AEO Options History — July 2016

In July 2016, AEO traded between $15.78 and $17.94. ATM implied volatility averaged 33.6%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 13.6% (HV 20d: 20.0%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 3.05.

Notable Days

  • 2016-07-28: Highest Volume — 13,972 contracts
  • 2016-07-18: Largest IV spike — 14.8% change
  • 2016-07-27: Highest IV Rank — 42.2%
  • 2016-07-29: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.91$15.78$17.94$16.14$17.94
Max Pain$15.30$15.00$16.00$16.00$16.00
ATM IV33.6%27.5%40.1%29.9%38.7%
Expected Move10.3%7.6%11.4%7.6%11.4%
HV 20d20.0%18.1%22.6%21.9%20.0%
HV 60d42.8%41.9%43.2%43.2%42.0%
IV Rank21.0%1.0%42.2%8.8%37.7%
IV Percentile31.7%0.4%68.3%10.7%59.9%
Term Structure1.5%-3.7%7.7%-0.4%-1.6%
VWIV35.3%27.7%43.4%27.7%39.9%
Skew 25d4.1%1.3%7.4%3.5%4.3%
Skew 10d11.5%-5.8%24.5%14.1%24.5%
Call IV 25d32.5%25.8%38.9%28.4%38.1%
Put IV 25d36.6%29.4%43.7%31.9%42.4%
Bid-Ask Spread %26.5113.6857.0343.0857.03
Gamma HHI0.180.170.210.190.21
Net GEX576.5K310.6K1.1M310.6K1.1M
Net DEX-13.1M-26.9M-2.0M-5.2M-26.9M
Net VEX-209.4K-237.9K-184.9K-200.0K-237.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.051.154.082.302.81
Total Volume10,268.58,49613,9729,73810,233
Total OI68,839.564,87277,00964,87277,009

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$16.14$16.0029.9%7.6%21.9%8.8%27.7%3.5%-0.4%310.6K-5.2M-200.0K2.3043.082,9536,78537,47627,396
2016-07-05$15.97$15.0029.6%10.4%21.5%7.9%35.5%2.5%1.8%363.2K-4.2M-193.8K3.8721.101,7466,75038,40527,128
2016-07-06$15.95$15.0031.3%10.4%20.9%13.5%34.4%2.5%-1.0%368.1K-3.8M-193.7K3.5018.611,9056,67238,70527,109
2016-07-07$15.78$15.0031.1%10.5%21.0%12.9%37.0%1.3%-3.7%318.7K-2.0M-184.9K4.0825.912,2859,32238,71727,132
2016-07-08$16.16$15.0029.4%10.2%22.6%7.2%33.6%6.8%1.3%340.3K-5.2M-194.3K3.5913.682,3528,43439,20529,706
2016-07-11$16.65$15.0028.9%10.0%22.1%5.7%32.2%5.1%4.9%462.7K-9.5M-200.4K3.8217.491,8987,24639,14228,535
2016-07-12$16.73$15.0028.0%10.0%21.0%2.7%32.5%1.6%6.4%520.3K-11.4M-204.4K3.1328.702,2797,12839,32828,500
2016-07-13$16.86$15.0027.5%9.6%19.3%1.0%33.9%3.9%5.9%576.7K-12.8M-204.5K3.3930.542,1887,41639,53528,556
2016-07-14$16.78$15.0029.3%10.1%19.6%7.1%34.5%3.9%6.9%533.0K-12.3M-204.0K2.6326.172,8937,61039,66628,795
2016-07-15$17.01$15.0030.1%10.1%19.0%9.6%34.5%3.2%7.7%551.6K-14.9M-207.6K2.5823.763,1058,02140,02229,028
2016-07-18$17.16$15.0034.6%10.4%19.0%24.1%34.7%3.1%2.3%623.8K-14.5M-213.0K3.4634.362,2277,71439,66227,568
2016-07-19$16.98$15.0035.2%10.3%19.4%26.3%34.2%4.7%2.0%576.1K-12.6M-208.8K3.4221.082,2297,62939,66327,854
2016-07-20$17.25$15.0036.7%10.5%19.3%31.1%36.1%4.9%1.1%613.3K-15.2M-213.0K2.6015.902,9647,69639,84228,012
2016-07-21$17.18$15.0036.8%10.4%19.5%31.3%33.5%4.1%1.9%658.0K-15.2M-216.1K2.6924.382,8707,72640,86028,280
2016-07-22$17.18$15.0037.4%10.6%18.1%33.4%36.4%4.8%1.9%615.8K-15.1M-217.3K2.4120.153,1477,59941,60628,373
2016-07-25$17.39$16.0039.1%11.0%18.2%39.0%35.7%7.4%-1.5%687.3K-17.5M-218.0K2.6319.932,8637,54441,57328,581
2016-07-26$17.77$16.0038.6%10.9%18.9%37.1%36.2%6.6%-1.9%784.9K-21.8M-225.4K3.0321.252,6658,08842,36428,734
2016-07-27$17.78$16.0040.1%10.9%18.8%42.2%43.4%4.4%-1.8%807.3K-21.8M-224.7K3.9729.391,8567,36042,94929,383
2016-07-28$17.60$16.0040.1%11.4%19.6%42.1%40.6%4.4%-2.2%744.3K-19.9M-226.2K1.1537.666,5047,46842,96729,424
2016-07-29$17.94$16.0038.7%11.4%20.0%37.7%39.9%4.3%-1.6%1.1M-26.9M-237.9K2.8157.032,6877,54647,16729,842