AEO Options History — July 2020

In July 2020, AEO traded between $9.55 and $11.44. ATM implied volatility averaged 73.3%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 21.3%. IV traded above realized volatility by 10.4% (HV 20d: 62.9%). Max pain ranged from $9.00 to $12.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.34.

Notable Days

  • 2020-07-22: Highest Volume — 73,825 contracts
  • 2020-07-14: Largest IV spike — 22.2% change
  • 2020-07-15: Highest IV Rank — 32.3%
  • 2020-07-13: Largest Expected Move — 23.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.49$9.55$11.44$10.89$10.01
Max Pain$9.27$9.00$12.00$12.00$9.00
ATM IV73.3%60.6%79.5%72.8%72.9%
Expected Move21.3%19.3%23.9%20.3%20.2%
HV 20d62.9%58.4%69.0%64.4%69.0%
HV 60d83.6%75.1%94.9%94.9%76.7%
IV Rank29.3%23.3%32.3%29.1%29.2%
IV Percentile74.7%61.1%84.1%73.8%69.0%
Term Structure3.7%-6.4%29.8%0.0%10.3%
VWIV74.5%69.4%83.0%73.8%70.3%
Skew 25d0.8%-65.1%48.4%-12.5%34.9%
Skew 10d11.7%-106.0%108.2%108.2%57.6%
Call IV 25d81.0%41.1%154.5%92.5%41.1%
Put IV 25d81.8%66.7%163.4%80.0%75.9%
Bid-Ask Spread %41.9824.1260.0660.0624.12
Gamma HHI0.240.180.390.230.18
Net GEX569.5K197.0K1.3M415.9K1.3M
Net DEX-27.9M-61.5M-11.4M-14.5M-53.9M
Net VEX-209.4K-339.3K-130.8K-144.3K-339.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.020.760.750.10
Total Volume11,727.86457873,8258684,807
Total OI126,881.04593,504188,692102,619188,692

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-07-01$10.89$12.0072.8%20.3%64.4%29.1%73.8%-12.5%0.0%415.9K-14.5M-144.3K0.7560.0649537378,00024,619
2020-07-02$11.01$12.0066.3%19.3%63.9%26.0%69.4%-7.3%0.9%422.9K-14.8M-143.3K0.2758.6445412478,11024,745
2020-07-06$11.33$9.0066.1%20.3%58.7%25.9%75.1%-6.3%8.4%510.6K-17.1M-143.9K0.7239.663,5542,54877,05423,906
2020-07-07$10.72$9.0069.5%20.2%61.1%27.5%73.2%8.4%0.2%197.0K-11.4M-130.8K0.7634.2044233477,36423,945
2020-07-08$10.86$9.0072.9%21.1%61.5%29.1%72.7%8.1%-6.4%303.4K-13.1M-135.3K0.0438.5716,19058577,54624,137
2020-07-09$10.34$9.0076.6%22.0%61.1%30.9%78.4%8.5%-4.2%251.4K-14.6M-153.3K0.7653.901,29298489,29624,409
2020-07-10$10.68$9.0072.7%21.1%60.4%29.1%80.2%8.2%0.5%287.0K-17.0M-160.1K0.3848.391,12443089,71325,197
2020-07-13$10.47$9.0060.6%23.9%58.5%23.3%76.5%-34.5%29.8%219.4K-16.2M-155.4K0.0338.3013,95945289,42324,857
2020-07-14$10.48$9.0074.0%23.6%58.4%29.7%83.0%-40.7%10.9%272.4K-21.5M-183.5K0.2543.481,003248101,37025,203
2020-07-15$11.14$9.0079.5%21.7%61.2%32.3%73.6%48.4%21.6%387.1K-25.9M-187.3K0.3349.906,1842,021100,99725,223
2020-07-16$11.44$9.0072.1%21.1%60.4%28.8%71.6%10.6%3.1%390.5K-26.5M-183.9K0.2833.2779522098,69125,278
2020-07-17$10.89$9.0068.9%20.1%60.8%27.2%70.8%9.6%1.9%328.5K-20.8M-176.7K0.3642.7113,1404,67298,63625,363
2020-07-20$9.97$9.0076.5%21.9%65.4%30.9%74.0%10.2%2.1%329.4K-16.4M-178.0K0.1433.8416,8882,28766,85426,650
2020-07-21$10.36$9.0078.0%22.4%66.7%31.6%78.2%6.2%-2.2%510.9K-26.1M-206.9K0.6141.4195558077,91228,302
2020-07-22$10.06$9.0077.4%22.2%66.4%31.3%77.3%8.7%-1.9%517.1K-21.9M-196.1K0.0234.8272,6261,19978,25728,172
2020-07-23$10.15$9.0076.6%22.1%62.8%30.9%73.6%9.0%-2.1%913.6K-43.5M-281.0K0.1059.5022,4372,267115,63829,435
2020-07-24$9.69$9.0076.8%21.5%63.8%31.0%77.1%7.5%4.2%801.1K-38.7M-286.6K0.3529.333,0121,061123,25930,644
2020-07-27$9.55$9.0077.6%20.9%62.6%31.4%73.9%5.7%-3.3%847.4K-36.5M-278.4K0.5632.801,225690124,54828,882
2020-07-28$9.86$9.0073.1%20.1%61.1%29.2%70.6%0.6%0.3%928.3K-42.1M-288.8K0.3030.525,9811,815124,71329,082
2020-07-29$10.65$9.0076.0%20.6%67.5%30.6%72.6%-65.1%9.1%1.1M-61.5M-321.2K0.2644.0030,5427,808129,45930,127
2020-07-30$10.24$9.0075.9%21.5%68.9%30.6%73.2%0.6%-1.2%1.3M-58.7M-332.9K0.1452.088,9681,242144,91932,756
2020-07-31$10.01$9.0072.9%20.2%69.0%29.2%70.3%34.9%10.3%1.3M-53.9M-339.3K0.1024.124,365442153,82234,870