AEO Options History — December 2017

In December 2017, AEO traded between $15.67 and $19.33. ATM implied volatility averaged 44.8%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 3.1% (HV 20d: 41.7%). Max pain ranged from $15.00 to $18.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2017-12-18: Highest Volume — 29,391 contracts
  • 2017-12-07: Largest IV drop — 36.5% change
  • 2017-12-06: Highest IV Rank — 93.1%
  • 2017-12-01: Largest Expected Move — 21.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.73$15.67$19.33$15.67$18.81
Max Pain$16.05$15.00$18.00$16.00$18.00
ATM IV44.8%38.6%67.2%60.3%40.2%
Expected Move12.3%11.1%21.1%21.1%11.6%
HV 20d41.7%36.0%45.7%45.4%36.0%
HV 60d37.9%36.1%39.2%37.3%38.3%
IV Rank38.9%23.9%93.1%76.5%27.6%
IV Percentile65.2%48.4%99.2%98.4%54.8%
Term Structure-0.9%-6.4%6.7%-3.0%0.1%
VWIV43.3%38.2%73.9%73.9%40.1%
Skew 25d3.4%-1.3%9.2%4.3%5.0%
Skew 10d5.2%-36.3%38.3%38.3%9.0%
Call IV 25d43.6%36.5%65.8%57.4%37.9%
Put IV 25d47.0%39.9%75.0%61.6%42.9%
Bid-Ask Spread %17.3610.1139.1239.1216.29
Gamma HHI0.220.110.390.110.39
Net GEX472.2K-13.6K1.0M46.5K718.1K
Net DEX-34.2M-50.0M-16.1M-16.1M-43.9M
Net VEX-118.0K-159.0K-85.8K-107.7K-159.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.201.400.940.87
Total Volume11,057.25,48529,39111,2908,543
Total OI65,36152,24477,62362,30877,623

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$15.67$16.0060.3%21.1%45.4%76.5%73.9%4.3%-3.0%46.5K-16.1M-107.7K0.9439.125,8285,46231,90030,408
2017-12-04$16.30$15.0060.9%15.2%45.1%77.9%52.0%-1.3%1.5%171.2K-20.9M-108.4K1.2417.333,8624,78332,08630,170
2017-12-05$16.14$15.0056.3%14.4%45.7%66.6%50.4%2.4%-6.4%211.0K-20.4M-105.6K0.5415.0210,0425,41333,23530,856
2017-12-06$16.54$15.0067.2%12.4%44.4%93.1%44.2%9.2%-3.2%845.6K-28.9M-104.2K0.9523.966,3836,03438,10932,532
2017-12-07$16.75$15.0042.7%11.7%44.2%33.7%42.2%3.5%0.0%1.0M-33.9M-97.1K0.6713.888,2355,55637,69830,944
2017-12-08$17.22$15.0039.8%11.3%42.9%26.8%39.2%3.5%2.6%271.2K-36.9M-93.4K1.0510.113,7603,94535,50031,307
2017-12-11$17.65$15.0040.9%11.4%41.5%29.4%39.7%4.9%-0.8%282.0K-33.5M-88.5K1.4010.852,2903,19530,72729,236
2017-12-12$17.15$15.0042.8%11.6%43.3%33.9%42.9%2.6%-3.1%290.3K-29.5M-88.4K1.0113.042,9933,02330,66129,454
2017-12-13$17.61$15.0041.8%11.2%42.1%31.5%42.2%3.4%-3.2%263.2K-34.5M-85.8K0.4217.579,2673,85731,02629,791
2017-12-14$17.24$16.0042.7%11.6%43.8%33.7%39.7%3.6%-2.8%-13.6K-23.1M-88.6K0.8414.885,7544,85626,29130,536
2017-12-15$17.41$16.0039.6%11.1%43.8%26.3%38.4%3.5%-1.9%42.0K-24.6M-92.6K0.6611.325,5343,65126,87732,246
2017-12-18$18.27$16.0041.3%11.8%41.4%30.4%40.2%3.9%-2.1%150.1K-27.0M-89.1K0.2018.1524,5774,81424,77727,467
2017-12-19$18.10$17.0041.1%11.7%41.7%30.0%40.0%3.1%-2.2%557.7K-36.1M-147.9K0.8713.975,6694,92638,50427,926
2017-12-20$18.53$17.0038.9%11.2%39.8%24.7%38.7%3.6%0.1%631.7K-40.0M-149.4K0.7918.145,2984,21039,09528,428
2017-12-21$18.95$17.0038.7%11.1%39.0%24.0%38.2%2.5%0.9%715.6K-45.1M-150.5K0.7117.505,7304,08140,02328,532
2017-12-22$18.83$17.0038.6%11.1%39.6%23.9%39.3%3.2%-0.1%793.8K-45.1M-155.0K0.9515.484,8034,54741,73528,965
2017-12-26$19.33$17.0039.8%11.5%39.9%26.8%41.5%1.9%0.8%807.4K-50.0M-149.9K0.8617.354,5443,92841,60728,603
2017-12-27$19.09$17.0042.4%12.2%37.4%33.0%43.2%4.0%6.7%815.5K-47.4M-149.2K0.8825.254,6754,09941,95428,533
2017-12-28$19.05$17.0040.6%11.7%36.9%28.7%40.9%2.1%-1.2%803.1K-46.9M-150.4K1.0118.066,4676,51042,54429,314
2017-12-29$18.81$18.0040.2%11.6%36.0%27.6%40.1%5.0%0.1%718.1K-43.9M-159.0K0.8716.294,5603,98345,22832,395