244
2016-06-07$16.01$16.0030.3%8.1%67.6%20.1%29.7%2.7%-1.9%438.6K-10.4M-189.9K4.1218.252,52510,40442,15027,794
2016-06-08$16.11$16.0030.5%8.4%66.9%20.7%29.8%4.5%-1.3%439.1K-9.9M-212.0K2.7812.302,4416,79242,30730,300
2016-06-09$15.97$16.0029.5%8.2%65.6%17.7%29.0%5.0%-1.1%417.3K-8.3M-204.6K3.0414.702,1786,61242,37930,339
2016-06-10$15.52$16.0029.8%8.1%66.8%18.5%29.7%4.0%-2.7%202.9K-3.8M-195.6K3.1443.662,1906,87542,71530,313
2016-06-13$15.29$16.0032.3%9.3%67.0%26.0%31.1%5.1%-1.5%335.5K-1.4M-191.2K3.0912.501,9986,17942,35229,526
2016-06-14$15.02$16.0033.0%9.4%67.3%27.9%32.4%6.3%-0.6%294.9K1.8M-181.4K3.4327.382,3408,02942,39229,756
2016-06-15$15.10$16.0031.9%9.1%67.0%24.8%30.8%3.5%-0.7%233.9K2.1M-183.5K3.1241.382,1866,82442,14831,306
2016-06-16$14.95$16.0031.7%9.1%65.1%24.2%29.3%7.3%-0.2%265.6K3.9M-180.5K2.9629.092,2006,52342,33131,159
2016-06-17$15.07$16.0031.8%9.0%20.9%24.4%30.5%4.3%0.6%-27.3K1.2M-180.3K2.8819.012,2496,48142,35831,201
2016-06-20$14.98$16.0031.3%8.6%20.4%23.0%30.3%4.9%-0.5%-81.8K5.6M-177.2K2.4218.262,7226,58437,46227,297
2016-06-21$14.92$15.0030.5%8.5%19.8%20.8%30.0%5.7%-0.7%-83.1K5.8M-178.2K2.9712.632,1586,40838,26627,734
2016-06-22$14.91$15.0030.4%8.5%19.6%20.3%31.2%5.4%-0.4%-122.0K5.8M-177.5K1.7231.543,7416,43238,31727,814
2016-06-23$15.33$15.0028.8%8.3%21.6%13.9%31.2%9.2%0.4%-68.5K3.0M-180.5K2.6472.412,4136,38237,78327,932
2016-06-24$15.39$16.0031.7%9.3%21.6%22.4%33.2%6.7%-0.1%150.4K1.3M-186.1K2.0341.413,1366,35237,84827,911
2016-06-27$15.41$16.0036.4%9.8%20.9%35.0%36.3%8.9%0.3%142.0K1.4M-185.0K2.3426.202,9176,82436,91026,661
2016-06-28$15.65$15.5032.6%8.8%21.7%17.7%32.7%4.7%-0.9%168.7K-258.8K-191.8K3.3024.622,0846,87337,23127,234
2016-06-29$15.68$15.5030.8%8.2%21.7%11.9%31.4%4.9%1.1%185.1K-383.5K-186.9K4.0219.011,7246,92637,42027,279
2016-06-30$15.91$15.5029.4%7.8%21.5%7.3%33.4%6.1%0.5%243.8K-1.9M-191.5K6.0552.081,1216,78637,50527,352