AEO Options History — November 2020

In November 2020, AEO traded between $14.16 and $18.43. ATM implied volatility averaged 64.2%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded above realized volatility by 2.5% (HV 20d: 61.7%). Max pain ranged from $10.00 to $16.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.23.

Notable Days

  • 2020-11-24: Highest Volume — 36,539 contracts
  • 2020-11-05: Largest IV spike — 18.2% change
  • 2020-11-03: Highest IV Rank — 30.5%
  • 2020-11-23: Largest Expected Move — 19.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.23$14.16$18.43$14.39$18.01
Max Pain$14.30$10.00$16.00$10.00$16.00
ATM IV64.2%52.0%75.6%70.4%54.1%
Expected Move18.0%15.1%19.7%19.0%16.6%
HV 20d61.7%47.3%68.2%49.3%65.3%
HV 60d56.1%51.9%57.7%52.2%57.1%
IV Rank25.0%19.2%30.5%27.9%20.2%
IV Percentile44.2%22.2%67.9%55.2%24.6%
Term Structure-0.1%-7.2%6.9%6.1%3.3%
VWIV63.5%50.8%73.0%67.2%58.7%
Skew 25d3.2%-48.3%13.4%11.5%5.2%
Skew 10d22.9%-39.1%64.6%64.6%29.3%
Call IV 25d67.7%48.5%146.8%67.0%53.4%
Put IV 25d70.9%52.0%125.1%78.5%58.6%
Bid-Ask Spread %24.7618.6134.8022.9020.31
Gamma HHI0.180.140.240.150.24
Net GEX2.1M1.4M3.1M2.0M2.5M
Net DEX-149.6M-220.2M-79.5M-137.8M-79.5M
Net VEX-187.3K-236.2K-132.2K-182.4K-175.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.076.680.250.31
Total Volume13,553.578436,5393,2766,233
Total OI198,536.1132,930265,911183,092132,930

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$14.39$10.0070.4%19.0%49.3%27.9%67.2%11.5%6.1%2.0M-137.8M-182.4K0.2522.902,620656145,13537,957
2020-11-03$14.86$10.0075.6%18.3%49.2%30.5%61.9%-21.7%0.1%2.0M-151.3M-176.1K0.1922.341,657307145,13537,957
2020-11-04$14.16$10.0062.7%17.9%47.3%24.3%61.4%-9.3%1.8%2.1M-131.5M-163.3K3.2821.51183601143,41336,518
2020-11-05$14.68$14.0074.1%18.5%49.1%29.7%71.0%-48.3%6.9%2.0M-145.9M-160.0K0.2234.804,7751,032143,73436,806
2020-11-06$14.53$14.0061.3%17.7%49.1%23.6%66.6%2.9%-0.7%2.1M-143.3M-150.4K1.6620.08299497144,49236,375
2020-11-09$16.37$14.0065.2%17.7%65.1%25.5%60.6%12.2%-3.0%1.6M-190.6M-132.2K0.7529.5419,72714,817142,96336,179
2020-11-10$15.95$15.0066.4%18.1%65.6%26.1%60.8%7.0%-3.0%1.7M-168.2M-180.5K0.6423.771,6861,074151,82350,437
2020-11-11$15.32$15.0063.0%17.8%67.1%24.4%59.6%3.1%0.6%1.7M-149.7M-166.7K0.8719.87732634152,30650,967
2020-11-12$14.86$15.0065.0%18.0%67.7%25.4%64.7%9.4%-2.1%1.8M-135.5M-163.4K1.9325.066,15511,884152,59351,107
2020-11-13$15.14$15.0068.8%18.7%67.7%27.2%66.0%9.7%-7.2%1.7M-144.0M-184.8K0.6532.105,4873,552158,84662,665
2020-11-16$16.01$15.0062.9%18.2%68.0%24.4%65.4%10.5%-1.1%1.8M-175.3M-186.0K1.3018.619,32512,127161,92365,187
2020-11-17$16.55$15.0065.4%18.6%68.2%25.6%59.2%13.4%-0.3%1.8M-193.6M-214.6K0.0727.3014,8211,017169,36276,387
2020-11-18$16.84$15.0065.8%18.9%66.9%25.8%67.7%9.0%-2.6%2.1M-213.1M-236.2K0.5330.8713,9877,450181,81176,991
2020-11-19$17.12$15.0065.7%18.9%64.6%25.7%73.0%11.3%0.3%2.1M-220.2M-232.2K6.6826.013,30522,094184,75380,262
2020-11-20$16.98$16.0065.8%18.7%64.8%25.8%66.6%10.1%3.2%2.9M-216.0M-230.7K1.7031.656,52811,087186,50979,402
2020-11-23$18.14$15.0065.9%19.7%65.2%25.8%68.6%4.2%-4.1%2.3M-95.3M-210.2K0.3422.1214,4174,85194,18952,972
2020-11-24$17.93$15.0057.2%18.5%65.3%21.7%62.7%10.8%0.8%2.7M-92.1M-210.8K2.3023.9111,06425,475100,85455,918
2020-11-25$18.39$16.0052.0%15.1%64.2%19.2%50.8%7.5%-0.1%3.1M-106.0M-205.1K0.1321.8021,4482,691107,35175,057
2020-11-27$18.43$16.0056.4%16.0%64.2%21.3%57.1%6.2%-1.6%1.4M-102.2M-184.7K0.8920.692,5292,24696,12975,327
2020-11-30$18.01$16.0054.1%16.6%65.3%20.2%58.7%5.2%3.3%2.5M-79.5M-175.4K0.3120.314,7511,48282,76350,167