AEO Options History — October 2017

In October 2017, AEO traded between $12.80 and $14.30. ATM implied volatility averaged 38.1%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 8.4% (HV 20d: 29.7%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.93.

Notable Days

  • 2017-10-04: Highest Volume — 10,219 contracts
  • 2017-10-30: Largest IV spike — 15.9% change
  • 2017-10-31: Highest IV Rank — 45.5%
  • 2017-10-31: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.46$12.80$14.30$14.30$13.02
Max Pain$12.23$12.00$13.00$12.00$13.00
ATM IV38.1%34.8%47.0%34.8%47.0%
Expected Move11.0%10.0%12.5%10.0%12.5%
HV 20d29.7%26.4%34.5%29.5%33.4%
HV 60d40.7%39.4%41.6%41.6%41.3%
IV Rank23.3%15.4%45.5%16.8%45.5%
IV Percentile50.1%32.5%88.9%32.5%88.9%
Term Structure2.1%-3.3%8.1%-0.3%6.1%
VWIV38.4%34.8%44.9%36.9%44.6%
Skew 25d2.9%-1.8%5.1%4.8%3.1%
Skew 10d8.8%-6.0%23.8%9.6%7.3%
Call IV 25d37.0%33.0%47.5%33.0%45.8%
Put IV 25d40.0%34.9%51.0%37.9%48.8%
Bid-Ask Spread %10.536.4814.8212.868.08
Gamma HHI0.180.120.290.240.14
Net GEX202.1K22.6K443.6K418.8K68.6K
Net DEX-7.0M-15.2M-980.5K-15.2M-2.1M
Net VEX-93.6K-102.7K-85.2K-102.7K-85.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.181.811.710.91
Total Volume6,0824,39710,2195,1534,565
Total OI53,820.550,73556,77853,67950,764

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$14.30$12.0034.8%10.0%29.5%16.8%36.9%4.8%-0.3%418.8K-15.2M-102.7K1.7112.861,9033,25028,75224,927
2017-10-03$13.91$12.0035.9%10.6%32.0%17.7%34.8%1.6%-0.5%376.8K-12.2M-100.0K1.8110.121,8873,41329,02025,182
2017-10-04$13.58$12.0035.6%10.5%32.5%17.1%44.4%1.3%0.9%235.4K-9.1M-96.2K0.1813.428,6331,58629,19525,397
2017-10-05$13.84$12.0034.9%10.5%31.6%15.4%35.4%-1.8%-0.9%443.6K-10.1M-99.7K0.2813.965,4261,49827,74025,465
2017-10-06$13.67$12.0036.6%10.7%30.7%19.5%36.4%1.7%-0.6%326.4K-8.6M-97.6K0.2812.075,6631,58428,49925,534
2017-10-09$13.39$12.0037.4%11.1%32.1%21.5%38.4%3.1%0.8%267.9K-6.7M-97.0K0.628.743,0771,89728,40925,238
2017-10-10$13.62$12.0037.2%10.6%26.9%21.0%37.3%3.6%0.0%344.1K-8.3M-97.6K0.659.972,9041,89928,50725,330
2017-10-11$13.13$12.0037.4%10.9%27.4%21.4%38.1%2.6%0.4%162.7K-4.5M-92.8K0.8111.013,5382,86528,55025,429
2017-10-12$13.02$12.0037.7%11.0%27.5%22.3%38.3%3.9%1.5%100.4K-3.3M-92.8K0.7211.523,4372,48528,89526,790
2017-10-13$13.00$12.0037.6%10.9%27.5%22.1%35.2%3.3%1.3%89.1K-3.2M-91.6K0.718.063,2682,32828,92726,998
2017-10-16$12.93$12.0038.4%11.0%27.2%24.0%38.4%2.0%1.4%76.3K-2.4M-90.4K1.106.993,0863,38127,85726,985
2017-10-17$12.80$12.0037.9%10.9%26.6%22.8%37.9%3.6%0.5%22.6K-980.5K-90.8K1.096.482,9933,26627,94028,220
2017-10-18$12.97$12.0037.0%10.6%26.5%20.5%37.0%2.6%-0.6%81.5K-2.8M-91.2K1.059.763,0073,15028,33028,212
2017-10-19$12.97$12.0038.3%11.0%26.4%23.8%38.3%5.1%-1.0%41.6K-2.6M-90.3K1.078.253,0383,26428,30828,241
2017-10-20$13.50$12.0038.5%11.4%30.1%24.2%38.1%1.4%-3.3%92.7K-6.4M-93.3K0.7911.854,3303,42528,41328,365
2017-10-23$13.82$12.0036.4%10.5%30.8%18.9%36.8%4.8%6.6%278.3K-9.4M-93.3K1.1210.412,9793,34524,67526,203
2017-10-24$13.94$12.0036.9%10.5%30.6%20.2%37.8%4.6%6.4%286.2K-10.6M-93.1K1.1910.292,8873,44925,09026,340
2017-10-25$13.86$13.0037.5%11.3%30.0%21.9%38.9%2.9%7.7%296.1K-10.2M-92.9K1.2810.122,6213,34525,21026,813
2017-10-26$14.03$13.0037.9%10.9%29.9%22.7%37.9%4.2%7.2%211.6K-11.8M-91.4K1.0214.822,7712,82125,26626,879
2017-10-27$13.74$13.0040.4%11.3%30.6%29.1%38.7%2.5%8.1%138.5K-9.7M-90.4K1.2111.812,3322,81125,54326,878
2017-10-30$13.11$13.0046.9%12.3%34.5%45.1%44.9%3.5%3.6%86.4K-3.1M-87.9K0.8311.002,4071,99023,78526,950
2017-10-31$13.02$13.0047.0%12.5%33.4%45.5%44.6%3.1%6.1%68.6K-2.1M-85.2K0.918.082,3942,17123,66427,100