AEO Options History — November 2017

In November 2017, AEO traded between $12.76 and $16.43. ATM implied volatility averaged 57.4%, placing in the 70.9% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 18.4% (HV 20d: 39.0%). Max pain ranged from $13.00 to $15.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.90.

Notable Days

  • 2017-11-28: Highest Volume — 13,512 contracts
  • 2017-11-02: Largest IV drop — 26.2% change
  • 2017-11-24: Highest IV Rank — 100.0%
  • 2017-11-27: Largest Expected Move — 19.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.22$12.76$16.43$12.93$16.07
Max Pain$13.93$13.00$15.50$13.00$15.50
ATM IV57.4%47.6%70.0%64.5%52.6%
Expected Move16.4%12.2%19.8%12.2%17.9%
HV 20d39.0%30.9%44.5%32.5%44.1%
HV 60d37.9%34.1%41.5%41.2%37.2%
IV Rank70.9%47.0%100.0%89.1%57.8%
IV Percentile95.8%89.3%100.0%99.6%89.3%
Term Structure-0.7%-9.7%18.3%2.2%4.0%
VWIV57.5%42.1%69.5%42.1%61.7%
Skew 25d4.1%-14.4%8.1%-7.3%4.0%
Skew 10d14.8%-9.8%121.0%121.0%4.8%
Call IV 25d55.0%44.5%70.9%53.3%50.7%
Put IV 25d59.1%46.0%67.8%46.0%54.7%
Bid-Ask Spread %19.608.7156.2211.8116.81
Gamma HHI0.220.120.660.130.17
Net GEX175.4K-343.4K768.0K25.6K227.7K
Net DEX-9.6M-24.6M398.0K-1.3M-21.2M
Net VEX-88.7K-100.2K-81.7K-85.6K-100.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.361.651.060.92
Total Volume8,195.5244,28313,5124,56112,135
Total OI53,284.42946,06959,02751,29358,420

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$12.93$13.0064.5%12.2%32.5%89.1%42.1%-7.3%2.2%25.6K-1.3M-85.6K1.0611.812,2152,34623,75627,537
2017-11-02$13.29$14.0047.6%14.4%33.4%47.0%50.8%6.6%3.8%119.4K-4.1M-87.7K0.9614.462,1812,10224,04427,943
2017-11-03$12.99$14.0049.6%14.8%34.0%52.0%51.0%4.3%8.1%-343.4K-1.7M-84.2K1.0415.872,2212,30924,00027,988
2017-11-06$13.02$14.0054.5%15.3%33.4%64.2%53.6%8.1%-2.7%30.4K-2.0M-83.1K1.1814.472,0602,42723,61028,124
2017-11-07$12.76$14.0057.5%15.2%33.3%71.7%54.1%4.9%-5.8%1.6K-200.9K-82.1K1.4320.012,5173,60023,87128,617
2017-11-08$12.79$14.0054.9%15.1%30.9%65.1%53.5%6.9%-2.9%-45.1K398.0K-81.7K1.6517.091,9913,28924,27930,153
2017-11-09$13.39$13.0057.5%16.0%34.9%71.6%56.0%4.3%-2.3%74.7K-5.0M-86.8K0.868.713,7413,22424,36430,353
2017-11-10$14.00$13.0056.3%15.5%38.1%68.7%52.0%5.9%-2.8%103.2K-9.4M-85.6K1.0410.472,8122,93823,60930,927
2017-11-13$13.86$14.0059.0%16.7%38.3%75.4%57.6%7.6%-1.9%114.4K-7.6M-85.0K0.3613.978,4523,00723,32029,561
2017-11-14$13.60$14.0060.0%17.0%38.8%77.7%59.1%7.5%-4.0%213.8K-6.1M-85.2K0.9214.063,3953,11325,06229,903
2017-11-15$13.86$14.0060.0%17.2%39.1%77.9%59.9%6.0%-2.8%548.4K-9.9M-87.2K0.6214.854,9163,06928,09230,028
2017-11-16$14.00$14.0057.1%16.5%39.1%70.8%58.5%5.0%-3.6%768.0K-11.7M-87.1K0.9417.053,2993,10028,61530,132
2017-11-17$14.94$14.0057.3%16.8%43.0%71.1%57.2%4.3%-4.7%73.6K-22.1M-86.9K0.7313.805,9514,32928,89830,129
2017-11-20$15.26$14.0056.5%16.7%42.9%69.1%61.2%-14.4%-2.7%109.1K-12.8M-91.1K0.5056.226,8483,44622,51223,557
2017-11-21$14.85$14.0056.1%16.8%44.3%68.2%58.8%4.0%-5.0%574.1K-11.6M-92.1K0.8017.355,7894,61025,30023,721
2017-11-22$14.68$14.0056.8%17.6%44.5%69.8%60.0%8.0%-2.0%430.1K-9.4M-90.8K0.6816.195,3603,63225,00624,684
2017-11-24$14.83$14.0070.0%17.6%44.5%100.0%60.7%1.0%18.3%56.6K-9.9M-92.1K0.7226.714,7273,39325,93124,858
2017-11-27$15.11$14.0064.1%19.8%43.9%85.6%69.5%7.6%-9.7%68.1K-11.2M-91.7K0.5324.758,7244,60823,27224,865
2017-11-28$15.96$14.0058.4%18.7%42.9%71.9%68.3%5.6%-2.2%303.1K-19.9M-96.2K0.7842.047,5715,94127,21226,444
2017-11-29$16.43$14.0055.7%17.1%42.9%65.2%61.6%6.9%3.2%230.6K-24.6M-100.0K1.2424.894,7945,92429,30326,973
2017-11-30$16.07$15.5052.6%17.9%44.1%57.8%61.7%4.0%4.0%227.7K-21.2M-100.2K0.9216.816,3225,81329,87728,543