AEO Options History — May 2017

In May 2017, AEO traded between $10.84 and $14.42. ATM implied volatility averaged 42.1%, placing in the 55.5% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 4.1% (HV 20d: 46.2%). Max pain ranged from $12.00 to $15.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.82.

Notable Days

  • 2017-05-15: Highest Volume — 29,257 contracts
  • 2017-05-17: Largest IV drop — 14.0% change
  • 2017-05-16: Highest IV Rank — 86.9%
  • 2017-05-02: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.65$10.84$14.42$13.96$11.50
Max Pain$13.55$12.00$15.00$15.00$12.00
ATM IV42.1%34.8%51.8%44.1%37.1%
Expected Move12.2%9.7%15.1%14.7%10.4%
HV 20d46.2%25.3%68.3%31.1%66.0%
HV 60d41.4%35.8%50.0%36.4%43.4%
IV Rank55.5%33.1%86.9%60.4%42.1%
IV Percentile78.3%52.0%99.6%88.5%59.1%
Term Structure-0.2%-4.2%11.2%-0.3%-0.6%
VWIV42.5%32.7%54.9%52.1%36.1%
Skew 25d4.0%0.2%6.8%3.7%4.1%
Skew 10d12.8%-10.2%40.4%10.0%9.3%
Call IV 25d40.7%32.9%50.9%42.2%36.5%
Put IV 25d44.6%34.9%54.0%45.8%40.6%
Bid-Ask Spread %25.7010.63127.6638.7911.31
Gamma HHI0.210.140.340.170.17
Net GEX-15.3K-519.9K462.5K-102.6K124.9K
Net DEX10.2M2.9M36.3M6.5M4.8M
Net VEX-86.3K-108.0K-56.1K-101.2K-83.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.820.093.302.502.59
Total Volume10,252.4093,15929,2575,23011,389
Total OI53,743.72741,60886,51041,60853,407

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$13.96$15.0044.1%14.7%31.1%60.4%52.1%3.7%-0.3%-102.6K6.5M-101.2K2.5038.791,4933,73718,11523,493
2017-05-02$14.11$15.0044.0%15.1%30.5%60.3%54.9%5.8%-2.2%-82.9K6.1M-102.2K2.7221.151,3463,65818,25523,637
2017-05-03$14.05$15.0044.4%14.7%25.3%61.6%52.9%6.7%-2.2%-96.1K6.4M-101.4K2.3548.411,5903,73318,49123,671
2017-05-04$13.83$15.0043.4%11.8%25.9%58.2%41.4%3.9%-2.7%-144.7K8.0M-98.5K2.1118.791,5523,26918,61623,728
2017-05-05$14.15$14.0044.5%11.8%26.5%62.1%41.1%4.1%-2.9%-136.7K4.8M-100.9K1.5515.681,9513,02218,92923,852
2017-05-08$14.21$14.0044.4%12.0%25.7%61.4%41.0%3.7%-2.6%-102.5K4.6M-100.2K1.6413.611,7642,90018,04923,595
2017-05-09$13.96$14.0044.8%12.1%26.7%62.8%41.5%3.3%-1.1%-123.5K6.5M-97.3K1.7116.821,8803,22118,48723,772
2017-05-10$14.42$14.0045.3%13.4%28.6%64.6%46.0%5.2%0.9%-80.2K2.9M-101.1K0.2649.7011,0882,84818,56424,040
2017-05-11$13.74$14.0047.4%13.1%33.5%71.8%44.4%4.0%-1.5%225.8K4.8M-108.0K0.7619.301,7931,36627,74724,269
2017-05-12$13.54$14.0047.6%13.1%33.2%72.6%47.8%5.1%-2.7%108.5K7.1M-103.5K0.0920.0317,2561,62728,09624,755
2017-05-15$13.14$14.0050.4%14.4%34.9%82.1%48.7%6.8%-4.2%462.5K5.2M-102.2K0.4828.9119,8329,42541,69025,420
2017-05-16$13.00$14.0051.8%14.7%35.0%86.9%51.9%3.1%-1.2%246.9K6.8M-104.7K2.2218.994,58910,18742,46933,060
2017-05-17$11.01$14.0044.6%12.8%68.3%62.1%42.4%2.0%11.2%-519.9K36.3M-59.2K1.4023.266,6829,35144,07541,058
2017-05-18$10.84$13.0040.0%11.6%65.6%46.6%41.0%2.7%-2.1%-260.1K34.1M-56.5K1.5111.762,6634,02848,07338,437
2017-05-19$10.88$13.0039.7%11.5%64.7%52.2%38.8%3.4%-1.0%-104.0K32.1M-56.1K1.4215.392,6593,78248,05136,461
2017-05-22$11.11$13.0035.2%10.2%65.3%34.8%35.4%2.4%1.3%-113.2K12.7M-57.4K2.8114.112,7327,67024,87719,324
2017-05-23$11.05$13.0034.8%9.8%65.3%33.1%33.9%0.2%0.5%-52.3K10.8M-57.7K3.3012.432,2727,50026,11018,020
2017-05-24$11.31$12.0036.0%11.1%65.7%37.7%40.7%2.7%8.4%-35.5K9.7M-65.0K1.19127.666,5877,81626,24918,228
2017-05-25$11.47$12.0034.9%9.9%66.3%33.6%32.7%4.9%0.1%178.4K5.9M-72.8K2.2615.963,7208,39130,80318,750
2017-05-26$11.49$12.0035.4%9.7%66.1%35.2%35.2%4.3%-0.2%163.7K5.1M-85.0K2.5212.683,2968,31232,56521,428
2017-05-30$11.60$12.0036.4%10.0%66.5%39.4%34.5%5.5%0.4%106.8K4.2M-84.7K2.5710.633,2408,33631,08620,560
2017-05-31$11.50$12.0037.1%10.4%66.0%42.1%36.1%4.1%-0.6%124.9K4.8M-83.0K2.5911.313,1718,21832,06121,346