AEO Options History — September 2021

In September 2021, AEO traded between $26.01 and $29.97. ATM implied volatility averaged 45.4%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 8.7% (HV 20d: 54.1%). Max pain ranged from $27.00 to $33.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2021-09-02: Highest Volume — 78,837 contracts
  • 2021-09-20: Largest IV spike — 14.8% change
  • 2021-09-01: Highest IV Rank — 31.2%
  • 2021-09-01: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.05$26.01$29.97$29.97$26.01
Max Pain$28.62$27.00$33.00$33.00$27.00
ATM IV45.4%41.8%54.8%54.8%46.3%
Expected Move13.1%12.0%17.7%17.7%13.7%
HV 20d54.1%44.1%62.1%52.5%47.4%
HV 60d46.2%43.2%47.8%43.2%45.7%
IV Rank16.8%9.4%31.2%31.2%19.8%
IV Percentile22.2%6.3%55.6%55.6%30.6%
Term Structure-0.2%-1.6%4.5%-1.3%-0.3%
VWIV47.0%42.7%63.2%63.2%48.2%
Skew 25d3.7%-1.1%8.9%0.2%4.5%
Skew 10d5.1%-22.5%14.9%-2.9%10.9%
Call IV 25d45.4%41.7%57.6%57.6%46.0%
Put IV 25d49.1%45.2%57.8%57.8%50.5%
Bid-Ask Spread %14.757.7334.0222.117.73
Gamma HHI0.140.080.260.100.11
Net GEX332.4K-2.4M4.3M666.5K-793.1K
Net DEX29.0M-23.4M97.1M14.8M25.0M
Net VEX-318.2K-387.2K-261.3K-387.2K-296.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.051.740.821.20
Total Volume18,4252,36478,83722,77714,233
Total OI157,997.714118,387194,275163,309136,749

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$29.97$33.0054.8%17.7%52.5%31.2%63.2%0.2%-1.3%666.5K14.8M-387.2K0.8222.1112,50610,27192,19071,119
2021-09-02$27.04$31.0047.4%13.6%62.1%17.7%50.7%-1.1%4.5%-1.9M86.3M-266.2K0.4727.6253,45025,387100,32872,206
2021-09-03$26.81$31.0045.8%13.2%60.5%14.8%47.0%0.8%-0.3%-2.4M97.1M-261.3K0.4226.8928,17811,796106,92077,393
2021-09-07$26.62$29.0046.6%13.2%60.4%18.9%51.7%8.9%-1.6%-567.4K50.4M-297.1K1.4113.876,2948,84889,59666,344
2021-09-08$26.40$29.0046.1%13.4%57.0%19.2%48.4%5.8%-0.1%-390.4K55.9M-302.6K0.6415.335,5793,543100,45969,521
2021-09-09$27.05$29.0046.8%13.3%58.1%21.0%47.0%1.7%-0.9%189.5K41.8M-327.5K1.7415.037,38612,860102,24277,089
2021-09-10$27.05$29.0045.6%13.0%57.1%18.2%46.6%3.4%-1.0%-292.5K40.9M-335.4K0.159.9023,4823,431104,62379,970
2021-09-13$26.97$29.0045.7%13.0%56.9%18.4%46.5%2.0%-0.4%324.4K43.5M-327.4K0.719.104,1822,98798,15478,149
2021-09-14$26.21$29.0045.0%12.8%56.9%16.7%46.2%4.2%0.0%934.8K55.2M-314.5K1.237.776,0427,435108,95876,674
2021-09-15$26.30$29.0043.0%12.3%56.0%12.3%43.8%4.5%0.1%1.4M56.4M-310.4K0.1934.023,443663110,67577,723
2021-09-16$26.79$29.0041.9%12.0%56.1%9.7%43.1%3.9%0.0%4.3M42.8M-320.6K1.6116.334,1956,757111,69082,585
2021-09-17$26.72$29.0042.7%12.3%55.8%11.4%43.1%4.5%-1.1%2.0M48.1M-308.4K0.259.6122,1085,452112,41081,238
2021-09-20$26.03$29.0049.0%14.2%55.1%25.9%50.0%5.8%-0.6%115.6K20.9M-294.0K0.798.463,2792,57961,12257,265
2021-09-21$26.55$27.0045.3%13.3%55.5%17.4%45.8%4.5%-0.7%-348.0K12.2M-308.1K0.1313.668,1861,04260,11159,883
2021-09-22$26.82$27.0043.3%12.5%53.0%12.8%43.9%3.3%0.3%-257.4K7.8M-309.2K0.5114.013,3481,70661,61561,841
2021-09-23$27.62$27.0041.8%12.3%49.8%9.4%43.6%3.4%0.4%630.0K-11.3M-314.5K0.1410.8026,9333,69062,68462,429
2021-09-24$28.02$27.0042.5%12.1%50.2%11.1%43.4%4.4%-0.1%255.4K-22.4M-317.1K0.177.7514,4552,41664,05363,418
2021-09-27$27.89$27.0042.9%12.0%46.5%12.0%42.7%4.0%-0.5%1.0M-20.8M-346.8K0.2014.4411,3692,26772,05559,052
2021-09-28$27.80$27.0044.8%13.2%46.1%16.2%47.0%4.0%0.6%1.3M-23.4M-375.8K0.0511.5112,21656781,84259,883
2021-09-29$27.46$27.0045.7%13.0%44.1%18.4%44.8%4.2%-1.5%801.0K-11.4M-360.1K0.4113.751,67968583,18062,514
2021-09-30$26.01$27.0046.3%13.7%47.4%19.8%48.2%4.5%-0.3%-793.1K25.0M-296.8K1.207.736,4577,77674,09962,650