AEO Options History — September 2020

In September 2020, AEO traded between $12.56 and $15.39. ATM implied volatility averaged 67.4%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 19.2%. IV traded above realized volatility by 15.7% (HV 20d: 51.7%). Max pain ranged from $11.00 to $13.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 4.72.

Notable Days

  • 2020-09-08: Highest Volume — 88,755 contracts
  • 2020-09-09: Largest IV drop — 13.8% change
  • 2020-09-03: Highest IV Rank — 38.4%
  • 2020-09-02: Largest Expected Move — 28.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.97$12.56$15.39$12.69$14.68
Max Pain$11.38$11.00$13.00$11.00$13.00
ATM IV67.4%58.1%92.4%80.8%59.8%
Expected Move19.2%16.5%28.7%25.7%17.5%
HV 20d51.7%45.5%59.3%48.6%59.3%
HV 60d59.1%57.6%60.6%60.5%59.0%
IV Rank26.5%22.1%38.4%32.9%22.9%
IV Percentile56.9%43.7%90.5%84.5%44.4%
Term Structure-1.0%-9.2%4.0%-8.1%3.5%
VWIV67.4%56.3%102.2%89.9%60.0%
Skew 25d3.7%-29.7%12.8%1.3%3.3%
Skew 10d24.4%-24.0%66.1%13.2%22.4%
Call IV 25d66.5%53.7%123.7%80.5%59.8%
Put IV 25d70.1%60.9%94.0%81.9%63.0%
Bid-Ask Spread %24.3016.0243.9034.4419.51
Gamma HHI0.150.120.190.140.12
Net GEX1.9M834.3K3.5M2.3M1.6M
Net DEX-153.2M-210.6M-120.4M-133.8M-146.6M
Net VEX-330.7K-410.0K-266.1K-408.0K-266.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.720.0358.250.290.51
Total Volume14,797.1975688,7552,307756
Total OI219,495.762188,064270,046228,045189,377

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$12.69$11.0080.8%25.7%48.6%32.9%89.9%1.3%-8.1%2.3M-133.8M-408.0K0.2934.441,787520183,80544,240
2020-09-02$13.06$11.0091.7%28.7%49.2%38.1%102.2%-29.7%-7.3%2.2M-145.6M-410.0K0.0327.9812,777429183,89544,650
2020-09-03$12.56$11.0092.4%23.2%50.3%38.4%81.8%2.7%-9.2%2.4M-133.8M-408.7K0.2843.906,3241,770191,04444,934
2020-09-04$12.86$11.0084.6%23.6%50.1%34.7%82.9%12.8%-3.3%2.3M-143.1M-403.1K2.2426.825,39412,059191,18845,105
2020-09-08$13.22$11.0080.2%23.8%50.4%32.6%86.3%0.7%4.0%2.2M-153.7M-393.0K0.2534.3870,88917,866191,25256,253
2020-09-09$13.35$11.0069.1%19.2%49.3%27.4%68.4%-4.5%0.3%3.5M-171.6M-407.0K0.0734.8343,0722,871212,79557,251
2020-09-10$13.22$11.0066.6%18.7%46.0%26.1%64.8%5.9%-2.0%3.0M-150.7M-359.0K1.3930.529,74213,546191,06152,897
2020-09-11$13.77$11.0061.5%17.5%45.5%23.7%61.6%6.2%0.5%2.5M-159.2M-340.8K0.1925.1915,7632,932178,52265,361
2020-09-14$14.86$11.0058.5%16.6%50.9%22.3%57.3%7.9%0.8%2.4M-202.0M-318.3K0.1619.405,007787178,68852,849
2020-09-15$14.49$11.0058.7%16.7%52.4%22.4%57.9%7.2%1.1%2.4M-182.5M-317.2K10.7121.981,76318,876172,91952,964
2020-09-16$15.39$11.0061.2%17.6%51.9%23.6%60.0%7.1%-0.7%1.5M-210.6M-287.6K0.4923.225,6992,778172,30658,554
2020-09-17$14.90$11.0059.6%17.0%54.1%22.8%61.0%5.5%0.4%1.7M-192.4M-297.7K0.8518.501,005853172,14659,705
2020-09-18$14.70$11.0058.1%16.5%53.7%22.1%58.7%5.8%1.9%1.3M-185.1M-298.7K0.1917.092,394455171,83857,665
2020-09-21$14.11$11.0062.8%17.6%54.1%24.3%64.3%6.3%-3.7%914.0K-123.5M-295.4K3.1818.856582,090140,78248,696
2020-09-22$14.02$12.0062.8%17.5%53.8%24.3%61.4%7.3%-0.4%834.3K-120.4M-297.3K58.2516.0235020,386140,98750,127
2020-09-23$14.28$12.0062.1%16.8%53.2%24.0%62.0%6.7%-0.9%1.1M-130.7M-299.0K1.1318.94477540141,13751,164
2020-09-24$14.03$12.0062.1%17.0%53.9%24.0%58.5%6.3%2.0%1.1M-123.0M-298.1K17.8320.011,14020,327141,37051,578
2020-09-25$14.34$12.0060.3%16.8%50.9%23.1%57.9%5.7%0.0%1.2M-134.4M-283.5K0.3221.281,089345141,55452,207
2020-09-28$14.85$12.0058.8%16.5%51.6%22.5%56.3%6.1%2.2%1.5M-149.8M-277.2K0.3319.10780258139,86248,202
2020-09-29$13.94$12.0063.6%18.2%57.0%24.7%63.1%6.3%-1.1%1.1M-125.8M-278.4K0.4818.382,8281,359140,23548,246
2020-09-30$14.68$13.0059.8%17.5%59.3%22.9%60.0%3.3%3.5%1.6M-146.6M-266.1K0.5119.51500256140,07949,298