AEO Options History — June 2020

In June 2020, AEO traded between $9.86 and $13.07. ATM implied volatility averaged 87.8%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 21.3%. IV traded below realized volatility by 1.6% (HV 20d: 89.4%). Max pain ranged from $8.00 to $12.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.70.

Notable Days

  • 2020-06-02: Highest Volume — 27,027 contracts
  • 2020-06-02: Largest IV spike — 124.5% change
  • 2020-06-02: Highest IV Rank — 79.5%
  • 2020-06-01: Largest Expected Move — 28.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.71$9.86$13.07$9.86$10.89
Max Pain$11.11$8.00$12.00$8.00$12.00
ATM IV87.8%65.5%178.7%79.6%74.5%
Expected Move21.3%19.1%28.1%28.1%21.3%
HV 20d89.4%78.5%94.4%78.7%83.8%
HV 60d109.6%101.9%119.2%116.0%102.0%
IV Rank36.3%25.6%79.5%32.3%29.9%
IV Percentile83.0%71.8%98.4%87.7%77.4%
Term Structure1.1%-139.3%104.7%2.2%26.1%
VWIV74.6%66.7%99.1%99.1%76.2%
Skew 25d-9.1%-122.1%71.1%71.1%28.2%
Skew 10d29.4%-22.4%63.0%63.0%51.3%
Call IV 25d90.9%60.8%200.9%69.1%70.3%
Put IV 25d81.7%65.3%140.2%140.2%98.5%
Bid-Ask Spread %49.4233.9263.9657.3042.88
Gamma HHI0.170.120.280.280.24
Net GEX363.4K154.5K669.0K503.3K453.4K
Net DEX-41.4M-78.8M-14.6M-30.7M-15.0M
Net VEX-145.6K-162.8K-137.7K-137.7K-146.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.072.610.390.64
Total Volume5,354.13655827,0278,298558
Total OI92,024.95561,207110,69983,577102,308

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$9.86$8.0079.6%28.1%78.7%32.3%99.1%71.1%2.2%503.3K-30.7M-137.7K0.3957.305,9852,31361,23722,340
2020-06-02$10.28$8.00178.7%27.5%78.5%79.5%97.4%3.2%-94.5%591.1K-36.9M-143.9K0.5451.0517,5739,45465,22024,329
2020-06-03$11.90$8.5088.1%21.1%88.8%36.4%80.0%3.0%-35.8%566.2K-66.6M-148.3K0.3638.8312,4224,44975,62533,413
2020-06-04$12.17$11.0069.6%19.9%88.7%27.6%70.4%-122.1%-8.2%470.6K-68.0M-144.9K1.3034.673,8104,94175,02735,132
2020-06-05$13.07$11.00143.3%19.1%90.2%62.6%66.7%12.0%-139.3%222.9K-78.8M-145.7K0.3461.413,8521,30474,84335,856
2020-06-08$12.95$11.0073.9%19.5%89.8%29.6%69.3%-115.2%-10.4%227.1K-55.6M-144.1K0.7363.781,4051,02358,72826,533
2020-06-09$12.72$11.00105.8%19.6%90.0%44.8%68.5%-65.0%-12.1%231.1K-54.0M-144.8K0.3263.961,49548259,33727,230
2020-06-10$12.05$11.0065.5%19.7%92.0%25.6%68.7%7.3%0.8%228.2K-49.1M-142.3K0.8056.7475860460,40227,520
2020-06-11$11.45$11.0073.3%21.7%94.4%29.3%72.7%9.3%5.9%314.3K-40.8M-143.0K0.6160.173,4682,12960,83027,708
2020-06-12$11.90$11.00102.8%20.9%94.2%43.4%77.2%14.1%-2.3%341.9K-49.2M-143.7K0.1143.421,61817463,53127,659
2020-06-15$11.97$11.0073.9%20.8%93.4%29.6%72.2%10.1%72.7%347.6K-49.5M-142.3K0.6652.841,26483761,95624,382
2020-06-16$12.44$12.0075.8%21.9%90.2%30.5%73.2%10.5%21.2%336.3K-53.8M-144.6K0.3260.605,7791,82162,28924,856
2020-06-17$11.90$12.0073.2%21.0%92.7%29.3%75.6%9.0%-3.9%290.3K-47.6M-145.0K0.8233.9254444462,26626,234
2020-06-18$12.34$12.0073.3%20.2%91.4%29.3%68.6%9.4%25.2%307.0K-51.8M-145.8K0.5746.371,26571962,47726,580
2020-06-19$11.68$12.0087.0%20.4%93.8%35.9%70.5%7.6%59.5%160.7K-45.6M-141.6K0.9848.431,6281,59263,20127,226
2020-06-22$11.93$12.0066.2%20.4%93.6%25.9%70.5%6.4%3.9%154.5K-20.6M-142.5K0.2341.9578918039,21821,989
2020-06-23$12.16$12.0072.2%19.6%91.9%28.8%68.8%-10.5%-0.7%196.0K-22.5M-142.9K0.8442.363,2482,72439,54922,118
2020-06-24$11.35$12.0071.7%21.3%92.2%28.6%71.2%-21.6%4.4%669.0K-23.5M-162.8K0.0745.656,92448179,97722,592
2020-06-25$11.01$12.0081.0%21.3%87.7%33.0%76.0%-26.9%104.7%519.7K-19.4M-154.2K2.0141.9743988182,11922,807
2020-06-26$10.57$12.00131.9%21.3%87.2%57.2%73.0%-52.7%-0.4%353.9K-14.6M-143.5K2.6151.159532,48382,20723,274
2020-06-29$11.09$12.0071.0%21.9%84.5%28.3%75.7%12.1%4.8%510.0K-17.7M-153.6K0.1247.882,66931078,08124,343
2020-06-30$10.89$12.0074.5%21.3%83.8%29.9%76.2%28.2%26.1%453.4K-15.0M-146.8K0.6442.8834021877,88124,427