AEO Options History — February 2011

In February 2011, AEO traded between $14.46 and $16.18. ATM implied volatility averaged 45.0%, placing in the 66.3% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 13.4% (HV 20d: 31.6%). Max pain ranged from $14.50 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.48.

Notable Days

  • 2011-02-10: Highest Volume — 68,747 contracts
  • 2011-02-10: Largest IV spike — 58.4% change
  • 2011-02-10: Highest IV Rank — 93.1%
  • 2011-02-10: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.32$14.46$16.18$14.67$15.35
Max Pain$14.92$14.50$15.00$14.50$15.00
ATM IV45.0%34.2%54.1%39.3%49.4%
Expected Move13.3%10.6%15.5%11.3%14.2%
HV 20d31.6%18.5%38.1%26.7%36.8%
HV 60d31.1%28.5%33.8%29.2%31.4%
IV Rank66.3%34.5%93.1%49.4%79.2%
IV Percentile68.4%13.5%98.4%37.3%90.9%
Term Structure-4.2%-10.2%4.9%2.4%-4.9%
VWIV46.8%37.5%53.4%40.3%49.7%
Skew 25d-2.2%-5.5%1.3%-1.9%-3.5%
Skew 10d-5.1%-17.8%7.2%-11.1%-14.3%
Call IV 25d48.4%37.9%55.6%42.2%52.0%
Put IV 25d46.1%39.1%54.3%40.3%48.5%
Bid-Ask Spread %21.529.9934.2010.7916.94
Gamma HHI0.200.160.250.170.17
Net GEX2.7M1.7M4.2M1.7M2.2M
Net DEX-56.2M-104.9M-26.6M-30.5M-41.3M
Net VEX-343.9K-404.5K-316.7K-325.0K-325.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.012.130.130.01
Total Volume8,317.31680068,7479,1351,594
Total OI155,938.211118,358190,551141,232122,726

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-02-01$14.67$14.5039.3%11.3%26.7%49.4%40.3%-1.9%2.4%1.7M-30.5M-325.0K0.1310.798,0941,04197,05844,174
2011-02-02$14.46$14.5044.1%12.6%27.2%63.6%45.7%-3.9%1.4%1.7M-26.6M-327.4K1.019.992,3552,384102,07944,954
2011-02-03$14.70$14.5037.1%10.6%27.7%43.2%37.5%1.3%4.9%1.9M-32.2M-329.9K1.8818.863,5716,714103,58847,085
2011-02-04$14.86$15.0036.8%12.2%24.1%42.2%42.8%1.1%-4.3%2.2M-37.6M-330.1K0.1318.482,568337104,08346,245
2011-02-07$14.83$15.0037.9%12.0%19.1%45.4%41.8%0.8%-4.2%2.2M-35.8M-318.7K2.1320.161,3642,912104,64446,230
2011-02-08$14.68$15.0037.5%12.3%19.4%44.4%42.6%0.8%-4.9%1.9M-28.2M-316.7K0.0417.3111,121395104,64448,084
2011-02-09$14.69$15.0034.2%12.2%18.5%34.5%43.0%0.1%-4.3%2.1M-29.6M-335.9K0.7413.441,307971113,87048,361
2011-02-10$16.03$15.0054.1%15.5%35.3%93.1%53.4%-1.2%-10.2%2.8M-85.1M-373.2K0.1526.1159,9818,766114,51248,459
2011-02-11$16.18$15.0050.8%14.6%35.1%83.3%51.9%-3.9%-7.9%3.8M-104.9M-404.5K0.1324.188,6761,139136,00454,071
2011-02-14$16.08$15.0048.7%14.0%35.3%77.2%50.1%-2.5%-7.6%4.1M-96.7M-381.6K0.2326.164,3351,017134,85554,650
2011-02-15$15.79$15.0048.4%13.9%36.4%76.4%50.4%-4.4%-6.7%4.0M-84.0M-373.1K0.2127.802,275468134,45455,023
2011-02-16$16.00$15.0049.1%14.1%36.2%78.3%50.5%-5.5%-7.1%4.2M-96.4M-362.7K0.0826.044,979410134,52455,260
2011-02-17$15.97$15.0048.5%13.9%36.0%76.7%48.9%-4.3%-7.4%4.1M-93.2M-358.2K0.1023.123,698376135,10655,445
2011-02-18$15.79$15.0048.1%13.8%36.1%75.4%47.8%-3.5%-7.8%3.7M-90.0M-349.7K0.1521.613,183480133,29955,489
2011-02-22$15.38$15.0047.8%13.7%37.6%74.6%48.8%-4.7%-2.1%2.0M-44.0M-333.5K0.7734.202,5071,92687,17331,185
2011-02-23$15.18$15.0048.4%13.9%38.0%76.2%49.9%-2.2%-3.5%1.9M-36.7M-330.5K0.4428.642,7571,21387,98832,554
2011-02-24$15.16$15.0047.9%13.7%38.1%74.7%48.6%-2.5%-2.0%1.9M-35.7M-329.7K0.5624.821,48383289,09833,179
2011-02-25$15.34$15.0047.2%13.5%37.5%72.7%46.5%-2.8%-3.4%2.1M-38.7M-329.3K0.2720.2863116989,25033,423
2011-02-28$15.35$15.0049.4%14.2%36.8%79.2%49.7%-3.5%-4.9%2.2M-41.3M-325.4K0.0116.941,5712389,27633,450