AEO Options History — September 2017

In September 2017, AEO traded between $12.21 and $14.45. ATM implied volatility averaged 36.4%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 8.8% (HV 20d: 45.2%). Max pain ranged from $12.00 to $12.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.93.

Notable Days

  • 2017-09-15: Highest Volume — 13,842 contracts
  • 2017-09-25: Largest IV spike — 10.1% change
  • 2017-09-06: Highest IV Rank — 32.4%
  • 2017-09-05: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.36$12.21$14.45$12.33$14.31
Max Pain$12.00$12.00$12.00$12.00$12.00
ATM IV36.4%33.8%40.2%37.2%33.8%
Expected Move10.5%9.6%11.3%10.1%10.1%
HV 20d45.2%30.3%56.3%55.3%30.3%
HV 60d42.2%41.0%43.6%41.2%41.6%
IV Rank23.2%14.3%32.4%25.4%14.3%
IV Percentile42.8%22.2%60.3%51.2%22.2%
Term Structure0.3%-1.6%2.3%0.9%0.6%
VWIV36.9%34.7%39.1%34.7%34.7%
Skew 25d3.6%0.5%6.2%3.8%0.5%
Skew 10d10.7%-14.6%23.4%9.7%17.4%
Call IV 25d34.5%31.1%38.0%35.0%34.8%
Put IV 25d38.1%35.3%40.9%38.8%35.3%
Bid-Ask Spread %12.508.0017.5012.1313.71
Gamma HHI0.290.130.550.420.24
Net GEX491.2K100.8K1.3M756.1K396.0K
Net DEX-14.1M-25.4M-5.9M-8.9M-16.2M
Net VEX-103.1K-105.5K-100.8K-104.8K-103.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.192.330.721.66
Total Volume7,025.754,57113,8427,6835,051
Total OI70,918.2549,32991,64989,86954,878

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$12.33$12.0037.2%10.1%55.3%25.4%34.7%3.8%0.9%756.1K-8.9M-104.8K0.7212.134,4593,22436,51453,355
2017-09-05$12.39$12.0038.4%11.3%55.1%28.1%38.3%4.4%-0.1%795.1K-9.3M-103.4K0.9111.852,9412,66635,30051,816
2017-09-06$12.75$12.0040.2%10.6%55.8%32.4%37.5%4.0%-1.2%964.5K-15.9M-105.3K1.0610.473,3553,55836,04251,958
2017-09-07$12.48$12.0038.7%11.2%56.3%28.9%38.8%1.3%-0.4%997.1K-11.6M-104.6K1.879.052,7285,09436,52652,855
2017-09-08$12.21$12.0039.4%11.3%51.1%30.6%37.8%3.3%-1.1%844.4K-7.2M-101.2K2.3313.672,9636,90736,68552,303
2017-09-11$12.27$12.0037.4%11.0%51.1%25.8%39.1%1.8%1.3%1.0M-5.9M-101.3K1.3813.524,3575,99935,55053,552
2017-09-12$12.94$12.0037.8%10.7%52.7%26.9%37.7%5.5%-1.6%1.3M-18.8M-104.6K1.5314.913,4675,29537,21453,609
2017-09-13$13.41$12.0036.1%10.7%53.3%22.9%37.2%5.4%1.3%461.4K-25.2M-103.2K0.7312.993,0762,25237,07853,919
2017-09-14$13.35$12.0034.1%9.8%51.6%18.0%35.7%6.2%0.4%429.1K-25.1M-104.4K0.748.002,8782,12737,48854,033
2017-09-15$13.32$12.0035.8%10.5%51.2%22.1%37.4%6.2%1.4%100.8K-25.4M-102.1K0.198.2911,6532,18937,49154,158
2017-09-18$13.45$12.0035.7%10.3%50.8%21.9%36.8%4.6%2.0%126.4K-8.7M-101.5K0.5911.882,9001,70524,27025,059
2017-09-19$13.64$12.0036.3%10.4%45.2%23.2%35.7%2.5%-1.6%116.4K-10.0M-100.8K0.6013.912,8621,70924,45425,448
2017-09-20$13.84$12.0036.2%10.4%42.9%23.1%37.4%5.7%-0.2%104.8K-11.5M-101.1K0.4317.503,7851,63924,67125,651
2017-09-21$13.68$12.0035.2%10.0%35.5%20.6%35.7%2.4%2.3%145.9K-10.8M-102.4K0.4712.963,6831,72825,36125,897
2017-09-22$13.84$12.0034.0%9.6%35.5%17.9%38.5%3.7%1.3%131.6K-11.8M-102.1K0.5410.243,1881,70925,39125,994
2017-09-25$14.06$12.0037.5%10.5%33.6%26.0%35.7%3.0%0.5%144.0K-12.6M-102.3K0.2014.777,9821,55724,73825,620
2017-09-26$14.24$12.0035.6%10.4%32.8%20.2%38.7%3.2%-0.5%335.5K-15.2M-105.5K0.9915.793,3813,34128,60725,774
2017-09-27$14.45$12.0034.6%10.3%32.8%17.6%35.5%1.1%-0.4%349.0K-17.1M-104.7K0.8813.263,4713,05328,78225,635
2017-09-28$14.21$12.0034.9%10.3%31.5%18.4%35.9%3.5%0.6%363.9K-15.0M-103.6K0.8811.093,5083,07529,04025,649
2017-09-29$14.31$12.0033.8%10.1%30.3%14.3%34.7%0.5%0.6%396.0K-16.2M-103.4K1.6613.711,8963,15529,19925,679