AEO Options History — September 2019

In September 2019, AEO traded between $14.34 and $17.97. ATM implied volatility averaged 45.2%, placing in the 40.8% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 31.7% (HV 20d: 76.9%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.44.

Notable Days

  • 2019-09-04: Highest Volume — 29,989 contracts
  • 2019-09-04: Largest IV drop — 31.3% change
  • 2019-09-03: Highest IV Rank — 93.0%
  • 2019-09-03: Largest Expected Move — 21.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.53$14.34$17.97$16.21$16.30
Max Pain$15.85$15.00$16.00$16.00$16.00
ATM IV45.2%42.5%63.8%63.8%43.4%
Expected Move13.0%12.0%21.4%21.4%12.6%
HV 20d76.9%56.9%85.6%56.9%73.9%
HV 60d56.9%45.0%58.8%45.0%58.0%
IV Rank40.8%33.4%93.0%93.0%35.8%
IV Percentile50.4%40.5%98.8%98.8%41.7%
Term Structure-0.6%-3.7%2.7%-1.6%-1.7%
VWIV45.2%41.7%73.5%73.5%41.7%
Skew 25d4.4%2.1%6.1%5.6%2.1%
Skew 10d11.7%0.7%28.6%14.8%7.6%
Call IV 25d42.9%39.3%60.0%60.0%42.0%
Put IV 25d47.3%44.0%65.5%65.5%44.0%
Bid-Ask Spread %16.0011.7522.3517.3711.75
Gamma HHI0.220.130.430.200.20
Net GEX714.7K-334.1K1.6M631.3K381.9K
Net DEX-21.0M-47.3M10.3M-13.6M-13.9M
Net VEX-118.5K-135.5K-85.5K-109.4K-117.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.071.570.720.39
Total Volume7,247.2565729,98920,4252,653
Total OI55,595.0538,10274,49746,55141,713

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$16.21$16.0063.8%21.4%56.9%93.0%73.5%5.6%-1.6%631.3K-13.6M-109.4K0.7217.3711,8938,53233,44113,110
2019-09-04$14.34$16.0043.8%13.3%71.0%37.1%44.7%3.1%0.8%-334.1K10.3M-85.5K0.7812.5016,82413,16542,97321,072
2019-09-05$16.27$15.0042.9%12.2%85.1%34.4%44.0%5.5%2.7%1.3M-23.5M-122.5K0.6513.3311,0657,20851,48519,850
2019-09-06$16.13$15.0043.9%12.5%84.9%37.2%42.0%4.6%1.3%408.5K-17.1M-125.1K0.3713.555,6392,11351,15523,342
2019-09-09$16.98$15.0044.1%12.2%85.6%37.9%43.5%4.6%-1.8%465.7K-25.3M-126.6K0.5114.642,7851,41636,11418,221
2019-09-10$17.23$16.0050.2%13.6%84.6%54.9%45.1%6.1%-2.6%510.1K-28.5M-125.9K0.0722.3525,3201,71436,28618,886
2019-09-11$17.53$16.0046.2%12.3%83.0%43.7%43.5%4.5%-3.7%1.4M-43.6M-135.5K0.1419.997,5631,06047,01719,741
2019-09-12$17.63$16.0044.5%12.1%76.1%38.8%42.3%4.3%-2.1%1.6M-44.0M-130.5K0.1220.295,33963446,01720,310
2019-09-13$17.97$16.0042.5%12.0%75.7%33.4%42.2%5.5%-0.6%1.5M-47.3M-128.5K0.1421.873,98657144,65720,372
2019-09-16$16.99$16.0044.8%12.6%78.3%39.8%44.4%3.9%-1.6%1.4M-29.5M-124.6K0.3520.111,46350542,34116,142
2019-09-17$16.54$16.0043.7%12.4%78.1%36.6%44.6%5.6%-0.2%1.2M-22.3M-120.7K1.0513.1486591143,06016,588
2019-09-18$16.69$16.0043.4%12.4%78.1%35.8%44.1%3.9%-0.7%1.4M-23.8M-119.3K0.3411.981,21141043,82516,964
2019-09-19$16.60$16.0043.1%12.3%77.9%35.1%43.5%3.3%0.9%1.3M-21.8M-116.9K0.2916.4389126044,23116,809
2019-09-20$16.28$16.0043.8%12.6%76.8%37.0%44.5%4.7%-1.4%282.3K-17.7M-113.8K0.3614.5188532344,85116,755
2019-09-23$16.29$16.0043.4%12.4%75.0%35.9%42.7%2.8%-0.8%278.5K-11.7M-111.0K0.2115.5390819326,94711,155
2019-09-24$16.19$16.0044.2%13.0%75.0%38.0%43.1%3.8%0.6%214.5K-11.2M-111.6K1.5712.2041765627,66711,850
2019-09-25$16.38$16.0043.6%12.5%75.1%36.4%43.3%5.0%0.6%229.2K-12.5M-112.5K0.0718.292,59417127,95112,307
2019-09-26$16.13$16.0043.0%13.0%73.5%34.8%46.1%6.0%0.5%246.7K-12.1M-114.5K0.5515.461,38875730,13612,329
2019-09-27$15.99$16.0045.3%12.6%73.5%41.1%44.3%3.9%0.0%-164.6K-11.5M-117.4K0.1714.775639431,23612,995
2019-09-30$16.30$16.0043.4%12.6%73.9%35.8%41.7%2.1%-1.7%381.9K-13.9M-117.5K0.3911.751,91274130,18711,526