AEO Options History — March 2018

In March 2018, AEO traded between $18.64 and $20.61. ATM implied volatility averaged 40.3%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 6.1% (HV 20d: 46.4%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2018-03-06: Highest Volume — 13,108 contracts
  • 2018-03-08: Largest IV drop — 31.4% change
  • 2018-03-06: Highest IV Rank — 68.4%
  • 2018-03-02: Largest Expected Move — 19.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.75$18.64$20.61$19.24$19.95
Max Pain$18.90$18.00$19.00$18.00$19.00
ATM IV40.3%32.5%57.0%52.7%35.2%
Expected Move11.4%9.2%19.7%18.9%10.0%
HV 20d46.4%30.5%52.1%30.5%49.6%
HV 60d38.6%34.2%41.5%34.2%39.2%
IV Rank28.0%9.1%68.4%58.0%15.6%
IV Percentile38.4%6.3%90.1%82.5%17.5%
Term Structure-1.1%-5.3%1.1%1.1%-1.6%
VWIV40.4%32.4%63.2%63.2%36.1%
Skew 25d2.9%-31.8%9.4%5.7%4.5%
Skew 10d10.4%-2.3%36.7%14.4%11.0%
Call IV 25d40.0%31.3%92.9%49.2%32.6%
Put IV 25d43.0%35.4%61.8%54.8%37.1%
Bid-Ask Spread %20.0610.2533.8224.6515.76
Gamma HHI0.360.240.430.270.39
Net GEX884.5K65.1K1.2M603.0K935.5K
Net DEX-31.8M-43.7M-11.8M-28.3M-33.5M
Net VEX-183.4K-195.6K-172.0K-179.6K-172.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.172.640.490.75
Total Volume5,667.6672,23213,10810,6532,718
Total OI68,373.47660,90684,12364,40463,075

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$19.24$18.0052.7%18.9%30.5%58.0%63.2%5.7%1.1%603.0K-28.3M-179.6K0.4924.657,1573,49642,24622,158
2018-03-02$20.29$18.0056.7%19.7%35.2%67.6%63.2%7.2%-1.7%988.0K-41.5M-184.0K0.4426.237,3923,27242,66621,935
2018-03-05$19.92$19.0055.2%14.6%34.1%64.0%50.5%9.4%-1.6%978.0K-37.0M-179.5K0.1729.537,9271,32142,92920,470
2018-03-06$20.45$19.0057.0%14.0%33.4%68.4%53.3%4.1%-5.3%1.2M-43.7M-179.2K2.6433.633,5989,51043,81320,599
2018-03-07$20.61$19.0056.6%13.8%33.4%67.4%49.3%-31.8%-3.1%1.0M-43.3M-195.6K0.6333.825,4613,41846,04228,428
2018-03-08$18.64$19.0038.8%10.5%50.4%24.3%38.4%3.7%0.1%65.1K-11.8M-178.4K0.6910.256,6424,56448,45530,602
2018-03-09$19.53$19.0036.0%9.7%52.1%17.6%36.0%4.7%0.5%902.3K-29.7M-193.6K0.8319.774,5433,76751,68432,439
2018-03-12$19.65$19.0036.5%9.8%52.1%18.7%34.3%4.3%-3.0%1.1M-32.2M-191.1K1.1518.241,8952,18443,51731,204
2018-03-13$19.48$19.0037.5%9.9%51.7%21.2%34.9%2.3%-3.0%1.1M-29.7M-188.5K1.3824.211,4772,03543,80031,324
2018-03-14$19.61$19.0035.0%9.4%51.6%15.1%35.1%4.4%-2.1%1.2M-31.3M-188.2K1.1015.311,6921,86744,02831,610
2018-03-15$19.59$19.0034.1%9.2%50.4%12.9%33.5%4.5%-2.7%1.2M-31.0M-185.9K1.1716.141,4641,71744,13231,762
2018-03-16$19.55$19.0032.5%9.2%50.4%9.1%32.4%4.0%-0.5%674.5K-30.7M-181.7K0.6314.662,5801,62244,27531,815
2018-03-19$19.61$19.0034.8%9.7%50.2%14.5%32.8%4.5%0.6%700.2K-27.5M-183.1K0.4420.583,4191,51436,49724,409
2018-03-20$19.88$19.0033.2%9.5%50.2%10.7%33.9%3.9%0.9%831.7K-32.0M-184.2K0.4812.092,7941,35137,58424,673
2018-03-21$20.10$19.0033.7%9.6%49.6%11.8%34.8%3.2%-0.8%999.8K-36.1M-185.4K0.6515.272,0491,33038,01224,714
2018-03-22$19.62$19.0035.7%10.2%50.6%16.8%36.4%4.8%0.5%842.5K-28.5M-184.5K0.7820.771,7601,38038,35524,973
2018-03-23$19.70$19.0036.9%10.7%50.3%19.7%37.3%3.2%-1.6%785.7K-29.3M-188.3K1.0124.361,3851,40138,54525,079
2018-03-26$20.06$19.0035.0%10.2%49.5%15.2%36.8%4.4%0.8%946.0K-34.5M-177.3K1.0213.131,3131,33637,82824,540
2018-03-27$19.52$19.0036.4%10.7%49.3%18.6%38.0%6.2%-0.6%773.5K-27.0M-176.5K1.1118.711,1561,28238,06524,583
2018-03-28$19.66$19.0037.3%10.9%49.4%20.7%38.8%4.4%-0.8%853.4K-29.5M-175.9K1.0814.201,0751,15738,26424,714
2018-03-29$19.95$19.0035.2%10.0%49.6%15.6%36.1%4.5%-1.6%935.5K-33.5M-172.0K0.7515.761,5571,16138,33724,738