AEO Options History — September 2018

In September 2018, AEO traded between $23.43 and $26.53. ATM implied volatility averaged 35.9%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 12.4% (HV 20d: 48.3%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.31.

Notable Days

  • 2018-09-17: Highest Volume — 7,684 contracts
  • 2018-09-17: Largest IV spike — 8.6% change
  • 2018-09-17: Highest IV Rank — 19.4%
  • 2018-09-17: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.53$23.43$26.53$26.53$24.82
Max Pain$25.63$25.00$26.00$25.00$25.00
ATM IV35.9%34.2%37.6%35.7%34.4%
Expected Move10.2%9.7%10.8%10.4%9.7%
HV 20d48.3%38.6%52.6%49.6%38.6%
HV 60d41.3%40.1%42.3%40.8%40.1%
IV Rank15.1%10.9%19.4%14.6%11.4%
IV Percentile25.3%9.1%41.7%23.0%11.5%
Term Structure-0.1%-1.3%1.4%-0.0%1.1%
VWIV36.0%34.8%38.3%35.9%34.9%
Skew 25d3.3%1.8%4.8%3.3%3.8%
Skew 10d7.2%4.0%19.2%8.6%4.0%
Call IV 25d34.6%32.9%35.8%34.1%32.9%
Put IV 25d37.9%35.7%39.4%37.5%36.7%
Bid-Ask Spread %14.7610.1118.4215.2815.13
Gamma HHI0.180.120.230.120.18
Net GEX758.9K435.7K1.0M908.8K1.0M
Net DEX-21.0M-41.9M-7.0M-41.9M-30.4M
Net VEX-156.9K-167.4K-146.2K-166.3K-146.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.822.580.821.69
Total Volume5,299.2113,4827,6845,6483,924
Total OI63,790.68453,50370,40167,39055,885

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-09-04$26.53$25.0035.7%10.4%49.6%14.6%35.9%3.3%-0.0%908.8K-41.9M-166.3K0.8215.283,0972,55139,53127,859
2018-09-05$26.12$25.0036.9%10.2%49.8%17.6%35.5%3.3%-0.6%885.0K-36.9M-167.4K1.0211.112,6202,66539,97627,921
2018-09-06$24.86$26.0036.4%10.4%52.6%16.3%35.3%3.3%-1.0%753.2K-19.2M-165.9K0.9018.424,0383,64440,38128,253
2018-09-07$24.54$26.0035.9%10.3%52.5%15.2%35.0%3.8%1.4%557.4K-15.8M-165.3K0.8814.523,2282,84141,95928,442
2018-09-10$25.19$26.0036.1%10.4%52.4%15.5%37.8%2.7%0.1%795.7K-26.4M-166.1K1.1512.562,2602,59837,82826,770
2018-09-11$24.96$26.0036.7%10.5%52.4%17.2%35.7%3.0%-0.3%655.6K-22.6M-162.0K1.2816.042,0592,63737,96826,933
2018-09-12$24.84$26.0036.6%10.5%51.1%16.7%35.6%3.7%-0.3%649.0K-20.4M-163.3K1.2717.741,8462,34238,00327,560
2018-09-13$24.74$26.0036.1%10.2%48.6%15.7%35.2%3.7%-1.1%661.1K-19.9M-159.9K1.8317.561,7303,15938,04027,457
2018-09-14$24.72$26.0034.6%9.9%48.4%12.0%35.2%3.3%-0.8%752.1K-18.2M-158.7K1.8710.111,7903,35138,21527,779
2018-09-17$23.47$26.0037.6%10.8%49.2%19.4%37.0%3.5%-0.4%435.7K-7.0M-150.3K0.8313.654,2013,48337,46827,031
2018-09-18$23.43$26.0037.4%10.8%46.9%18.9%37.8%2.8%-1.3%571.1K-8.9M-155.6K1.0415.642,9123,01839,93727,514
2018-09-19$23.73$26.0036.2%10.4%47.4%15.8%38.3%4.2%0.1%677.9K-12.6M-156.4K0.9214.133,2863,00840,67627,716
2018-09-20$23.83$26.0035.0%10.0%47.6%12.9%36.6%3.0%0.6%646.1K-12.5M-154.3K1.0615.032,7592,93340,36227,724
2018-09-21$23.78$26.0035.5%10.2%47.6%14.0%35.2%4.8%-0.6%745.0K-12.4M-150.0K1.0316.222,8742,95440,52027,663
2018-09-24$23.55$25.0036.7%10.5%47.6%17.1%35.9%4.1%0.6%867.3K-17.4M-148.4K1.6513.471,4282,36329,31724,186
2018-09-25$23.79$25.0035.6%10.0%46.1%14.3%35.8%2.4%-0.3%940.1K-19.8M-146.2K2.5815.401,3813,56729,55724,208
2018-09-26$24.52$25.0034.2%9.9%47.6%10.9%34.8%1.8%0.6%939.5K-27.8M-149.9K1.5317.401,8412,81529,83025,781
2018-09-27$24.65$25.0034.3%9.8%41.0%11.0%35.5%2.8%-0.3%959.3K-28.3M-148.1K1.4811.111,4052,07729,73626,037
2018-09-28$24.82$25.0034.4%9.7%38.6%11.4%34.9%3.8%1.1%1.0M-30.4M-146.9K1.6915.131,4582,46629,73826,147