AEO Options History — March 2020

In March 2020, AEO traded between $7.77 and $12.89. ATM implied volatility averaged 109.3%, placing in the 57.3% IV rank vs the trailing year. The 30-day expected move averaged 27.6%. IV traded above realized volatility by 27.8% (HV 20d: 81.5%). Max pain ranged from $10.00 to $14.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.68.

Notable Days

  • 2020-03-18: Highest Volume — 9,347 contracts
  • 2020-03-20: Largest IV spike — 939.3% change
  • 2020-03-06: Highest IV Rank — 100.0%
  • 2020-03-12: Largest Expected Move — 63.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.64$7.77$12.89$12.89$7.89
Max Pain$11.91$10.00$14.00$14.00$10.00
ATM IV109.3%11.7%221.7%66.4%68.2%
Expected Move27.6%2.8%63.6%21.6%22.9%
HV 20d81.5%42.8%116.5%42.8%115.7%
HV 60d55.9%35.8%73.8%35.9%73.4%
IV Rank57.3%0.0%100.0%73.7%26.9%
IV Percentile86.3%0.0%100.0%99.2%93.3%
Term Structure5.9%-134.8%185.3%7.0%-66.5%
VWIV96.8%56.6%173.0%76.0%77.9%
Skew 25d0.5%-167.2%103.2%9.6%68.2%
Skew 10d11.7%-174.9%109.9%49.9%19.0%
Call IV 25d94.9%10.6%198.5%58.4%51.6%
Put IV 25d95.4%1.7%150.9%67.9%119.7%
Bid-Ask Spread %91.6328.46150.3331.12110.21
Gamma HHI0.220.100.370.110.37
Net GEX-44.6K-496.0K86.3K-65.8K43.2K
Net DEX5.7M23.2K10.5M23.2K6.5M
Net VEX-83.8K-106.7K-62.4K-97.9K-62.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.680.294.801.400.98
Total Volume2,756.4555189,3472,096518
Total OI46,257.22739,23652,28339,23645,436

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$12.89$14.0066.4%21.6%42.8%73.7%76.0%9.6%7.0%-65.8K23.2K-97.9K1.4031.128751,22120,98318,253
2020-03-03$12.64$14.0069.8%22.8%42.9%80.6%79.7%10.2%-27.7%-72.7K1.0M-97.8K4.8041.531,4186,81021,53419,342
2020-03-04$12.82$14.0063.5%21.9%43.5%67.6%76.4%9.9%25.2%-135.7K1.7M-106.7K3.2840.721,9636,44122,52923,515
2020-03-05$11.78$13.0075.1%18.6%48.7%91.6%65.2%25.1%10.8%-462.3K10.5M-100.6K2.6728.461,5264,07423,73028,553
2020-03-06$11.90$13.00171.4%18.2%49.3%100.0%56.6%-167.2%-102.8%-496.0K9.7M-102.1K3.5437.761,3244,68224,06927,653
2020-03-09$11.02$13.00139.4%21.1%54.1%77.2%70.5%12.6%-134.8%-78.4K6.9M-93.2K0.5240.942,1581,11822,04622,267
2020-03-10$10.53$13.00182.0%20.4%55.0%100.0%69.9%14.6%-109.3%-52.3K7.6M-91.8K2.2442.331,0272,30223,92022,121
2020-03-11$9.64$13.0033.8%22.3%59.0%2.1%78.7%7.2%-119.1%-25.6K9.0M-83.2K1.7444.5333758624,54522,629
2020-03-12$8.86$13.00221.7%63.6%60.1%100.0%90.5%-116.6%13.8%6.1K5.1M-87.9K2.36131.3437187524,91722,300
2020-03-13$9.68$13.00118.8%51.5%72.6%46.2%173.0%34.1%29.8%-8.8K6.8M-89.6K0.34125.7167323024,95922,252
2020-03-16$8.53$13.0099.3%28.5%80.9%35.9%108.1%-37.3%0.3%-5.5K8.3M-71.2K2.93116.3933598323,74921,066
2020-03-17$8.69$13.00104.2%27.6%82.5%38.5%106.8%17.7%7.8%-1.1K7.6M-73.0K2.0093.415961,19123,96620,558
2020-03-18$7.77$13.00182.3%52.3%88.1%79.4%133.6%-4.3%-115.6%-1.0K7.1M-66.7K0.64105.235,7103,63724,43120,761
2020-03-19$9.03$10.0011.7%2.8%105.9%0.0%113.5%74.1%84.1%57.0K4.0M-90.1K0.63136.2399762429,11621,748
2020-03-20$8.80$10.00121.2%15.2%105.3%52.1%111.6%-68.5%185.3%35.6K4.2M-86.7K0.29123.8999129129,14721,843
2020-03-23$7.84$10.00126.7%36.3%109.8%54.8%128.1%-40.6%173.5%31.9K4.9M-70.0K2.10103.1938380625,80219,047
2020-03-24$8.24$10.00114.2%34.7%113.1%48.8%113.2%103.2%-7.7%36.4K4.2M-74.9K1.57117.7829446226,14119,475
2020-03-25$8.68$10.00157.1%27.8%116.2%69.2%108.8%24.1%15.7%47.6K3.7M-81.9K0.44130.9738317026,37619,483
2020-03-26$8.57$10.00152.8%29.4%116.0%67.2%107.0%-20.2%161.2%86.3K4.0M-77.7K0.61128.0932620026,53519,560
2020-03-27$8.16$10.0038.0%26.6%116.5%12.5%104.8%38.0%93.6%43.0K5.4M-71.7K1.32135.6250566626,58819,618
2020-03-30$8.09$10.0088.1%21.8%115.7%36.4%79.0%16.4%0.0%36.0K6.2M-66.6K0.48150.3338018325,75519,341
2020-03-31$7.89$10.0068.2%22.9%115.7%26.9%77.9%68.2%-66.5%43.2K6.5M-62.4K0.98110.2126125726,04319,393