AEO Options History — August 2020

In August 2020, AEO traded between $10.22 and $12.72. ATM implied volatility averaged 81.3%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 22.5%. IV traded above realized volatility by 19.6% (HV 20d: 61.7%). Max pain ranged from $9.00 to $11.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2020-08-21: Highest Volume — 37,258 contracts
  • 2020-08-11: Largest IV spike — 99.3% change
  • 2020-08-11: Highest IV Rank — 67.0%
  • 2020-08-27: Largest Expected Move — 24.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.41$10.22$12.72$10.22$12.72
Max Pain$10.71$9.00$11.00$9.00$11.00
ATM IV81.3%71.4%152.5%71.7%76.8%
Expected Move22.5%18.9%24.6%19.4%24.3%
HV 20d61.7%51.6%69.7%68.6%51.9%
HV 60d72.0%60.5%76.7%76.7%60.5%
IV Rank33.1%28.4%67.0%28.6%31.0%
IV Percentile76.9%58.7%96.4%66.7%74.6%
Term Structure3.6%-10.7%137.8%-10.2%4.5%
VWIV78.1%67.3%85.0%68.1%85.0%
Skew 25d1.4%-119.9%51.3%-32.0%18.3%
Skew 10d15.1%-106.6%162.8%22.4%1.7%
Call IV 25d82.4%32.5%202.4%72.4%68.3%
Put IV 25d83.8%40.4%168.9%40.4%86.6%
Bid-Ask Spread %37.5517.6967.6351.7425.36
Gamma HHI0.170.140.200.200.14
Net GEX1.8M1.1M2.3M1.5M2.3M
Net DEX-94.1M-135.2M-59.3M-59.3M-135.2M
Net VEX-383.2K-419.9K-341.6K-341.6K-408.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.021.300.450.18
Total Volume11,210.90597837,2585,0794,065
Total OI211,543185,157233,480185,157227,014

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-08-03$10.22$9.0071.7%19.4%68.6%28.6%68.1%-32.0%-10.2%1.5M-59.3M-341.6K0.4551.743,4921,587150,91734,240
2020-08-04$10.86$9.0073.1%18.9%69.7%29.2%67.3%8.4%-6.0%1.5M-74.9M-357.5K0.9845.733,4753,398152,17035,395
2020-08-05$10.94$9.0078.8%19.9%69.6%32.0%72.5%1.4%-2.3%1.6M-78.9M-367.1K0.0367.6313,254336153,67637,572
2020-08-06$10.62$11.00100.8%21.9%68.0%42.4%76.0%-8.1%137.8%1.7M-73.6M-365.6K0.1252.26871107159,51437,597
2020-08-07$10.91$11.0071.5%21.5%67.7%28.5%75.1%11.7%-3.3%1.5M-81.4M-366.6K0.2555.812,624655159,57737,610
2020-08-10$11.15$11.0076.5%22.8%67.7%30.9%79.6%51.3%5.7%1.6M-85.6M-368.7K0.1645.564,170660156,19535,232
2020-08-11$11.56$11.00152.5%23.2%68.6%67.0%78.5%-20.6%-2.1%1.8M-97.8M-377.1K0.0250.9228,171655158,70635,617
2020-08-12$12.23$11.0076.4%22.1%68.2%30.8%76.3%48.9%2.1%2.2M-125.6M-399.8K0.1846.8419,0373,413174,86535,961
2020-08-13$11.82$11.0079.4%22.8%69.0%32.2%78.0%-119.9%-0.4%2.1M-111.1M-382.4K0.9431.7115,26914,311170,71235,540
2020-08-14$11.68$11.0077.5%22.5%66.5%31.3%78.9%3.8%1.6%1.7M-107.9M-419.9K1.3036.952,2432,923183,22249,165
2020-08-17$11.94$11.0079.8%22.8%57.2%32.4%80.0%5.7%-7.7%1.9M-112.0M-408.3K0.5339.552,1861,158178,29047,346
2020-08-18$11.47$11.0079.0%22.7%58.7%32.0%79.0%10.8%-7.7%1.8M-96.8M-399.8K0.5135.257,3723,763178,86247,355
2020-08-19$11.41$11.0080.0%22.9%57.4%32.5%77.7%8.9%-7.1%1.7M-92.7M-378.7K0.2548.641,138285174,28445,271
2020-08-20$11.19$11.0080.2%22.9%58.1%32.6%77.1%5.5%-6.7%1.1M-85.7M-369.3K0.7422.151,7861,314175,34345,379
2020-08-21$10.78$11.0075.0%22.6%57.1%30.2%78.9%3.6%-10.7%1.5M-70.5M-354.9K0.4022.7526,67610,582176,45545,406
2020-08-24$11.19$11.0077.1%23.8%57.7%31.1%82.2%9.6%-3.3%1.8M-82.4M-387.5K0.0720.3913,738947174,00639,668
2020-08-25$11.07$11.0075.9%23.5%57.3%30.6%79.9%5.8%-1.2%1.8M-78.8M-380.8K0.9821.864,5954,497174,30140,264
2020-08-26$11.39$11.0075.5%24.4%51.6%30.4%84.6%-5.7%-0.6%1.7M-88.4M-392.9K0.4527.939,6684,375174,28844,309
2020-08-27$12.09$11.0077.8%24.6%52.7%31.5%83.3%12.6%-8.5%1.9M-111.9M-408.6K0.0721.807,702559179,43748,162
2020-08-28$12.34$11.0071.4%23.8%51.6%28.4%81.8%9.6%1.1%2.3M-124.5M-412.4K0.4417.695,8162,556185,12548,355
2020-08-31$12.72$11.0076.8%24.3%51.9%31.0%85.0%18.3%4.5%2.3M-135.2M-408.3K0.1825.363,455610183,20243,812