AEO Options History — November 2021

In November 2021, AEO traded between $25.25 and $28.63. ATM implied volatility averaged 55.1%, placing in the 40.0% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 15.1% (HV 20d: 40.0%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2021-11-23: Highest Volume — 28,947 contracts
  • 2021-11-23: Largest IV drop — 27.4% change
  • 2021-11-22: Highest IV Rank — 60.5%
  • 2021-11-22: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.83$25.25$28.63$25.26$26.12
Max Pain$25.62$25.00$27.00$26.00$26.50
ATM IV55.1%46.5%64.0%48.1%54.9%
Expected Move15.4%12.8%19.4%12.8%16.3%
HV 20d40.0%34.6%48.5%39.6%45.0%
HV 60d43.8%38.2%45.8%45.5%38.5%
IV Rank40.0%20.2%60.5%24.0%39.6%
IV Percentile72.7%37.3%97.6%42.5%75.0%
Term Structure-1.9%-6.2%2.7%2.7%0.1%
VWIV55.2%45.3%68.4%45.7%56.6%
Skew 25d2.9%-12.7%10.3%4.6%3.9%
Skew 10d3.2%-40.3%18.7%12.6%5.3%
Call IV 25d55.4%41.2%73.4%45.6%53.5%
Put IV 25d58.3%50.2%67.3%50.2%57.4%
Bid-Ask Spread %38.7114.2257.5014.9714.22
Gamma HHI0.110.080.230.090.08
Net GEX1.3M35.6K3.1M126.0K35.6K
Net DEX-27.2M-54.3M1.7M1.7M-7.6M
Net VEX-294.7K-323.6K-270.1K-290.8K-283.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.321.230.660.54
Total Volume11,799.0956,08228,94713,4376,331
Total OI131,827.09589,414147,784136,73799,989

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$25.26$26.0048.1%12.8%39.6%24.0%45.7%4.6%2.7%126.0K1.7M-290.8K0.6614.978,1185,31977,99458,743
2021-11-02$25.25$26.0052.1%13.0%36.5%33.1%45.3%10.3%0.4%528.5K-2.5M-299.3K0.9936.814,9804,93181,09960,471
2021-11-03$26.54$26.0055.3%13.9%39.2%40.5%50.7%3.0%-2.4%1.4M-29.1M-322.5K1.2344.299,74211,99982,30560,410
2021-11-04$26.55$25.0053.8%15.0%37.0%36.9%54.0%6.0%-1.6%1.7M-32.7M-323.6K0.7731.954,1303,17784,80962,281
2021-11-05$26.60$25.0056.7%15.3%36.7%43.6%55.2%-12.7%-3.2%1.3M-34.0M-320.5K0.4744.046,4943,03085,17562,609
2021-11-08$26.33$25.0058.5%16.3%34.6%47.8%56.6%2.0%-1.8%1.2M-20.9M-307.4K0.7434.614,6513,42580,88758,175
2021-11-09$26.82$25.0059.4%16.3%34.9%49.8%57.6%2.1%-1.2%1.5M-28.4M-306.9K0.9245.574,3033,97482,20459,080
2021-11-10$25.99$25.0058.7%15.8%37.0%48.3%60.0%5.7%-6.0%1.1M-16.9M-313.3K0.6757.504,5823,08883,05460,282
2021-11-11$26.37$25.0058.6%16.1%37.2%48.1%57.6%0.6%-3.2%1.4M-21.7M-299.5K0.8940.013,2512,90383,43060,112
2021-11-12$26.91$25.0055.9%15.3%37.2%41.9%55.0%6.6%-5.2%2.2M-32.5M-290.5K1.2043.634,2765,12183,78060,049
2021-11-15$27.06$25.0055.5%15.8%35.2%40.8%55.4%3.7%-1.3%1.8M-32.8M-277.0K0.6841.014,7253,19281,58459,910
2021-11-16$27.70$25.0054.9%15.6%35.5%39.4%55.8%3.8%-0.2%2.7M-45.9M-280.0K0.6940.003,5942,48882,75760,389
2021-11-17$26.73$25.0055.4%15.9%38.1%40.6%56.0%3.5%-1.7%1.5M-26.1M-270.1K1.1744.803,0233,52383,26160,539
2021-11-18$28.06$26.0056.8%16.5%40.6%43.9%56.7%1.8%-3.6%3.1M-51.0M-276.4K0.3243.308,0742,58883,59261,753
2021-11-19$26.89$26.0056.8%16.7%43.8%43.9%60.3%2.1%-6.2%824.0K-28.3M-273.8K1.1441.617,0438,01885,48662,088
2021-11-22$27.70$26.0064.0%19.4%44.7%60.5%68.4%2.5%-5.7%482.5K-29.9M-286.0K0.5741.9616,8269,57444,53244,882
2021-11-23$28.63$26.0046.5%14.2%45.7%20.2%50.4%4.0%-1.6%2.2M-54.3M-295.8K0.4946.4319,4309,51756,40151,892
2021-11-24$28.20$26.0048.0%14.0%45.0%23.6%51.8%4.0%1.7%2.3M-40.8M-290.0K0.7534.0711,6258,67356,62453,046
2021-11-26$27.01$27.0055.7%16.1%48.5%41.3%57.4%3.0%-1.5%272.5K-20.0M-294.7K0.7840.465,4404,22359,20555,416
2021-11-29$26.81$26.5051.4%14.2%48.3%31.6%53.1%1.4%0.8%221.3K-16.6M-286.7K0.5931.745,2583,12250,83247,242
2021-11-30$26.12$26.5054.9%16.3%45.0%39.6%56.6%3.9%0.1%35.6K-7.6M-283.4K0.5414.224,1162,21551,99447,995