AEO Options History — October 2016

In October 2016, AEO traded between $16.82 and $17.96. ATM implied volatility averaged 33.4%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 6.5% (HV 20d: 26.9%). Max pain ranged from $17.00 to $19.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.37.

Notable Days

  • 2016-10-24: Highest Volume — 19,749 contracts
  • 2016-10-31: Largest IV spike — 15.4% change
  • 2016-10-31: Highest IV Rank — 48.4%
  • 2016-10-31: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.26$16.82$17.96$17.19$17.03
Max Pain$17.29$17.00$19.00$19.00$17.00
ATM IV33.4%29.3%41.6%30.3%41.6%
Expected Move9.7%8.5%11.1%8.7%11.1%
HV 20d26.9%23.1%31.1%23.1%27.4%
HV 60d25.8%24.5%27.4%25.1%27.3%
IV Rank22.2%9.4%48.4%12.4%48.4%
IV Percentile41.2%17.1%75.8%24.2%75.8%
Term Structure1.3%-2.8%5.1%0.6%-2.8%
VWIV33.2%27.4%38.8%32.7%38.8%
Skew 25d4.4%1.6%8.6%2.8%4.1%
Skew 10d14.2%-13.8%26.0%-13.8%17.1%
Call IV 25d32.1%28.3%40.1%30.3%40.1%
Put IV 25d36.5%32.9%44.2%33.1%44.2%
Bid-Ask Spread %35.9812.4473.8855.8928.12
Gamma HHI0.180.140.210.190.14
Net GEX1.6K-928.2K504.2K180.3K45.4K
Net DEX2.8M-9.2M15.5M2.0M4.8M
Net VEX-191.8K-207.2K-177.5K-189.9K-180.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.370.894.791.672.38
Total Volume5,721.3812,57119,7493,4795,448
Total OI83,590.57176,06495,34976,06491,228

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$17.19$19.0030.3%8.7%23.1%12.4%32.7%2.8%0.6%180.3K2.0M-189.9K1.6755.891,3012,17844,52931,535
2016-10-04$16.98$19.0030.3%8.5%23.2%12.4%27.4%4.7%1.4%113.4K5.3M-180.1K0.9835.542,3252,27344,63231,800
2016-10-05$17.14$19.0030.0%8.5%23.7%11.4%29.0%2.0%0.5%177.3K3.2M-191.0K1.6972.711,4832,50045,04632,013
2016-10-06$17.29$17.0029.3%9.0%24.1%9.4%31.2%5.5%1.7%184.2K688.5K-192.6K1.7621.921,4992,63645,43732,079
2016-10-07$17.50$17.0030.4%9.4%24.6%12.8%32.7%4.8%0.4%332.8K-4.0M-203.5K1.5520.491,5502,39745,48732,374
2016-10-10$17.96$17.0031.3%9.3%25.6%15.7%32.4%3.7%1.0%490.8K-9.2M-207.2K1.8712.441,0671,99245,29332,072
2016-10-11$17.72$17.0032.5%9.1%25.7%19.3%32.1%4.3%-0.7%462.7K-6.2M-201.0K3.0420.346371,93445,78632,111
2016-10-12$17.85$17.0031.6%8.8%25.7%16.4%30.3%3.0%-0.9%504.2K-8.2M-200.1K1.0328.521,9301,98545,80632,156
2016-10-13$17.34$17.0034.0%10.1%26.4%24.1%33.9%2.5%1.7%380.1K-1.8M-196.4K3.8433.061,9977,67347,06232,240
2016-10-14$17.21$17.0034.0%10.1%26.4%24.2%32.0%4.9%2.0%-166.6K5.2M-197.2K0.8921.162,2111,97247,15937,869
2016-10-17$17.06$17.0034.9%10.0%26.4%27.1%34.1%5.9%1.6%-199.5K6.9M-191.7K2.3426.841,0212,39446,90337,638
2016-10-18$17.14$17.0034.0%9.7%25.8%24.2%32.4%4.5%0.3%-125.8K5.7M-191.9K2.8421.569782,77747,23237,625
2016-10-19$17.50$17.0034.5%9.9%27.0%25.8%33.9%5.0%-0.5%-74.6K1.5M-195.5K1.1833.331,6021,89847,28437,706
2016-10-20$17.49$17.0033.8%9.8%27.0%23.6%33.3%4.3%-2.2%-38.1K977.8K-195.1K2.0431.729501,94047,76937,812
2016-10-21$17.66$17.0031.8%9.1%27.3%17.2%33.8%8.6%0.7%277.9K-2.2M-193.4K3.5236.009063,18847,96237,956
2016-10-24$16.82$17.0034.5%10.1%31.1%25.7%35.5%4.8%5.1%-99.7K6.1M-177.5K4.7973.883,41016,33945,44835,482
2016-10-25$16.82$17.0034.8%10.5%30.7%26.9%35.2%5.1%4.0%-928.2K15.5M-180.3K1.5847.893,9036,16147,30743,878
2016-10-26$17.05$17.0035.3%10.5%31.0%28.2%35.8%6.7%3.7%-744.1K9.9M-191.3K3.9637.971,5596,17849,70845,641
2016-10-27$16.90$17.0036.2%10.3%31.1%31.0%32.2%1.6%5.1%-659.2K10.3M-188.2K4.5346.881,3656,18850,06043,882
2016-10-28$16.85$17.0036.1%10.8%30.7%30.8%38.0%3.4%5.0%-79.1K12.2M-183.0K2.3549.372,5085,89650,32744,068
2016-10-31$17.03$17.0041.6%11.1%27.4%48.4%38.8%4.1%-2.8%45.4K4.8M-180.7K2.3828.121,6103,83851,49439,734