AEO Options History — January 2021

In January 2021, AEO traded between $19.88 and $24.26. ATM implied volatility averaged 57.8%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded above realized volatility by 22.6% (HV 20d: 35.2%). Max pain ranged from $16.00 to $19.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.59.

Notable Days

  • 2021-01-20: Highest Volume — 53,649 contracts
  • 2021-01-27: Largest IV spike — 43.5% change
  • 2021-01-27: Highest IV Rank — 33.1%
  • 2021-01-27: Largest Expected Move — 20.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.70$19.88$24.26$19.88$22.71
Max Pain$18.00$16.00$19.00$16.00$19.00
ATM IV57.8%50.3%81.2%63.7%63.4%
Expected Move16.0%14.4%20.0%15.9%17.5%
HV 20d35.2%27.3%41.7%27.3%41.5%
HV 60d47.5%45.2%49.1%48.0%46.6%
IV Rank21.9%18.4%33.1%24.8%24.6%
IV Percentile28.2%9.9%83.7%42.1%39.7%
Term Structure-0.2%-7.3%8.2%-6.1%1.1%
VWIV57.9%50.6%71.5%57.0%61.1%
Skew 25d4.6%-3.7%14.7%8.1%9.7%
Skew 10d10.9%-24.6%30.8%20.2%-6.5%
Call IV 25d57.5%49.9%75.5%58.5%60.9%
Put IV 25d62.0%52.6%87.2%66.7%70.7%
Bid-Ask Spread %24.2411.2454.5614.9054.56
Gamma HHI0.220.150.320.320.25
Net GEX3.4M1.6M7.1M3.0M1.6M
Net DEX-112.4M-161.3M-59.1M-76.3M-59.1M
Net VEX-193.0K-229.8K-157.6K-193.1K-214.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.032.690.050.46
Total Volume17,6392,40653,64936,7803,883
Total OI123,376.368105,199153,858105,199127,286

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-01-04$19.88$16.0063.7%15.9%27.3%24.8%57.0%8.1%-6.1%3.0M-76.3M-193.1K0.0514.9035,0671,71371,08834,111
2021-01-05$20.69$17.0055.3%15.5%30.2%20.8%71.5%5.0%0.9%4.5M-119.4M-210.8K1.1314.313,3153,73391,17435,513
2021-01-06$21.78$17.0055.5%15.3%34.3%20.9%56.2%7.4%-5.0%2.8M-122.8M-178.9K0.6822.543,7492,54377,62536,655
2021-01-07$22.30$17.0052.7%14.7%34.9%19.5%56.9%-3.7%0.8%2.0M-136.3M-162.4K0.0315.9140,9051,37978,30435,921
2021-01-08$22.22$17.0059.0%15.9%35.1%22.5%53.4%6.3%-1.8%3.1M-137.2M-191.6K0.3935.555,3752,10292,53336,596
2021-01-11$22.87$18.0057.9%16.0%35.9%22.0%56.9%-1.9%-2.0%2.8M-133.0M-174.4K0.0544.5122,1341,09784,08036,678
2021-01-12$23.32$18.0053.7%15.5%34.8%20.0%54.8%1.4%1.7%2.4M-138.9M-157.6K0.1328.038,3601,12781,58137,591
2021-01-13$22.98$18.0054.2%15.6%34.2%20.3%52.9%4.6%1.4%2.8M-135.8M-164.7K0.6519.131,46194586,69038,263
2021-01-14$23.22$18.0057.5%16.0%34.2%21.8%55.6%2.7%-1.7%2.6M-139.5M-164.8K0.0815.1339,9853,12885,65138,964
2021-01-15$22.78$18.0054.0%15.7%35.2%20.2%54.8%5.4%1.8%2.9M-129.0M-185.7K0.9316.175,5435,14391,80141,903
2021-01-19$22.84$18.0053.4%15.3%34.9%19.9%62.4%7.0%0.6%3.3M-87.9M-180.7K0.9216.734,7324,34273,69231,622
2021-01-20$23.01$18.0055.3%15.8%33.4%20.7%57.8%5.0%-3.0%3.2M-87.5M-172.5K0.4323.4937,50516,14473,80135,584
2021-01-21$24.03$18.0050.3%14.5%35.5%18.4%50.6%3.8%-0.8%6.5M-144.7M-211.1K0.3820.0122,6568,53997,84450,748
2021-01-22$24.26$19.0050.7%14.4%35.5%18.6%51.0%1.3%1.7%7.1M-161.3M-213.4K0.7513.4710,1577,576106,86246,996
2021-01-25$23.80$19.0055.8%15.9%35.1%21.0%56.7%0.1%8.2%4.0M-101.5M-217.1K0.4211.245,1332,13981,00135,149
2021-01-26$23.59$19.0056.6%16.6%33.6%21.4%57.8%-1.8%6.6%4.1M-95.9M-220.0K0.5824.825,3493,08983,50136,265
2021-01-27$22.20$19.0081.2%20.0%41.0%33.1%70.7%11.7%-7.3%2.8M-62.2M-229.8K2.6922.872,5186,77485,40538,605
2021-01-28$22.79$19.0067.3%17.7%41.7%26.5%61.5%14.7%-0.1%3.1M-67.1M-225.1K0.5247.243,8131,98883,70743,361
2021-01-29$22.71$19.0063.4%17.5%41.5%24.6%61.1%9.7%1.1%1.6M-59.1M-214.1K0.4654.562,6571,22683,67043,616