AEO Options History — October 2020

In October 2020, AEO traded between $13.64 and $15.80. ATM implied volatility averaged 61.6%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded above realized volatility by 7.7% (HV 20d: 53.9%). Max pain ranged from $10.00 to $14.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 2.98.

Notable Days

  • 2020-10-01: Highest Volume — 31,234 contracts
  • 2020-10-05: Largest IV spike — 7.9% change
  • 2020-10-30: Highest IV Rank — 26.5%
  • 2020-10-28: Largest Expected Move — 19.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.69$13.64$15.80$14.80$13.64
Max Pain$10.34$10.00$14.50$13.00$10.00
ATM IV61.6%58.4%67.4%60.4%67.4%
Expected Move17.6%16.6%19.7%17.2%19.5%
HV 20d53.9%44.9%62.0%58.7%44.9%
HV 60d55.0%51.4%59.3%59.0%51.4%
IV Rank23.8%22.2%26.5%23.2%26.5%
IV Percentile44.3%37.3%51.6%44.8%51.6%
Term Structure1.2%-2.5%6.7%4.3%3.0%
VWIV62.2%58.0%76.7%62.0%67.1%
Skew 25d5.5%-4.3%11.1%4.5%5.3%
Skew 10d15.0%-28.6%64.5%20.3%14.7%
Call IV 25d59.3%55.1%70.0%57.8%62.0%
Put IV 25d64.9%61.9%69.6%62.2%67.3%
Bid-Ask Spread %21.0015.0730.3718.0230.37
Gamma HHI0.130.110.180.130.14
Net GEX1.5M481.5K2.2M1.8M2.0M
Net DEX-145.3M-173.5M-116.3M-151.7M-116.3M
Net VEX-215.0K-257.7K-180.1K-257.5K-193.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.980.0137.6637.661.41
Total Volume5,923.40991031,23431,2344,716
Total OI188,516.591179,149201,724189,523185,115

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$14.80$13.0060.4%17.2%58.7%23.2%62.0%4.5%4.3%1.8M-151.7M-257.5K37.6618.0280830,426140,11149,412
2020-10-02$15.35$14.5059.1%16.6%57.1%22.6%58.4%7.3%1.7%972.7K-160.2M-257.7K0.5920.051,069636140,42361,301
2020-10-05$15.51$10.0063.8%17.7%56.9%24.8%62.7%6.8%-0.6%839.5K-162.2M-242.2K0.1320.635,738752137,43759,264
2020-10-06$14.94$10.0062.2%17.6%58.8%24.0%61.7%5.6%0.8%788.8K-148.3M-239.5K0.2519.981,078266137,93859,599
2020-10-07$15.80$10.0063.7%18.2%61.4%24.8%64.8%5.3%0.1%950.1K-173.5M-213.6K0.1017.586,609636138,33359,709
2020-10-08$15.47$10.0064.0%18.0%62.0%24.9%62.6%3.7%0.0%919.0K-159.6M-226.8K0.7615.74516394135,12759,948
2020-10-09$15.32$10.0059.6%17.2%61.0%22.8%59.3%5.8%3.0%794.3K-159.4M-204.6K0.6119.80638387135,18660,087
2020-10-12$15.09$10.0060.0%17.0%55.3%23.0%61.4%6.5%-1.9%637.7K-152.4M-203.8K0.2121.491,793384134,47359,094
2020-10-13$14.82$10.0059.7%16.8%54.9%22.8%59.0%4.7%-1.1%481.5K-145.0M-204.4K11.3224.941,82320,641135,07359,270
2020-10-14$15.11$10.0059.4%17.2%50.8%22.7%61.0%-4.3%1.3%1.5M-157.4M-194.1K0.3424.11956321136,20143,260
2020-10-15$15.36$10.0059.0%17.0%49.7%22.5%58.8%7.2%2.3%1.5M-164.7M-180.1K0.0130.3320,005242135,75543,394
2020-10-16$15.05$10.0058.4%16.6%50.1%22.2%58.0%6.4%0.3%2.2M-167.1M-227.8K0.9923.091,3921,380154,95643,416
2020-10-19$14.36$10.0061.6%17.6%50.8%23.8%60.8%4.8%-0.1%1.9M-138.9M-217.7K1.4423.182,5953,741146,50534,194
2020-10-20$14.14$10.0062.4%17.9%51.1%24.2%60.8%5.4%-2.5%1.8M-130.3M-222.2K0.7919.571,235970147,29635,834
2020-10-21$13.74$10.0061.4%17.6%51.6%23.7%60.6%6.9%1.0%1.9M-121.1M-218.2K0.2921.442,189634147,93335,348
2020-10-22$14.55$10.0059.6%17.1%55.3%22.8%60.0%5.3%-0.8%1.9M-142.7M-212.7K0.2518.052,586648147,76435,473
2020-10-23$14.68$10.0060.1%17.3%54.9%23.0%59.9%7.5%-0.4%1.9M-148.2M-207.2K0.2915.071,648473148,91135,755
2020-10-26$14.06$10.0062.1%18.1%55.5%24.0%64.2%6.8%-0.2%2.0M-131.3M-204.9K0.2518.291,622411146,68034,383
2020-10-27$13.93$10.0060.9%17.8%50.8%23.4%61.6%2.8%3.3%2.0M-127.3M-200.9K5.9117.492071,223147,19734,582
2020-10-28$13.64$10.0065.1%19.7%47.4%25.4%67.5%6.2%6.1%2.0M-119.3M-204.4K0.2622.501,161304147,26935,637
2020-10-29$13.72$10.0064.8%18.5%47.3%25.3%76.7%11.1%6.7%2.0M-119.6M-196.4K1.6920.391,8833,179147,00435,718
2020-10-30$13.64$10.0067.4%19.5%44.9%26.5%67.1%5.3%3.0%2.0M-116.3M-193.4K1.4130.371,9552,761146,87638,239