AEO Options History — June 2017

In June 2017, AEO traded between $11.07 and $12.08. ATM implied volatility averaged 34.9%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 8.8% (HV 20d: 43.8%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.97.

Notable Days

  • 2017-06-01: Highest Volume — 10,406 contracts
  • 2017-06-14: Largest IV drop — 6.0% change
  • 2017-06-07: Highest IV Rank — 42.7%
  • 2017-06-05: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.48$11.07$12.08$11.61$12.08
Max Pain$11.57$11.00$12.00$12.00$11.50
ATM IV34.9%32.6%37.3%36.3%32.6%
Expected Move9.9%9.0%10.5%9.7%9.0%
HV 20d43.8%22.5%66.9%66.4%24.9%
HV 60d44.4%43.5%45.1%43.5%44.3%
IV Rank33.5%24.3%42.7%39.0%24.3%
IV Percentile46.6%29.4%59.1%56.3%29.4%
Term Structure-0.2%-3.8%2.4%0.5%2.2%
VWIV34.9%32.2%37.8%34.5%32.7%
Skew 25d3.6%0.1%5.9%0.1%3.7%
Skew 10d11.2%-7.3%23.7%12.5%16.6%
Call IV 25d32.7%30.2%35.9%35.6%31.0%
Put IV 25d36.3%34.3%39.2%35.6%34.7%
Bid-Ask Spread %13.188.5219.7617.0514.08
Gamma HHI0.220.130.500.150.14
Net GEX6.7K-114.4K198.6K128.7K-4.9K
Net DEX5.6M3.2M7.8M3.4M3.9M
Net VEX-81.5K-87.8K-76.6K-85.5K-87.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.971.502.982.981.53
Total Volume7,143.4095,47710,40610,4065,887
Total OI48,050.40941,25153,95653,73943,445

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$11.61$12.0036.3%9.7%66.4%39.0%34.5%0.1%0.5%128.7K3.4M-85.5K2.9817.052,6157,79132,28321,456
2017-06-02$11.23$12.0035.0%10.2%66.9%33.9%34.1%2.0%2.4%118.1K6.2M-80.3K1.6410.483,3405,46532,42421,495
2017-06-05$11.27$11.0035.9%10.5%66.0%37.3%35.4%1.0%0.3%115.8K5.2M-79.8K1.798.522,9095,19632,07320,817
2017-06-06$11.07$11.0036.7%10.4%65.7%40.5%37.4%4.9%-0.3%198.6K6.2M-76.6K1.698.963,0985,22532,53920,872
2017-06-07$11.14$11.0037.3%10.5%66.0%42.7%35.9%2.8%0.1%196.7K5.9M-77.3K1.788.602,9115,17532,78120,905
2017-06-08$11.28$11.0035.3%10.2%64.6%35.1%34.8%5.9%-1.0%139.0K4.7M-79.4K1.6310.013,0735,00532,77820,925
2017-06-09$11.54$11.0035.9%9.5%64.3%37.6%34.9%3.2%-0.3%-51.5K3.2M-80.9K1.6410.883,1815,22332,99920,957
2017-06-12$11.67$11.0037.0%9.7%64.7%41.6%34.5%5.0%-3.8%-29.0K5.2M-84.1K2.6714.072,2005,87829,78420,716
2017-06-13$11.57$12.0036.1%9.6%64.1%38.2%35.4%5.9%-1.7%-27.0K5.5M-84.7K2.4312.592,0655,02630,68921,461
2017-06-14$11.61$12.0033.9%9.5%64.2%29.7%37.8%5.8%-1.3%-26.5K5.8M-83.4K2.4019.762,0694,97330,72121,479
2017-06-15$11.48$12.0034.7%10.2%23.4%32.5%36.6%4.3%1.0%-37.7K6.2M-81.2K2.4313.382,0344,93630,75521,484
2017-06-16$11.50$12.0034.2%9.8%22.5%30.5%35.4%4.9%1.2%-23.5K6.3M-81.8K2.4213.272,1455,18930,77021,520
2017-06-19$11.60$12.0033.2%9.4%22.5%26.7%35.3%4.2%-1.3%-1.1K5.9M-81.6K2.5813.142,0055,16320,75820,493
2017-06-20$11.12$12.0034.0%9.7%26.7%29.8%35.3%4.9%0.5%-70.7K7.3M-77.1K2.1516.391,9924,28020,88020,605
2017-06-21$11.12$12.0034.5%9.9%26.6%32.0%35.0%3.8%0.6%-114.4K7.8M-76.6K1.7114.242,0243,45320,96121,154
2017-06-22$11.19$11.5035.7%10.3%25.4%36.6%34.0%4.7%-0.6%-108.1K7.6M-77.0K1.5715.982,1873,44421,01521,222
2017-06-23$11.56$11.5033.6%9.5%27.5%28.4%34.2%5.1%0.2%-79.1K6.0M-81.2K1.5314.902,2293,41221,22521,229
2017-06-26$11.64$11.5034.9%10.1%27.6%33.3%32.2%2.2%-0.2%-51.6K5.6M-81.4K1.589.572,3903,78020,42220,881
2017-06-27$11.72$11.5034.0%9.6%27.5%29.7%34.5%2.0%-1.0%-58.1K5.5M-85.1K1.9414.002,1004,08120,76021,540
2017-06-28$11.71$11.5034.7%9.8%27.3%32.5%34.5%1.2%-1.3%-53.0K5.5M-83.8K1.7614.422,1623,81620,92821,734
2017-06-29$11.91$11.5033.1%9.6%27.7%26.2%33.8%0.9%0.1%-13.0K4.7M-87.2K1.5015.722,4153,61321,38721,787
2017-06-30$12.08$11.5032.6%9.0%24.9%24.3%32.7%3.7%2.2%-4.9K3.9M-87.8K1.5314.082,3293,55821,53921,906