AEO Options History — March 2017

In March 2017, AEO traded between $13.65 and $15.09. ATM implied volatility averaged 32.1%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 13.6% (HV 20d: 45.7%). Max pain ranged from $15.00 to $15.50. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.95.

Notable Days

  • 2017-03-03: Highest Volume — 21,102 contracts
  • 2017-03-06: Largest IV spike — 5.8% change
  • 2017-03-06: Highest IV Rank — 32.7%
  • 2017-03-01: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.32$13.65$15.09$14.31$14.06
Max Pain$15.02$15.00$15.50$15.50$15.00
ATM IV32.1%28.8%36.0%35.8%29.7%
Expected Move9.0%8.4%10.2%10.2%8.5%
HV 20d45.7%19.9%52.9%48.0%20.9%
HV 60d38.4%36.8%41.5%40.4%37.0%
IV Rank19.6%8.1%32.7%32.2%11.2%
IV Percentile36.9%11.5%58.7%57.9%17.5%
Term Structure-0.1%-2.4%2.5%0.0%-0.1%
VWIV31.3%28.3%36.0%36.0%28.3%
Skew 25d3.8%2.3%5.2%4.4%4.5%
Skew 10d6.0%-11.3%21.8%-8.1%-11.3%
Call IV 25d30.8%26.8%35.5%35.5%26.8%
Put IV 25d34.6%31.4%39.9%39.9%31.4%
Bid-Ask Spread %34.8616.64101.3550.5225.19
Gamma HHI0.320.180.590.180.20
Net GEX25.3K-306.3K796.0K-196.8K-141.3K
Net DEX8.4M4.2M11.9M10.6M7.4M
Net VEX-101.6K-118.8K-90.8K-96.3K-95.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.132.262.260.54
Total Volume4,722.6092,42221,10211,9482,814
Total OI43,420.69631,02454,75137,39136,021

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$14.31$15.5035.8%10.2%48.0%32.2%36.0%4.4%0.0%-196.8K10.6M-96.3K2.2650.523,6658,28317,25420,137
2017-03-02$15.09$15.0034.8%9.4%51.9%28.8%34.6%3.8%0.6%30.4K4.6M-111.1K1.5131.932,6714,02118,33822,063
2017-03-03$15.00$15.0034.0%9.5%51.9%26.0%32.8%2.6%-0.5%-126.1K5.3M-110.6K0.1341.7218,7232,37918,34022,442
2017-03-06$14.57$15.0036.0%9.3%52.9%32.7%32.2%4.4%-2.4%796.0K4.2M-118.8K1.0616.641,7011,81131,88121,473
2017-03-07$14.50$15.0034.6%9.6%52.6%28.0%31.7%3.4%-1.6%666.4K5.7M-115.2K0.9424.081,8281,71232,09121,720
2017-03-08$14.60$15.0033.6%9.2%52.0%24.6%31.2%4.9%0.5%711.9K6.2M-113.5K0.9521.251,7741,69232,13321,870
2017-03-09$14.51$15.0033.4%9.3%51.4%24.1%32.2%4.2%0.4%494.3K7.6M-109.1K1.0419.601,7801,85232,24421,805
2017-03-10$14.54$15.0034.2%9.1%50.5%26.6%32.4%4.8%-1.7%450.7K7.9M-107.8K1.2517.581,4671,83732,29121,978
2017-03-13$14.49$15.0032.7%9.7%50.0%21.5%33.2%5.2%2.5%150.2K9.1M-103.6K1.3718.471,3401,83431,77021,756
2017-03-14$14.58$15.0032.2%8.8%49.7%19.8%30.3%3.3%-2.0%144.5K8.8M-102.6K2.2222.431,2542,78631,86921,753
2017-03-15$14.55$15.0031.7%8.7%49.5%18.2%30.3%4.7%-1.9%115.3K9.1M-103.6K1.29101.351,2871,66031,97422,507
2017-03-16$14.50$15.0032.5%9.3%49.5%20.8%30.3%4.4%-0.2%-253.0K9.8M-100.7K0.8919.501,2831,13932,10222,454
2017-03-17$14.24$15.0031.0%9.0%49.1%15.9%29.0%3.4%0.8%-243.4K11.7M-97.2K1.2121.951,3351,62032,18922,562
2017-03-20$14.01$15.0030.3%8.6%48.8%13.4%30.2%2.8%0.2%-258.6K10.2M-92.8K1.5922.131,5902,53612,01819,006
2017-03-21$13.65$15.0031.7%9.0%48.5%18.0%31.6%3.7%-0.4%-290.3K11.9M-90.8K1.0324.311,4611,50412,51519,841
2017-03-22$13.81$15.0030.5%8.7%48.9%13.9%31.7%3.7%-0.1%-306.3K11.9M-92.0K0.3962.053,1061,21512,69820,055
2017-03-23$13.85$15.0029.8%8.5%46.9%11.6%29.9%2.9%0.1%-233.8K9.3M-95.0K0.4527.633,0881,38514,32319,903
2017-03-24$13.87$15.0030.4%8.7%45.2%13.6%30.6%2.5%1.4%-208.1K10.0M-94.6K0.3636.942,9721,07414,49520,173
2017-03-27$13.98$15.0030.8%8.8%42.8%15.1%31.4%3.0%0.8%-203.3K9.0M-94.8K0.3030.662,90285814,12719,887
2017-03-28$13.99$15.0029.9%8.7%42.9%12.0%31.6%3.6%1.2%-199.7K9.4M-94.1K0.2254.492,98565714,45220,013
2017-03-29$14.33$15.0030.4%8.4%28.1%13.8%29.5%4.6%0.1%-182.4K6.7M-98.2K0.3368.742,27076014,65020,034
2017-03-30$14.35$15.0028.8%8.4%19.9%8.1%30.2%2.3%0.1%-134.9K6.4M-98.7K0.5242.601,78292715,42820,041
2017-03-31$14.06$15.0029.7%8.5%20.9%11.2%28.3%4.5%-0.1%-141.3K7.4M-95.9K0.5425.191,82898615,81020,211