AEO Options History — September 2016

In September 2016, AEO traded between $17.75 and $18.81. ATM implied volatility averaged 28.3%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 5.3% (HV 20d: 23.0%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.97.

Notable Days

  • 2016-09-13: Highest Volume — 7,762 contracts
  • 2016-09-26: Largest IV spike — 6.3% change
  • 2016-09-12: Highest IV Rank — 10.9%
  • 2016-09-14: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.30$17.75$18.81$18.16$17.93
Max Pain$18.90$18.00$19.00$18.00$19.00
ATM IV28.3%26.4%30.3%28.2%28.0%
Expected Move8.0%7.1%8.6%7.7%7.4%
HV 20d23.0%17.3%31.8%31.6%18.6%
HV 60d23.6%22.9%24.6%24.6%23.9%
IV Rank5.0%0.0%10.9%3.9%5.0%
IV Percentile7.3%0.0%18.7%4.8%5.2%
Term Structure0.0%-3.3%1.3%0.5%0.2%
VWIV29.2%25.9%30.5%28.5%29.1%
Skew 25d3.8%0.4%5.2%0.4%4.4%
Skew 10d7.7%-4.8%33.8%-4.8%12.3%
Call IV 25d27.6%25.1%31.3%29.9%27.1%
Put IV 25d31.5%29.9%34.8%30.3%31.5%
Bid-Ask Spread %32.1117.43108.30108.3058.16
Gamma HHI0.210.170.270.180.20
Net GEX664.5K-235.4K1.9M-235.4K390.6K
Net DEX-14.0M-28.1M-4.8M-7.2M-6.2M
Net VEX-232.7K-255.8K-207.8K-248.8K-209.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.970.663.992.112.23
Total Volume5,279.1432,9157,7626,2882,915
Total OI80,105.47674,33086,69685,48276,479

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$18.16$18.0028.2%7.7%31.6%3.9%28.5%0.4%0.5%-235.4K-7.2M-248.8K2.11108.302,0244,26447,64437,838
2016-09-02$18.39$18.0027.3%7.1%31.8%1.1%25.9%4.9%0.9%568.3K-8.9M-255.8K2.3320.611,9314,49648,00837,983
2016-09-06$18.40$19.0028.2%8.2%31.8%4.0%30.3%4.3%-0.4%532.0K-14.7M-246.8K1.1217.432,5262,82747,52333,900
2016-09-07$18.43$19.0029.3%8.1%29.7%7.5%29.0%3.6%-1.3%631.8K-15.2M-242.4K1.2022.412,3662,84148,16033,943
2016-09-08$18.35$19.0028.5%8.1%29.7%4.8%30.5%4.2%-0.0%594.6K-14.4M-240.9K1.7921.091,5772,82748,28533,973
2016-09-09$18.28$19.0030.0%8.3%24.9%9.7%29.9%4.0%-0.7%535.5K-13.9M-238.9K1.5919.391,8182,89848,31133,992
2016-09-12$18.62$19.0030.3%7.8%25.7%10.9%29.0%3.6%-3.3%769.6K-19.3M-240.3K0.6650.474,2822,82548,16633,666
2016-09-13$18.39$19.0029.5%8.4%24.6%8.1%29.3%3.5%0.6%1.2M-18.4M-236.9K0.8326.774,2303,53251,16033,851
2016-09-14$18.49$19.0029.4%8.6%24.0%7.8%29.4%3.6%1.0%1.5M-19.5M-236.6K0.7818.004,2953,36051,16234,523
2016-09-15$18.81$19.0028.1%8.0%21.4%3.7%29.0%5.2%0.3%1.9M-28.1M-244.1K1.9432.971,9623,81351,29034,700
2016-09-16$18.68$19.0028.7%8.1%20.2%5.7%28.8%4.3%-0.9%841.9K-27.8M-240.8K2.9739.391,6885,02051,76334,933
2016-09-19$18.70$19.0028.7%8.3%19.3%5.6%30.0%3.3%-0.3%790.7K-19.1M-239.1K3.9923.431,1544,60144,14630,184
2016-09-20$18.29$19.0028.2%8.0%18.4%4.0%29.6%4.3%0.6%575.2K-13.9M-231.0K2.0519.491,6113,30944,24430,371
2016-09-21$18.39$19.0027.4%7.9%18.4%1.4%29.0%4.4%0.6%544.3K-12.9M-230.1K2.1845.301,4843,23544,34931,323
2016-09-22$18.34$19.0026.7%7.6%17.7%0.0%28.9%3.5%0.5%549.3K-13.9M-226.6K2.0919.371,5443,22244,43431,344
2016-09-23$18.31$19.0026.4%7.6%17.3%0.0%27.5%4.9%0.3%643.4K-13.6M-227.7K1.4019.512,2833,18745,42431,417
2016-09-26$17.86$19.0028.1%8.1%19.1%5.3%29.2%3.9%-0.8%469.1K-8.0M-215.7K2.4029.861,1742,82144,50430,949
2016-09-27$18.04$19.0028.1%8.1%19.5%5.3%30.4%4.5%0.0%473.1K-8.8M-218.8K2.7227.361,0602,88344,54831,314
2016-09-28$17.78$19.0027.2%7.9%19.9%2.6%29.1%2.6%0.9%333.6K-4.8M-207.8K2.7227.081,0562,87444,52531,502
2016-09-29$17.75$19.0028.8%8.2%19.9%7.7%29.9%3.1%1.3%331.4K-6.0M-208.3K2.2527.909372,11044,63131,753
2016-09-30$17.93$19.0028.0%7.4%18.6%5.0%29.1%4.4%0.2%390.6K-6.2M-209.4K2.2358.169022,01344,70231,777