AEO Options History — August 2016

In August 2016, AEO traded between $17.88 and $19.34. ATM implied volatility averaged 34.6%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 9.6% (HV 20d: 25.1%). Max pain ranged from $16.00 to $18.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 2.40.

Notable Days

  • 2016-08-16: Highest Volume — 24,270 contracts
  • 2016-08-17: Largest IV drop — 32.2% change
  • 2016-08-16: Highest IV Rank — 52.8%
  • 2016-08-03: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.53$17.88$19.34$17.93$18.60
Max Pain$17.74$16.00$18.00$16.00$18.00
ATM IV34.6%27.0%43.4%39.3%28.2%
Expected Move9.8%7.6%14.5%12.3%7.8%
HV 20d25.1%14.5%31.5%19.8%30.6%
HV 60d31.4%22.1%41.9%41.8%24.0%
IV Rank24.6%0.0%52.8%39.7%4.0%
IV Percentile38.2%0.0%79.4%62.7%4.8%
Term Structure-1.2%-5.6%2.8%-1.7%-0.1%
VWIV34.1%26.9%48.3%42.9%27.2%
Skew 25d3.8%0.4%6.0%5.3%4.0%
Skew 10d11.9%0.9%26.0%4.9%4.8%
Call IV 25d33.6%25.3%43.3%37.3%28.1%
Put IV 25d37.4%28.7%48.6%42.6%32.1%
Bid-Ask Spread %32.1515.63100.0471.8961.68
Gamma HHI0.190.160.210.200.17
Net GEX606.5K14.4K1.1M1.1M14.4K
Net DEX-27.1M-45.7M-15.7M-26.2M-16.1M
Net VEX-254.6K-269.0K-236.4K-236.4K-259.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.400.446.033.131.50
Total Volume10,222.0432,93024,2709,5516,603
Total OI87,569.56576,627112,41676,62785,264

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$17.93$16.0039.3%12.3%19.8%39.7%42.9%5.3%-1.7%1.1M-26.2M-236.4K3.1371.892,3107,24146,82129,806
2016-08-02$17.91$16.0039.3%12.5%19.1%39.6%44.0%3.7%-0.7%1.0M-26.5M-238.1K2.8027.572,5887,24747,17030,135
2016-08-03$18.03$16.0040.6%14.5%18.9%43.9%48.3%4.8%-3.0%954.6K-27.8M-239.7K2.7446.063,0398,33347,44430,612
2016-08-04$18.25$18.0040.0%10.5%17.9%41.7%36.8%6.0%-2.5%980.5K-31.0M-245.0K3.8521.882,4599,47748,17831,549
2016-08-05$18.42$18.0040.1%10.4%16.9%42.3%35.7%4.7%-3.1%1.1M-33.2M-241.2K4.3520.032,1759,46148,25831,999
2016-08-08$18.43$18.0039.9%10.5%14.5%41.4%35.8%4.8%-2.8%1.1M-33.0M-237.6K3.1516.452,5878,15348,04531,976
2016-08-09$17.88$18.0041.7%10.5%19.2%47.4%36.9%5.5%-4.7%999.1K-25.0M-237.1K6.0320.612,38914,40748,94332,188
2016-08-10$17.99$18.0040.7%11.0%19.2%44.1%37.4%2.1%-2.1%703.7K-22.4M-243.9K3.0926.173,59911,11849,43337,384
2016-08-11$18.81$18.0042.0%11.0%23.9%48.5%39.6%5.0%-5.6%815.5K-35.8M-258.0K1.3021.105,5767,27150,62438,195
2016-08-12$18.94$18.0039.5%11.1%23.7%40.1%39.5%5.3%-1.1%840.5K-38.2M-265.0K1.2725.155,2286,65452,20938,985
2016-08-15$19.34$18.0041.7%11.7%24.3%47.3%40.2%3.8%-2.2%915.7K-45.7M-262.9K1.8328.555,0329,22252,60439,031
2016-08-16$18.97$18.0043.4%12.3%25.3%52.8%41.8%3.9%0.0%783.2K-38.1M-268.7K1.3222.8210,47113,79954,04742,020
2016-08-17$18.33$18.0029.4%8.4%28.6%7.3%28.3%5.6%-3.8%162.9K-20.6M-257.1K0.9034.362,8932,59558,74250,100
2016-08-18$18.72$18.0027.0%7.6%29.2%0.0%28.2%3.3%2.8%389.8K-33.8M-259.6K2.8920.001,6394,73259,39149,653
2016-08-19$19.02$18.0027.6%7.8%29.4%2.1%28.0%4.2%0.4%1.1M-43.4M-269.0K1.7515.633,7006,46359,83952,577
2016-08-22$18.50$18.0027.5%8.0%31.5%1.8%28.2%3.3%1.1%117.1K-16.1M-262.9K3.2724.421,6225,30945,87336,592
2016-08-23$18.61$18.0028.1%7.9%30.7%3.6%28.3%2.8%1.3%208.3K-18.3M-263.0K3.1428.771,5164,75446,11937,798
2016-08-24$18.84$18.0027.0%7.9%30.9%0.0%26.9%3.6%2.1%363.7K-21.0M-265.5K0.4427.462,03989146,16338,085
2016-08-25$18.61$18.0028.1%8.2%31.0%3.5%27.0%2.5%-0.5%96.9K-18.0M-265.6K2.1721.362,2344,83746,76638,820
2016-08-26$18.68$18.0028.1%7.8%30.4%3.6%27.0%0.5%0.9%111.1K-18.2M-259.9K1.4336.513,6465,20346,98238,906
2016-08-29$18.75$18.0028.7%8.0%30.4%5.8%27.4%3.1%-0.3%107.9K-19.7M-261.1K1.0620.903,8944,12946,88937,009
2016-08-30$18.60$18.0028.8%7.8%30.6%6.0%28.2%0.4%-1.6%30.9K-15.7M-258.4K1.69100.042,4454,12747,51637,360
2016-08-31$18.60$18.0028.2%7.8%30.6%4.0%27.2%4.0%-0.1%14.4K-16.1M-259.8K1.5061.682,6463,95747,56637,698