AEO Options History — December 2016

In December 2016, AEO traded between $15.02 and $18.14. ATM implied volatility averaged 38.4%, placing in the 40.9% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 20.9% (HV 20d: 59.2%). Max pain ranged from $17.00 to $19.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 2.95.

Notable Days

  • 2016-12-05: Highest Volume — 30,922 contracts
  • 2016-12-08: Largest IV spike — 9.7% change
  • 2016-12-27: Highest IV Rank — 51.8%
  • 2016-12-27: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.43$15.02$18.14$16.71$15.19
Max Pain$17.95$17.00$19.00$19.00$17.00
ATM IV38.4%33.8%41.5%33.8%41.1%
Expected Move11.0%9.6%12.5%9.7%12.0%
HV 20d59.2%39.5%63.4%58.5%39.5%
HV 60d42.2%39.1%44.0%39.1%43.1%
IV Rank40.9%25.3%51.8%25.3%50.4%
IV Percentile62.6%44.0%76.2%44.0%74.6%
Term Structure-0.5%-2.1%6.3%4.6%-0.8%
VWIV38.8%30.9%44.0%34.9%41.1%
Skew 25d3.4%-0.3%6.2%5.4%3.1%
Skew 10d7.2%-6.8%22.5%22.5%10.8%
Call IV 25d37.6%31.6%40.8%32.0%40.2%
Put IV 25d41.0%36.0%44.3%37.4%43.4%
Bid-Ask Spread %28.8216.1881.7858.2821.02
Gamma HHI0.170.140.220.140.20
Net GEX-991.8K-2.6M-48.7K-623.4K-2.6M
Net DEX30.7M-245.6K53.9M51.4M50.6M
Net VEX-167.7K-200.3K-136.9K-152.6K-177.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.950.7114.641.361.23
Total Volume12,459.4764,86930,92210,0665,893
Total OI127,397.333100,748151,679120,181151,679

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$16.71$19.0033.8%9.7%58.5%25.3%34.9%5.4%4.6%-623.4K51.4M-152.6K1.3658.284,2615,80558,44461,737
2016-12-02$16.16$19.0033.9%10.2%59.4%25.7%30.9%4.4%6.3%-390.9K44.3M-136.9K1.7527.993,4816,10459,46354,034
2016-12-05$16.97$18.0037.1%10.3%61.8%36.4%42.3%5.8%-0.4%-239.9K28.4M-150.3K4.0328.486,15224,77051,68949,059
2016-12-06$17.04$18.0035.4%10.2%61.8%30.6%43.5%6.2%-0.4%-430.4K26.8M-170.1K10.1622.682,35623,93654,98469,118
2016-12-07$17.79$18.0034.7%9.6%63.4%28.3%37.5%4.9%-0.6%-139.5K12.2M-184.2K1.6721.742,9224,87955,43069,197
2016-12-08$18.14$18.0038.0%10.7%63.4%39.8%38.0%4.4%-1.8%-48.7K-245.6K-191.7K0.8123.117,0095,70355,98169,648
2016-12-09$18.03$18.0038.5%10.5%61.4%41.5%37.0%2.6%-1.9%-260.8K3.4M-200.3K0.8917.495,1694,60158,79870,312
2016-12-12$17.49$18.0039.6%11.0%61.3%45.1%37.7%2.5%-1.6%-83.8K14.4M-178.5K0.7719.714,8203,72357,06469,626
2016-12-13$17.26$18.0039.4%11.2%61.3%44.4%38.5%2.7%-0.0%-122.2K20.7M-172.3K1.3219.003,0944,09957,70069,770
2016-12-14$16.85$18.0038.6%10.8%61.7%41.8%38.0%2.8%-1.8%-312.2K25.8M-165.1K0.9529.583,4623,29757,66170,339
2016-12-15$16.61$18.0038.5%10.9%61.8%41.5%38.0%2.0%-1.7%-506.1K28.2M-158.0K0.8419.793,8733,24458,24169,508
2016-12-16$16.36$18.0039.8%11.0%61.4%46.0%37.5%-0.3%-1.7%-399.4K33.6M-155.3K1.3616.182,9674,04058,64669,455
2016-12-19$16.25$18.0037.6%10.6%61.3%38.4%36.3%2.6%-2.1%-520.5K16.3M-146.3K1.4128.062,0242,84552,23956,736
2016-12-20$16.32$18.0039.0%11.0%61.4%42.9%39.9%1.5%-0.3%-426.3K14.5M-141.6K14.6422.581,67424,51352,64856,715
2016-12-21$16.08$18.0038.1%10.9%58.7%39.9%39.2%3.3%-1.2%-1.5M27.6M-167.8K11.4534.052,37527,18652,88577,233
2016-12-22$15.12$18.0040.1%11.6%61.6%46.9%37.7%2.9%-0.9%-2.4M48.2M-166.5K1.6036.134,2036,71052,99980,555
2016-12-23$15.02$18.0040.6%11.7%61.6%48.4%38.7%1.7%0.5%-2.6M53.9M-172.6K1.1381.784,1584,70155,13683,977
2016-12-27$15.15$18.0041.5%12.5%61.8%51.8%42.6%3.5%-1.9%-2.6M53.1M-174.0K1.1116.844,3174,80954,38385,504
2016-12-28$15.28$17.0039.4%12.2%60.6%44.5%42.4%5.4%-1.6%-2.4M45.7M-182.3K0.7142.156,8504,87955,09585,733
2016-12-29$15.28$17.0040.6%12.2%39.8%48.5%44.0%4.8%-0.2%-2.2M44.8M-177.9K2.8418.622,7967,94959,89786,026
2016-12-30$15.19$17.0041.1%12.0%39.5%50.4%41.1%3.1%-0.8%-2.6M50.6M-177.6K1.2321.022,6483,24560,32591,354