AEO Options History — August 2017

In August 2017, AEO traded between $10.61 and $12.68. ATM implied volatility averaged 50.5%, placing in the 75.2% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 7.4% (HV 20d: 43.1%). Max pain ranged from $11.50 to $12.00. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 1.59.

Notable Days

  • 2017-08-21: Highest Volume — 44,336 contracts
  • 2017-08-23: Largest IV drop — 38.1% change
  • 2017-08-03: Highest IV Rank — 100.0%
  • 2017-08-22: Largest Expected Move — 22.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.70$10.61$12.68$11.83$11.97
Max Pain$11.98$11.50$12.00$12.00$12.00
ATM IV50.5%38.0%68.9%50.9%39.6%
Expected Move14.0%9.8%22.1%13.1%10.3%
HV 20d43.1%33.1%54.5%39.1%54.5%
HV 60d40.4%32.7%47.2%47.0%40.8%
IV Rank75.2%27.3%100.0%96.5%31.2%
IV Percentile87.2%54.4%100.0%99.2%58.3%
Term Structure-2.5%-11.8%2.4%-3.0%-2.2%
VWIV48.6%34.7%74.2%46.0%35.6%
Skew 25d5.1%0.5%9.6%4.1%2.0%
Skew 10d15.7%-1.9%36.4%22.7%-1.9%
Call IV 25d47.5%35.4%63.3%47.9%37.4%
Put IV 25d52.7%38.9%68.3%52.0%39.3%
Bid-Ask Spread %15.067.5019.1218.8010.11
Gamma HHI0.230.130.340.180.29
Net GEX149.5K-351.0K949.1K31.3K636.7K
Net DEX848.3K-25.1M11.5M4.1M-3.5M
Net VEX-95.1K-116.5K-76.6K-90.3K-102.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.443.911.621.24
Total Volume10,246.4354,90944,3369,0225,700
Total OI71,691.73948,325105,18952,22789,693

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$11.83$12.0050.9%13.1%39.1%96.5%46.0%4.1%-3.0%31.3K4.1M-90.3K1.6218.803,4475,57527,50724,720
2017-08-02$11.65$12.0050.8%14.4%38.9%96.2%50.3%7.8%0.1%-310.2K7.6M-90.2K3.5315.411,7206,07227,62328,517
2017-08-03$11.65$12.0052.0%13.3%36.9%100.0%47.4%5.1%-1.8%-351.0K7.7M-90.1K3.2516.631,6545,37927,90529,213
2017-08-04$11.80$12.0049.2%13.5%37.0%88.7%46.5%4.2%-3.4%-226.0K6.6M-90.4K0.8714.473,0722,67928,14329,597
2017-08-07$11.97$12.0050.0%13.8%33.1%92.1%48.1%4.2%-1.4%-206.9K3.5M-91.8K0.7213.693,1992,29628,90728,097
2017-08-08$12.12$12.0049.5%13.6%33.2%89.8%47.5%6.3%-1.6%-184.1K2.1M-93.8K1.1815.212,2532,65629,38828,460
2017-08-09$11.99$12.0051.1%14.4%33.6%96.1%49.1%6.4%-0.0%-200.7K3.6M-93.8K0.7615.813,3552,56530,37028,974
2017-08-10$11.22$12.0059.6%17.2%38.5%100.0%59.2%3.8%0.2%-66.7K9.7M-85.7K1.1619.124,0274,69132,00729,389
2017-08-11$11.25$12.0059.5%16.4%38.5%99.6%56.6%9.6%-4.2%-61.7K10.9M-88.2K1.8618.631,8723,47333,31731,394
2017-08-14$10.99$12.0054.9%15.5%38.4%85.7%52.8%2.7%-1.8%-110.8K10.6M-83.1K1.0215.284,2054,28132,17929,818
2017-08-15$10.91$12.0055.3%15.7%38.3%86.9%52.3%6.2%-3.2%-23.6K11.5M-82.1K2.1615.192,0964,51834,74831,264
2017-08-16$11.44$12.0056.6%16.2%41.5%90.9%55.5%7.3%-3.8%-25.5K4.6M-89.0K2.0915.752,2804,77635,43231,463
2017-08-17$11.29$12.0056.3%16.3%41.7%90.0%53.5%9.0%-4.6%-10.5K6.4M-87.1K2.2717.141,7904,07036,05932,013
2017-08-18$11.18$12.0058.2%17.2%41.4%95.8%57.4%8.3%-4.7%-26.1K7.6M-84.6K1.6615.682,1913,63736,17832,374
2017-08-21$10.61$12.0058.1%17.5%44.0%95.5%63.9%1.8%-11.8%-46.6K8.2M-76.6K3.9116.749,02835,30823,06825,257
2017-08-22$11.17$12.0068.9%22.1%45.6%100.0%74.2%4.9%-6.7%-142.8K3.7M-96.9K0.4415.5921,9499,67726,69149,603
2017-08-23$12.07$11.5042.6%11.6%52.6%38.2%40.2%4.5%-0.8%806.0K-13.4M-110.8K0.747.5011,5108,57144,32156,453
2017-08-24$12.20$12.0040.8%11.0%51.5%33.8%39.1%4.7%-1.9%949.1K-16.9M-116.5K0.8713.855,8865,13346,00359,186
2017-08-25$12.68$12.0038.0%9.9%53.0%27.3%34.7%3.5%2.4%715.2K-25.1M-116.2K1.2114.504,5025,43945,45759,581
2017-08-28$12.48$12.0039.1%10.0%53.4%29.8%35.8%3.9%-0.5%782.5K-11.7M-110.9K1.2416.463,0503,79236,30552,890
2017-08-29$12.49$12.0039.5%10.3%53.4%30.9%37.0%7.5%-1.1%803.7K-11.4M-110.5K1.4212.112,6903,82536,63053,066
2017-08-30$12.15$12.0041.5%9.8%54.1%35.5%35.1%0.5%-1.0%708.0K-7.0M-107.0K1.3212.632,4923,28736,59253,058
2017-08-31$11.97$12.0039.6%10.3%54.5%31.2%35.6%2.0%-2.2%636.7K-3.5M-102.3K1.2410.112,5403,16036,47853,215