AEO Options History — January 2011

In January 2011, AEO traded between $14.02 and $15.05. ATM implied volatility averaged 40.8%, placing in the 54.1% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 14.7% (HV 20d: 26.1%). Max pain ranged from $14.50 to $15.50. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.85.

Notable Days

  • 2011-01-06: Highest Volume — 114,340 contracts
  • 2011-01-06: Largest IV spike — 14.3% change
  • 2011-01-06: Highest IV Rank — 71.7%
  • 2011-01-06: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.42$14.02$15.05$14.50$14.46
Max Pain$14.70$14.50$15.50$15.50$14.50
ATM IV40.8%36.0%46.8%36.0%40.7%
Expected Move11.8%10.3%13.4%10.3%11.7%
HV 20d26.1%22.9%28.0%22.9%26.4%
HV 60d30.0%29.0%30.8%30.2%29.3%
IV Rank54.1%39.9%71.7%39.9%53.8%
IV Percentile54.6%23.4%86.5%23.4%51.6%
Term Structure-0.9%-4.2%2.7%-0.3%2.7%
VWIV41.7%36.3%45.7%36.3%40.9%
Skew 25d-0.9%-13.8%4.7%4.2%1.1%
Skew 10d-6.6%-21.9%4.9%4.9%-15.3%
Call IV 25d42.5%34.2%50.6%34.2%39.8%
Put IV 25d41.6%36.8%44.7%38.3%40.9%
Bid-Ask Spread %14.319.7742.6811.8510.74
Gamma HHI0.270.160.770.370.18
Net GEX-546.5K-6.7M1.7M-1.5M1.5M
Net DEX9.9M-35.3M35.0M30.4M-23.1M
Net VEX-307.6K-375.6K-247.7K-247.7K-319.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.023.340.900.13
Total Volume14,242.61,588114,3407,4283,188
Total OI164,866.5109,839202,835141,235140,670

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$14.50$15.5036.0%10.3%22.9%39.9%36.3%4.2%-0.3%-1.5M30.4M-247.7K0.9011.853,9093,51959,45481,781
2011-01-04$14.40$15.5037.0%10.6%22.9%42.7%38.3%3.2%-1.5%-1.5M32.0M-277.3K1.499.772,8454,23662,61184,801
2011-01-05$14.47$15.5041.0%11.7%22.9%54.5%41.0%4.7%-4.2%-1.5M29.7M-300.7K3.3413.733,13810,48964,47287,866
2011-01-06$15.05$15.5046.8%13.4%27.4%71.7%45.7%-13.8%-2.5%-1.4M8.1M-322.5K0.1242.68101,79312,54766,17692,806
2011-01-07$14.46$14.5041.6%11.4%27.8%56.3%39.9%-2.2%-0.4%-31.9K10.6M-375.6K1.2616.248,22310,336109,56593,270
2011-01-10$14.37$14.5043.7%12.6%27.7%62.6%43.8%-0.9%-3.5%-182.1K15.3M-344.6K3.2816.633,29910,823104,78489,787
2011-01-11$14.16$14.5040.2%12.5%28.0%52.1%43.5%-0.3%-3.7%-186.4K24.0M-327.1K1.0315.934,6504,782106,73287,382
2011-01-12$14.10$14.5036.9%12.2%27.7%42.4%42.4%2.1%-3.5%-384.4K27.2M-314.1K0.3515.882,493869104,76585,502
2011-01-13$14.02$14.5042.0%12.0%27.5%57.4%41.7%0.5%-1.5%-470.5K32.4M-304.1K0.5911.66997591105,52085,713
2011-01-14$14.04$14.5041.3%11.8%26.6%55.5%42.1%-0.8%-2.2%-686.1K35.0M-305.1K0.3211.433,105996105,26988,678
2011-01-18$14.12$14.5041.3%11.8%26.6%55.4%42.5%-1.4%-1.0%-824.8K33.0M-291.4K0.6514.493,9962,589105,63488,481
2011-01-19$14.39$14.5041.6%11.9%25.8%56.3%42.7%0.7%-1.8%-1.1M20.7M-304.1K0.6614.485,3533,510105,77190,260
2011-01-20$14.64$14.5042.6%12.2%26.6%59.4%42.6%-0.3%-1.5%-805.3K5.5M-306.6K0.4110.556,2232,564107,16988,154
2011-01-21$14.51$14.5041.4%11.9%25.7%55.7%42.4%-1.9%-1.3%-6.7M11.2M-299.7K0.6310.195,7603,655107,97087,825
2011-01-24$14.44$14.5040.5%11.6%25.7%53.1%42.1%-3.3%1.5%491.3K-10.1M-283.1K0.5711.842,2811,29766,91643,780
2011-01-25$14.44$14.5038.8%11.1%25.7%48.1%39.1%-0.7%2.6%468.6K-8.6M-282.9K0.879.934,0303,52368,29744,317
2011-01-26$14.49$14.5040.5%11.6%25.5%53.0%42.0%-2.7%1.5%767.4K-14.0M-280.3K0.0214.6829,78153369,22140,618
2011-01-27$14.82$14.5040.6%11.6%26.4%53.4%42.1%-3.5%0.9%1.7M-35.3M-335.2K0.0613.356,09135793,24243,440
2011-01-28$14.56$14.5042.1%12.1%26.5%57.8%42.5%-2.2%1.8%1.5M-26.7M-329.8K0.2810.085,0541,42794,76943,862
2011-01-31$14.46$14.5040.7%11.7%26.4%53.8%40.9%1.1%2.7%1.5M-23.1M-319.2K0.1310.742,82736196,50944,161