AEO Options History — January 2017

In January 2017, AEO traded between $14.50 and $15.71. ATM implied volatility averaged 35.0%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 0.4% (HV 20d: 34.6%). Max pain ranged from $16.00 to $18.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 2.16.

Notable Days

  • 2017-01-09: Highest Volume — 16,048 contracts
  • 2017-01-30: Largest IV spike — 19.0% change
  • 2017-01-31: Highest IV Rank — 56.3%
  • 2017-01-04: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.10$14.50$15.71$15.48$15.15
Max Pain$16.85$16.00$18.00$17.00$16.00
ATM IV35.0%31.0%42.9%41.7%42.9%
Expected Move10.1%8.7%13.9%13.4%9.5%
HV 20d34.6%29.6%38.8%38.8%34.5%
HV 60d44.2%43.3%44.7%43.3%44.7%
IV Rank29.5%15.7%56.3%52.2%56.3%
IV Percentile50.8%32.5%81.3%76.6%81.3%
Term Structure2.5%-3.8%12.2%-1.8%-1.0%
VWIV34.2%30.2%47.6%46.0%31.6%
Skew 25d3.7%0.9%7.7%3.9%7.7%
Skew 10d8.0%-12.5%29.0%17.6%29.0%
Call IV 25d33.7%29.3%41.4%39.2%41.4%
Put IV 25d37.5%32.2%49.1%43.0%49.1%
Bid-Ask Spread %32.5516.4582.0656.8324.99
Gamma HHI0.400.180.840.200.18
Net GEX-2.5M-5.1M-71.2K-2.5M-71.2K
Net DEX35.8M4.3M80.1M46.0M4.7M
Net VEX-111.7K-167.1K-82.0K-167.1K-93.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.160.556.320.911.00
Total Volume6,9642,45416,0487,7782,454
Total OI106,140.931,082160,553150,32732,500

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$15.48$17.0041.7%13.4%38.8%52.2%46.0%3.9%-1.8%-2.5M46.0M-167.1K0.9156.834,0633,71559,16091,167
2017-01-04$15.71$17.0041.8%13.9%34.5%52.6%47.6%5.5%-2.2%-2.1M36.3M-167.1K1.1482.066,0436,86760,96192,096
2017-01-05$15.19$18.0036.6%10.7%35.9%34.9%35.5%4.0%0.4%-3.6M57.7M-158.6K3.8418.462,84410,91163,23496,796
2017-01-06$14.50$17.0033.5%10.5%33.8%24.1%35.4%1.8%-0.4%-4.6M80.1M-138.2K3.3227.712,0206,70463,76296,791
2017-01-09$14.94$17.0034.7%9.9%35.2%28.4%34.9%2.4%0.6%-4.8M66.1M-132.5K5.6748.602,40613,64258,51194,467
2017-01-10$15.26$17.0033.3%10.4%36.8%23.5%35.0%3.1%3.6%-4.7M50.7M-131.2K1.7726.112,4144,28359,02192,979
2017-01-11$15.15$17.0033.2%10.1%35.9%23.3%32.7%2.3%2.8%-5.1M52.5M-122.4K2.5223.512,4016,04559,51792,263
2017-01-12$15.15$17.0033.7%9.6%35.9%24.8%33.8%1.8%-1.2%-5.1M54.6M-118.1K1.9120.862,1024,00859,62294,085
2017-01-13$15.24$17.0032.6%9.5%35.6%21.2%31.9%2.7%0.5%-3.4M52.6M-110.1K1.6921.602,1803,68559,77994,230
2017-01-17$15.29$17.0033.4%9.6%35.5%24.1%33.8%4.9%0.2%-3.4M35.2M-99.0K6.3220.001,61310,18853,32373,388
2017-01-18$15.30$17.0033.3%9.6%35.3%23.6%34.0%2.4%-0.2%-3.8M34.0M-95.3K4.7722.531,6767,99053,47973,159
2017-01-19$14.91$17.0032.6%9.3%36.2%21.2%30.2%6.0%-0.8%-4.4M47.4M-88.7K1.5225.521,6002,43853,56773,191
2017-01-20$14.94$17.0032.2%9.3%36.1%19.8%30.6%4.5%-0.6%-857.0K56.5M-83.5K1.4116.452,1513,04353,67872,387
2017-01-23$14.76$17.0032.5%9.5%36.0%20.7%32.2%4.4%11.1%-450.4K9.7M-82.0K1.6034.221,8983,03713,64117,441
2017-01-24$15.00$17.0031.6%9.1%29.6%17.7%31.7%1.9%10.5%-513.7K8.4M-84.9K0.5551.382,0491,13614,36317,491
2017-01-25$15.35$17.0031.0%8.7%30.6%15.7%31.2%3.9%9.4%-444.0K5.2M-87.7K0.6029.122,3241,38415,25217,184
2017-01-26$15.18$16.0032.9%9.5%30.8%22.2%31.6%2.9%12.2%-396.7K4.3M-95.1K0.8126.641,6441,32816,56617,378
2017-01-27$14.67$16.0035.4%9.4%32.9%30.7%31.2%0.9%11.3%-92.5K8.6M-89.9K0.8132.491,3901,12516,85317,430
2017-01-30$14.75$16.0042.1%9.7%33.0%53.8%32.3%7.3%-3.8%-86.7K6.1M-90.4K0.9741.981,2581,22116,67015,436
2017-01-31$15.15$16.0042.9%9.5%34.5%56.3%31.6%7.7%-1.0%-71.2K4.7M-93.1K1.0024.991,2291,22516,87015,630