AEO Options History — July 2017

In July 2017, AEO traded between $11.18 and $12.30. ATM implied volatility averaged 41.6%, placing in the 59.9% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 7.7% (HV 20d: 34.0%). Max pain ranged from $11.50 to $13.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.54.

Notable Days

  • 2017-07-11: Highest Volume — 8,051 contracts
  • 2017-07-24: Largest IV spike — 10.1% change
  • 2017-07-27: Highest IV Rank — 99.1%
  • 2017-07-27: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.78$11.18$12.30$12.30$11.86
Max Pain$12.63$11.50$13.00$11.50$12.00
ATM IV41.6%33.3%51.6%33.3%49.0%
Expected Move12.0%8.5%13.1%8.5%12.8%
HV 20d34.0%25.4%40.5%25.4%39.8%
HV 60d45.8%44.3%47.4%44.3%47.3%
IV Rank59.9%27.2%99.1%27.2%89.1%
IV Percentile71.9%33.3%99.6%33.3%98.0%
Term Structure2.8%-3.2%7.6%-0.6%-1.4%
VWIV41.0%33.2%46.0%33.2%46.0%
Skew 25d4.6%1.1%9.5%2.5%7.6%
Skew 10d13.8%-9.3%26.6%20.0%21.4%
Call IV 25d39.2%32.5%49.2%33.1%45.8%
Put IV 25d43.8%35.6%55.3%35.6%53.4%
Bid-Ask Spread %13.658.0020.9315.0315.47
Gamma HHI0.170.130.280.140.16
Net GEX-50.6K-149.4K18.9K18.9K-33.6K
Net DEX5.4M3.3M8.0M3.3M5.1M
Net VEX-86.7K-92.4K-77.1K-90.9K-87.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.572.201.290.57
Total Volume5,795.154,3568,0514,6426,044
Total OI46,579.841,97350,28241,97350,104

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-07-03$12.30$11.5033.3%8.5%25.4%27.2%33.2%2.5%-0.6%18.9K3.3M-90.9K1.2915.032,0282,61421,11820,855
2017-07-05$12.05$12.0034.4%10.0%25.7%31.6%33.9%3.7%4.0%-22.6K4.2M-89.1K1.0113.072,6382,66321,05420,937
2017-07-06$11.64$13.0035.8%11.9%29.2%37.1%40.6%2.3%5.0%-45.5K5.8M-82.7K1.1314.092,4352,74221,57420,913
2017-07-07$11.74$13.0035.9%11.5%29.0%37.3%39.3%5.1%1.4%-43.3K5.7M-83.5K1.2816.222,3943,07521,74921,074
2017-07-10$11.22$13.0038.6%12.9%32.4%48.1%43.7%6.2%6.1%-90.3K7.4M-77.2K1.1514.902,8443,25821,94221,176
2017-07-11$11.18$13.0039.0%13.0%32.1%49.6%43.2%3.5%5.6%-121.1K7.5M-77.1K1.9012.912,7765,27522,59521,750
2017-07-12$11.26$13.0036.6%12.5%32.1%40.2%40.9%2.5%7.6%-149.4K8.0M-82.1K1.6115.542,6964,32922,73023,994
2017-07-13$11.75$13.0036.3%11.9%35.7%38.9%39.9%2.1%6.3%-77.9K5.6M-89.0K1.5113.232,7064,08422,81324,031
2017-07-14$11.78$13.0037.9%12.1%35.4%45.2%38.5%2.2%6.2%-43.5K5.4M-89.5K1.5311.592,6774,08423,02324,109
2017-07-17$11.99$13.0039.7%11.6%35.9%52.4%39.6%7.6%6.4%-13.1K4.3M-89.0K2.098.002,4025,02623,07023,692
2017-07-18$11.84$13.0041.5%12.1%36.2%59.3%40.4%6.6%4.8%-60.9K5.5M-89.3K2.209.681,7933,94123,37624,588
2017-07-19$12.11$13.0040.7%11.7%33.1%56.1%40.1%6.9%5.5%-15.1K4.0M-92.4K2.058.751,8323,75423,60624,609
2017-07-20$12.06$13.0043.2%12.1%33.2%66.2%40.9%9.5%5.4%2.4K3.9M-92.0K2.168.881,6513,56223,94624,624
2017-07-21$11.84$13.0043.5%11.9%34.1%67.4%41.2%1.1%4.6%-64.5K5.5M-88.3K1.8311.462,0473,73624,05924,701
2017-07-24$11.49$13.0047.9%11.9%34.1%84.8%40.6%4.0%-2.9%-86.2K6.8M-83.3K1.8413.231,9783,64423,51323,797
2017-07-25$11.96$12.0048.8%12.6%37.0%87.9%43.5%4.5%-3.2%-37.2K4.6M-87.3K1.6515.472,1193,50323,90023,926
2017-07-26$11.59$12.0049.2%13.0%38.7%89.8%44.5%2.3%-0.1%-66.8K6.5M-85.3K1.3120.931,9402,53924,51724,241
2017-07-27$11.98$12.0051.6%13.1%40.5%99.1%45.5%4.4%-1.9%-10.1K4.2M-89.6K1.3718.251,8352,52125,01324,595
2017-07-28$11.89$12.0049.5%12.8%40.1%90.8%44.5%7.0%-2.4%-53.0K5.2M-88.4K1.2516.232,1012,61725,30724,975
2017-07-31$11.86$12.0049.0%12.8%39.8%89.1%46.0%7.6%-1.4%-33.6K5.1M-87.6K0.5715.473,8482,19625,21324,891