AEO Options History — January 2018

In January 2018, AEO traded between $17.33 and $19.18. ATM implied volatility averaged 38.3%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 0.8% (HV 20d: 37.5%). Max pain ranged from $12.00 to $18.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.09.

Notable Days

  • 2018-01-09: Highest Volume — 16,100 contracts
  • 2018-01-09: Largest IV drop — 10.1% change
  • 2018-01-05: Highest IV Rank — 37.2%
  • 2018-01-03: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.20$17.33$19.18$19.18$18.01
Max Pain$13.95$12.00$18.00$18.00$14.00
ATM IV38.3%35.2%44.1%41.8%38.2%
Expected Move11.3%10.4%13.5%13.3%11.4%
HV 20d37.5%34.0%40.9%34.0%36.2%
HV 60d39.8%38.3%41.2%38.3%39.3%
IV Rank23.1%15.6%37.2%31.5%22.9%
IV Percentile43.8%23.4%72.2%60.3%45.2%
Term Structure1.5%-1.7%12.2%-0.4%10.8%
VWIV39.8%35.8%48.6%45.8%45.5%
Skew 25d4.1%2.5%6.3%4.6%5.2%
Skew 10d11.9%-2.9%23.8%20.3%5.8%
Call IV 25d36.9%33.8%43.0%40.4%35.6%
Put IV 25d41.0%36.4%47.1%45.0%40.8%
Bid-Ask Spread %23.5516.5340.8921.5026.93
Gamma HHI0.330.200.450.390.38
Net GEX357.8K-613.7K757.4K756.6K638.6K
Net DEX-27.8M-46.0M-9.2M-46.0M-27.2M
Net VEX-139.6K-159.0K-128.1K-157.3K-128.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.472.261.070.66
Total Volume8,697.7144,99116,1009,9145,950
Total OI72,625.09547,76192,41276,54050,756

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-01-02$19.18$18.0041.8%13.3%34.0%31.5%45.8%4.6%-0.4%756.6K-46.0M-157.3K1.0721.504,7935,12144,39832,142
2018-01-03$18.31$18.0042.6%13.5%37.6%33.6%48.6%3.7%-0.6%551.9K-33.0M-156.1K1.1322.205,8486,62745,43533,753
2018-01-04$18.27$12.0043.1%12.1%37.3%34.8%42.0%4.1%-1.4%426.3K-30.7M-156.6K0.9234.055,9695,51846,56235,748
2018-01-05$18.03$12.0044.1%11.8%37.3%37.2%41.1%4.0%-0.8%511.7K-27.2M-159.0K2.2636.094,54410,26048,79237,640
2018-01-08$17.95$12.0042.5%12.1%37.2%33.2%41.2%2.7%0.1%277.4K-25.9M-157.1K1.5332.964,6067,06548,36139,649
2018-01-09$17.33$13.0038.2%11.0%38.5%22.8%38.5%4.3%0.3%-613.7K-9.2M-140.2K1.7717.085,81310,28749,41842,994
2018-01-10$17.52$13.0036.2%10.6%37.6%17.9%36.8%3.6%0.6%-440.9K-13.5M-144.1K1.1819.773,8744,56149,10941,875
2018-01-11$18.15$13.0036.6%10.4%38.1%19.0%36.5%3.8%-0.6%108.8K-27.0M-147.0K1.5322.383,4535,26948,90842,050
2018-01-12$18.33$14.0035.9%10.5%37.2%17.3%35.8%2.5%0.7%601.6K-31.4M-144.9K1.0623.014,1084,36548,94842,161
2018-01-16$17.45$14.0038.7%11.1%40.6%24.0%37.7%4.3%-1.1%23.2K-16.3M-128.3K2.0219.253,4686,98947,96237,675
2018-01-17$17.74$14.0037.6%10.8%40.9%21.4%36.3%4.4%-0.1%-459.0K-20.0M-132.3K1.2218.473,2783,99648,18438,947
2018-01-18$17.98$14.0036.9%10.6%37.3%19.6%36.3%3.1%-0.3%-423.0K-24.5M-132.4K1.1018.963,4763,83648,31838,940
2018-01-19$18.43$14.0036.6%10.7%38.2%19.1%37.3%4.3%-1.7%600.2K-32.6M-132.4K1.2023.213,5294,23448,47538,714
2018-01-22$18.79$14.0035.2%10.7%37.9%15.6%36.1%2.5%2.7%660.8K-32.8M-129.0K0.4718.393,8971,83932,21815,543
2018-01-23$18.76$14.0035.9%10.9%37.0%17.3%37.6%5.7%-0.3%757.4K-33.3M-130.4K0.8124.272,7582,23333,54315,620
2018-01-24$18.31$14.0036.7%11.2%37.9%19.2%38.5%4.3%0.5%678.4K-29.6M-130.0K0.5019.684,5632,30233,77016,064
2018-01-25$18.33$14.0036.1%10.7%36.5%17.8%40.3%4.5%0.3%681.3K-29.9M-132.8K0.5419.914,2272,28534,46016,327
2018-01-26$18.52$14.0036.1%10.9%36.6%17.7%37.3%4.8%0.1%747.6K-32.0M-133.9K0.6018.964,0582,41834,56416,488
2018-01-29$18.48$14.0037.4%11.4%36.6%20.9%46.6%3.8%12.2%711.9K-31.3M-130.6K0.5840.893,5762,08134,05116,044
2018-01-30$18.40$14.0038.4%11.7%36.4%23.3%41.1%6.3%9.7%716.5K-30.7M-130.0K0.7016.533,2822,29634,34016,181
2018-01-31$18.01$14.0038.2%11.4%36.2%22.9%45.5%5.2%10.8%638.6K-27.2M-128.1K0.6626.933,5782,37234,52216,234