AEO Options History — December 2021

In December 2021, AEO traded between $22.05 and $27.98. ATM implied volatility averaged 51.3%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 0.6% (HV 20d: 50.7%). Max pain ranged from $24.50 to $27.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.91.

Notable Days

  • 2021-12-29: Highest Volume — 32,740 contracts
  • 2021-12-13: Largest IV spike — 11.4% change
  • 2021-12-03: Highest IV Rank — 46.2%
  • 2021-12-03: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.96$22.05$27.98$26.08$25.44
Max Pain$26.07$24.50$27.00$26.00$24.50
ATM IV51.3%46.6%57.8%54.7%48.9%
Expected Move14.9%13.6%18.3%17.1%14.5%
HV 20d50.7%41.5%56.3%45.1%56.3%
HV 60d43.1%38.3%46.6%38.5%45.7%
IV Rank31.3%20.3%46.2%39.0%25.7%
IV Percentile57.8%37.7%86.5%73.4%47.2%
Term Structure0.1%-3.0%5.3%0.4%2.9%
VWIV53.3%47.5%64.0%60.4%51.1%
Skew 25d3.4%-4.4%6.5%3.7%3.9%
Skew 10d6.1%-14.4%19.0%3.9%8.6%
Call IV 25d51.6%46.0%65.0%55.3%46.4%
Put IV 25d54.9%50.3%61.6%59.0%50.3%
Bid-Ask Spread %23.628.1638.3637.1232.21
Gamma HHI0.160.080.320.080.21
Net GEX263.4K-1.1M2.6M-42.9K2.3M
Net DEX-5.9M-53.7M33.0M-6.3M-44.2M
Net VEX-258.4K-322.4K-208.8K-286.2K-317.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.111.540.860.15
Total Volume11,637.7735,35932,7407,30523,684
Total OI98,121.77385,166119,828100,255119,828

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-12-01$26.08$26.0054.7%17.1%45.1%39.0%60.4%3.7%0.4%-42.9K-6.3M-286.2K0.8637.123,9313,37452,18548,070
2021-12-02$26.39$26.0054.5%15.9%41.5%38.6%59.2%5.0%-2.4%-122.9K-8.9M-282.5K1.1937.162,8623,39852,23748,229
2021-12-03$26.18$26.0057.8%18.3%41.6%46.2%64.0%6.5%1.1%-634.4K-5.5M-274.0K0.7934.004,8923,84552,46948,416
2021-12-06$27.34$27.0055.6%16.3%44.5%41.2%55.8%-4.4%5.3%964.6K-27.6M-268.2K0.7937.847,8606,19648,27041,770
2021-12-07$27.98$27.0049.9%14.4%44.9%28.0%51.7%1.5%0.8%1.3M-35.0M-284.5K1.5317.624,1996,42452,12345,255
2021-12-08$27.88$27.0047.6%13.7%44.6%22.8%52.2%5.2%2.4%1.4M-31.8M-276.0K1.1722.272,4742,88552,47647,222
2021-12-09$27.08$27.0048.6%14.1%44.4%25.1%52.0%2.8%1.3%713.1K-16.4M-269.7K1.0818.263,0163,26050,96247,538
2021-12-10$26.14$27.0046.6%13.6%46.0%20.3%49.4%5.4%1.6%89.1K-2.7M-249.0K1.5427.483,7045,69150,79847,879
2021-12-13$23.78$27.0051.9%14.5%56.1%32.5%51.8%3.3%-0.9%-368.8K19.8M-214.9K1.4411.876,5129,36247,12246,462
2021-12-14$23.85$27.0051.4%14.6%56.0%31.5%52.7%2.7%-0.2%-735.2K23.3M-224.6K0.6220.604,5942,84548,84650,902
2021-12-15$23.93$27.0053.3%14.8%55.1%35.8%53.9%4.2%-2.3%-886.0K22.2M-224.4K0.8038.367,3545,88348,97551,738
2021-12-16$22.77$27.0052.5%14.8%56.2%34.1%53.2%4.0%-3.0%-1.1M33.0M-220.4K0.5820.994,6642,72051,91453,703
2021-12-17$23.05$27.0050.0%14.3%52.8%28.2%52.7%4.0%-1.6%-998.3K27.1M-233.8K1.2121.103,6494,42553,73654,371
2021-12-20$22.05$26.0052.8%15.0%52.9%34.7%54.2%3.6%-0.4%-186.4K18.8M-208.8K1.0311.313,9754,09246,71838,448
2021-12-21$22.96$26.0049.8%14.2%54.1%27.8%50.8%3.6%0.8%-236.4K9.5M-231.2K1.0114.013,8403,86948,29538,469
2021-12-22$22.99$25.0049.2%14.1%51.9%26.4%51.0%2.8%0.3%-236.6K7.0M-235.4K1.348.162,2963,07849,32838,258
2021-12-23$23.24$25.0047.7%13.7%52.5%23.1%47.5%3.4%-0.2%-522.1K4.8M-231.4K1.4510.704,6676,75249,68638,540
2021-12-27$23.96$25.0049.2%14.0%52.8%26.5%50.4%2.8%0.1%232.2K-4.5M-253.0K0.798.413,3562,66549,08038,511
2021-12-28$24.49$25.0053.6%15.5%53.7%36.6%54.3%2.9%-0.5%540.8K-11.3M-263.5K0.2336.5220,2094,55050,18338,773
2021-12-29$25.70$24.5052.8%15.1%56.1%34.6%52.9%3.9%-3.0%1.7M-47.9M-313.6K0.1127.1529,5453,19564,34441,609
2021-12-30$25.86$24.5050.7%14.3%56.2%29.9%52.3%3.1%0.2%2.6M-53.7M-322.4K0.4026.5311,5774,66271,75743,184
2021-12-31$25.44$24.5048.9%14.5%56.3%25.7%51.1%3.9%2.9%2.3M-44.2M-317.6K0.1532.2120,6293,05574,19645,632