AEO Options History — November 2016

In November 2016, AEO traded between $16.23 and $18.89. ATM implied volatility averaged 43.8%, placing in the 56.9% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 12.7% (HV 20d: 31.1%). Max pain ranged from $17.00 to $19.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.02.

Notable Days

  • 2016-11-29: Highest Volume — 29,388 contracts
  • 2016-11-30: Largest IV drop — 30.8% change
  • 2016-11-29: Highest IV Rank — 76.0%
  • 2016-11-29: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.63$16.23$18.89$16.73$16.54
Max Pain$17.57$17.00$19.00$17.00$19.00
ATM IV43.8%33.7%48.6%42.3%33.7%
Expected Move12.8%10.3%17.5%11.4%10.3%
HV 20d31.1%25.6%58.4%27.7%58.4%
HV 60d27.1%25.0%39.1%27.5%39.1%
IV Rank56.9%24.8%76.0%50.7%24.8%
IV Percentile82.7%43.7%96.4%78.6%43.7%
Term Structure-1.4%-5.5%5.6%-1.0%5.6%
VWIV44.0%31.8%60.9%41.1%31.8%
Skew 25d5.9%2.5%10.0%4.7%8.8%
Skew 10d13.2%-11.2%25.2%18.4%-11.2%
Call IV 25d41.5%30.9%46.3%39.7%30.9%
Put IV 25d47.4%39.8%49.9%44.4%39.8%
Bid-Ask Spread %52.5921.89108.1248.7372.17
Gamma HHI0.180.130.260.140.13
Net GEX408.9K-720.8K1.7M-35.4K-720.8K
Net DEX-3.7M-29.4M52.1M8.9M52.1M
Net VEX-177.2K-223.0K-143.8K-175.0K-143.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.020.443.632.123.40
Total Volume9,628.0484,34429,3885,17322,379
Total OI89,951.47670,726116,07792,608116,077

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$16.73$17.0042.3%11.4%27.7%50.7%41.1%4.7%-1.0%-35.4K8.9M-175.0K2.1248.731,6583,51552,36840,240
2016-11-02$16.70$17.0041.9%11.3%27.5%49.3%40.7%5.7%3.4%-93.0K10.4M-169.6K2.3983.001,2833,06152,50940,723
2016-11-03$16.41$17.0043.1%12.5%27.8%53.1%37.5%2.5%1.5%-241.2K13.1M-166.5K2.9731.271,1833,51252,61240,765
2016-11-04$16.23$17.0045.1%12.3%27.4%59.4%38.0%7.6%-3.1%-131.6K19.2M-156.5K2.7122.201,3643,69052,63441,363
2016-11-07$16.39$17.0045.0%12.1%25.6%59.3%41.2%4.7%-1.2%-249.7K15.9M-155.2K2.3625.581,3733,23550,68938,669
2016-11-08$16.56$17.0043.6%12.2%25.9%54.9%37.4%8.5%-0.6%-241.5K13.9M-155.7K2.2021.891,4353,16251,04338,750
2016-11-09$16.91$17.0043.6%11.9%27.1%54.9%37.0%10.0%-2.5%-266.7K7.5M-163.3K2.1525.801,5923,41751,25238,817
2016-11-10$17.71$17.0043.4%11.5%30.3%54.0%41.8%6.8%-4.1%606.4K-11.8M-175.2K1.0229.733,6003,65751,56339,076
2016-11-11$18.26$17.0042.6%12.1%31.9%51.4%42.3%7.0%-1.7%1.5M-23.4M-184.0K1.6729.492,3183,87553,49539,456
2016-11-14$18.36$17.0044.3%12.5%31.6%56.8%42.3%5.2%-2.5%1.6M-28.5M-183.5K1.4023.612,4503,41853,06533,464
2016-11-15$18.15$17.0044.8%12.7%32.0%58.4%46.5%6.6%-1.8%1.6M-20.4M-180.1K3.1635.721,9116,03453,86834,180
2016-11-16$18.02$17.0044.1%12.6%31.5%56.2%43.2%3.8%-2.2%1.3M-19.1M-185.7K1.9629.622,2474,40454,49936,154
2016-11-17$18.35$17.0045.3%13.2%32.0%60.1%47.2%7.7%-5.0%1.7M-25.8M-182.6K0.44108.128,6703,78454,70136,226
2016-11-18$18.11$17.0045.6%13.3%32.4%65.5%46.0%3.8%-1.7%441.3K-29.4M-175.6K0.8381.735,7964,81460,55336,411
2016-11-21$18.01$18.0043.7%12.9%26.7%59.2%45.9%4.7%-1.1%457.1K-10.2M-169.1K1.7778.142,6474,69040,60530,121
2016-11-22$18.81$18.0045.3%13.4%30.2%64.4%46.9%5.5%-5.5%858.0K-20.7M-184.2K3.6369.044,01914,60741,83330,771
2016-11-23$18.39$19.0044.8%13.7%31.6%63.0%48.9%2.6%-3.5%184.2K-7.6M-200.6K1.9973.852,9445,86043,70739,738
2016-11-25$18.34$19.0044.5%14.5%31.3%61.9%51.6%5.5%-3.5%137.6K-6.6M-197.1K1.1253.693,1143,48444,10240,972
2016-11-28$18.37$19.0044.4%16.1%31.2%61.7%55.6%4.5%2.6%191.8K-6.2M-195.3K1.8185.706,62511,97444,20040,133
2016-11-29$18.89$19.0048.6%17.5%32.3%76.0%60.9%7.7%-2.0%2.0K-8.6M-223.0K1.3975.2412,30017,08847,41250,165
2016-11-30$16.54$19.0033.7%10.3%58.4%24.8%31.8%8.8%5.6%-720.8K52.1M-143.8K3.4072.175,09117,28856,83359,244