AEO Options History — May 2020

In May 2020, AEO traded between $7.26 and $10.35. ATM implied volatility averaged 80.0%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 23.3%. IV traded below realized volatility by 19.5% (HV 20d: 99.5%). Max pain ranged from $6.00 to $8.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.46.

Notable Days

  • 2020-05-18: Highest Volume — 33,256 contracts
  • 2020-05-29: Largest IV spike — 25.9% change
  • 2020-05-29: Highest IV Rank — 43.8%
  • 2020-05-29: Largest Expected Move — 26.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.33$7.26$10.35$7.65$9.11
Max Pain$6.90$6.00$8.00$7.00$8.00
ATM IV80.0%70.4%103.7%78.9%103.7%
Expected Move23.3%21.0%26.0%25.2%26.0%
HV 20d99.5%67.3%137.4%137.2%76.5%
HV 60d111.4%109.2%115.9%109.2%115.9%
IV Rank32.5%28.0%43.8%32.0%43.8%
IV Percentile89.7%85.3%94.0%90.5%94.0%
Term Structure-1.9%-40.5%47.8%-0.4%47.8%
VWIV81.9%74.8%88.5%85.7%88.5%
Skew 25d8.0%-38.9%50.5%-38.9%-2.3%
Skew 10d17.1%-45.0%65.0%22.7%-45.0%
Call IV 25d78.9%34.2%119.3%119.3%87.2%
Put IV 25d86.9%77.0%96.9%80.4%84.9%
Bid-Ask Spread %41.7726.4367.0827.3557.09
Gamma HHI0.330.150.720.210.35
Net GEX411.5K141.0K1.2M201.6K457.5K
Net DEX-14.4M-41.1M629.2K-2.3M-26.8M
Net VEX-110.3K-141.2K-81.8K-90.5K-133.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.011.901.390.20
Total Volume5,820.851,39133,2564,3133,928
Total OI79,547.9558,94090,90975,41690,909

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$7.65$7.0078.9%25.2%137.2%32.0%85.7%-38.9%-0.4%201.6K-2.3M-90.5K1.3927.351,8042,50947,20028,216
2020-05-04$7.51$6.0080.7%22.6%137.4%32.9%80.6%9.5%-2.5%224.4K-683.6K-85.4K0.7026.431,22486146,43426,923
2020-05-05$7.26$6.0070.4%23.6%119.9%28.0%80.4%32.2%-0.3%230.8K629.2K-81.8K0.2533.841,37134647,01827,457
2020-05-06$7.39$6.0079.3%23.0%112.2%32.2%79.0%-11.5%-4.4%239.3K-1.6M-84.7K0.3026.661,52645347,52925,540
2020-05-07$7.56$6.0078.1%21.4%111.8%31.6%75.0%0.9%-5.4%264.5K-3.3M-87.4K0.0628.945,23432648,34125,160
2020-05-08$8.09$6.0073.5%21.1%114.1%29.4%74.8%-2.0%5.1%345.8K-9.8M-99.9K1.9042.261,6623,16151,31125,049
2020-05-11$7.97$7.0074.9%21.4%111.3%30.1%83.0%31.5%3.2%322.3K-8.3M-98.7K0.0533.582,72514350,62724,995
2020-05-12$7.71$7.0073.2%21.0%108.8%29.3%77.3%4.3%-0.4%342.4K-7.0M-96.4K0.7532.903,3662,51952,89924,967
2020-05-13$7.54$7.0075.5%21.5%104.0%30.4%75.4%50.5%2.2%250.0K-5.4M-98.8K1.9031.118181,55554,31527,165
2020-05-14$7.53$7.0076.5%21.4%103.6%30.9%80.8%3.1%5.5%228.3K-3.7M-93.6K0.2133.441,15423754,25628,391
2020-05-15$7.98$7.0075.5%21.8%103.5%30.4%80.0%9.9%1.6%141.0K-9.8M-101.8K0.2629.156,0461,59155,75728,367
2020-05-18$8.72$7.0077.4%24.9%104.1%31.3%85.8%5.7%-40.5%192.5K-13.0M-111.7K0.0159.1732,85540139,15219,788
2020-05-19$8.72$7.0082.6%23.6%103.8%33.8%81.7%8.5%-5.7%545.4K-22.6M-132.4K0.2353.962,57758962,18520,033
2020-05-20$8.47$7.0085.2%24.4%74.2%35.0%83.4%11.6%-9.4%579.9K-19.4M-126.3K0.2067.081,95738962,53720,489
2020-05-21$8.98$7.0082.2%23.8%76.0%33.5%83.5%9.7%-2.1%634.7K-25.2M-134.7K0.0559.576,68232662,48020,621
2020-05-22$8.95$7.0082.7%23.9%75.5%33.8%82.1%8.8%-3.1%1.2M-25.0M-133.0K0.2133.651,27027266,42720,928
2020-05-26$9.53$7.0083.3%25.1%67.3%34.1%86.7%15.6%-23.6%600.9K-31.9M-135.9K0.1858.087,7541,36462,20320,527
2020-05-27$10.35$8.0083.9%24.3%71.3%34.4%87.8%-2.4%1.4%547.4K-41.1M-141.2K0.0549.4110,96856964,49721,709
2020-05-28$9.55$8.0082.3%25.0%77.8%33.6%86.7%15.5%-7.7%665.8K-31.7M-138.5K0.2051.653,23964666,37122,186
2020-05-29$9.11$8.00103.7%26.0%76.5%43.8%88.5%-2.3%47.8%457.5K-26.8M-133.2K0.2057.093,28764168,22222,687