AEO Options History — December 2020

In December 2020, AEO traded between $17.80 and $20.30. ATM implied volatility averaged 52.3%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 12.0% (HV 20d: 40.2%). Max pain ranged from $12.00 to $17.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.40.

Notable Days

  • 2020-12-01: Highest Volume — 51,776 contracts
  • 2020-12-31: Largest IV spike — 12.2% change
  • 2020-12-31: Highest IV Rank — 24.1%
  • 2020-12-31: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.45$17.80$20.30$17.80$20.13
Max Pain$14.41$12.00$17.00$16.00$17.00
ATM IV52.3%48.9%62.2%52.4%62.2%
Expected Move14.8%13.5%15.8%15.7%15.8%
HV 20d40.2%26.8%64.1%64.1%28.0%
HV 60d53.1%49.0%57.3%57.1%49.0%
IV Rank19.3%17.8%24.1%19.4%24.1%
IV Percentile21.5%13.1%38.5%22.2%38.5%
Term Structure0.5%-2.4%3.9%2.6%-2.4%
VWIV52.0%49.1%56.0%55.1%56.0%
Skew 25d4.8%2.8%7.7%4.5%5.5%
Skew 10d13.6%-7.0%32.8%11.4%12.8%
Call IV 25d51.1%47.0%59.9%51.2%59.9%
Put IV 25d55.9%52.3%65.3%55.8%65.3%
Bid-Ask Spread %15.9410.6723.0221.9616.97
Gamma HHI0.440.240.890.240.30
Net GEX5.8M2.5M19.3M2.6M2.8M
Net DEX-125.8M-214.9M-70.9M-71.6M-85.3M
Net VEX-252.7K-306.7K-174.5K-174.5K-203.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.032.540.150.45
Total Volume9,848.27389151,77651,7761,241
Total OI161,278.591112,475216,516134,033112,838

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$17.80$16.0052.4%15.7%64.1%19.4%55.1%4.5%2.6%2.6M-71.6M-174.5K0.1521.9644,9846,79282,89551,138
2020-12-02$18.36$16.0052.7%15.8%64.1%19.5%52.8%5.5%2.7%4.3M-120.5M-306.7K0.2519.242,903734123,75557,159
2020-12-03$18.86$12.0052.1%14.6%60.3%19.3%51.5%5.8%1.0%4.5M-141.1M-292.0K0.1022.784,250408123,66157,517
2020-12-04$19.12$12.0050.6%14.9%59.8%18.6%51.8%6.5%1.3%5.0M-148.4M-273.8K0.1214.1931,3483,827123,13857,604
2020-12-07$19.43$12.0052.4%15.2%59.2%19.4%53.1%5.6%-0.1%4.9M-169.5M-299.3K0.1312.0217,3262,224134,70759,705
2020-12-08$19.48$13.0052.6%15.2%44.4%19.5%53.0%3.8%0.6%5.8M-176.4M-293.8K0.0515.7721,3191,142139,98761,911
2020-12-09$19.63$12.0054.1%15.2%42.5%20.2%53.0%4.1%-1.7%7.6M-202.6M-296.0K0.0513.167,621399154,06662,450
2020-12-10$19.87$13.0052.2%15.0%38.1%19.3%52.7%3.9%0.1%7.4M-214.9M-284.0K0.0814.294,504359153,31162,729
2020-12-11$19.49$13.0052.2%15.0%36.5%19.3%51.3%5.5%-0.0%7.9M-192.6M-287.9K0.3614.48741270151,41462,894
2020-12-14$19.09$13.0050.8%14.5%38.4%18.6%50.8%4.4%3.9%10.1M-169.2M-263.8K0.0410.6725,546988146,69461,838
2020-12-15$19.23$15.0052.0%14.9%34.7%19.2%50.6%3.4%0.7%7.9M-112.5M-258.4K1.8516.781,1642,154109,95362,616
2020-12-16$19.10$15.0050.4%14.5%33.9%18.5%51.2%2.8%1.8%8.9M-103.9M-265.1K0.3117.311,203375110,11064,655
2020-12-17$19.53$15.0050.1%14.3%34.2%18.3%50.2%5.0%0.7%9.2M-134.1M-251.4K2.5417.631,5453,932110,74364,821
2020-12-18$19.16$15.0051.0%14.6%35.2%18.7%49.7%3.6%0.6%19.3M-122.0M-246.2K0.4111.874,4091,823110,31268,485
2020-12-21$19.30$15.0051.7%14.8%34.8%19.1%51.3%5.1%0.3%2.5M-70.9M-245.9K0.4223.0288137277,16138,188
2020-12-22$19.47$15.0051.8%14.7%26.8%19.1%51.7%4.1%-0.5%2.7M-76.2M-241.2K0.0314.112,3856577,56438,423
2020-12-23$20.30$15.0050.2%13.8%29.4%18.4%49.1%4.5%-1.0%2.8M-95.5M-226.3K0.4514.7698944177,26638,480
2020-12-24$19.80$15.0048.9%13.5%30.5%17.8%49.6%7.7%-1.9%3.1M-84.3M-230.3K0.1014.651,48114377,47238,693
2020-12-28$20.30$16.0050.5%14.0%31.4%18.5%50.7%2.9%0.2%3.1M-96.5M-209.7K0.2314.782,84666876,35338,252
2020-12-29$20.29$16.0053.5%15.2%29.7%19.9%54.5%5.3%-0.5%2.9M-93.8M-207.1K0.0713.319,33163875,83138,865
2020-12-30$20.13$16.0055.4%15.1%29.4%20.8%54.1%7.3%2.9%2.9M-86.5M-202.4K0.6416.9554234973,19339,282
2020-12-31$20.13$17.0062.2%15.8%28.0%24.1%56.0%5.5%-2.4%2.8M-85.3M-203.5K0.4516.9785538673,14239,696