AEO Options History — March 2011

In March 2011, AEO traded between $14.80 and $16.14. ATM implied volatility averaged 47.1%, placing in the 53.1% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 10.5% (HV 20d: 36.7%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.44.

Notable Days

2011-03-08: Highest Volume — 40,421 contracts
2011-03-09: Largest IV drop — 38.2% change
2011-03-07: Highest IV Rank — 100.0%
2011-03-02: Largest Expected Move — 15.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.45	$14.80	$16.14	$15.02	$15.89
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	47.1%	37.4%	74.8%	46.9%	37.4%
Expected Move	13.0%	10.7%	15.9%	13.5%	10.7%
HV 20d	36.7%	31.0%	43.5%	37.7%	36.8%
HV 60d	32.0%	29.4%	33.7%	29.4%	33.7%
IV Rank	53.1%	28.6%	100.0%	72.0%	28.6%
IV Percentile	67.4%	17.5%	100.0%	81.7%	17.5%
Term Structure	-2.9%	-10.7%	2.9%	-1.2%	-0.4%
VWIV	45.6%	37.4%	55.9%	49.4%	39.1%
Skew 25d	-0.5%	-4.6%	3.5%	-0.9%	0.0%
Skew 10d	-1.3%	-22.8%	21.3%	-22.8%	1.9%
Call IV 25d	46.5%	39.1%	56.4%	50.4%	40.8%
Put IV 25d	46.0%	38.3%	53.4%	49.6%	40.8%
Bid-Ask Spread %	21.86	16.33	31.53	20.80	17.90
Gamma HHI	0.21	0.12	0.55	0.17	0.20
Net GEX	2.7M	1.2M	5.7M	2.0M	2.7M
Net DEX	-44.0M	-74.7M	-20.7M	-33.1M	-49.8M
Net VEX	-324.8K	-353.9K	-303.6K	-313.8K	-321.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.01	2.02	0.86	0.24
Total Volume	9,284.304	321	40,421	1,108	655
Total OI	140,394.826	114,979	174,334	123,641	127,815

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2011-03-01	$15.02	$15.00	46.9%	13.5%	37.7%	72.0%	49.4%	-0.9%	-1.2%	2.0M	-33.1M	-313.8K	0.86	20.80	596	512	90,170	33,471
2011-03-02	$15.35	$15.00	55.3%	15.9%	38.1%	96.7%	55.9%	-4.6%	-3.9%	2.1M	-42.6M	-323.8K	0.14	17.21	16,539	2,317	90,024	33,609
2011-03-03	$15.50	$15.00	48.6%	13.9%	37.6%	76.8%	50.9%	-2.3%	-1.5%	2.5M	-47.6M	-336.6K	0.18	24.27	6,758	1,218	96,887	35,115
2011-03-04	$15.41	$15.00	51.2%	13.5%	37.5%	84.5%	46.5%	0.8%	-5.0%	2.5M	-44.0M	-334.2K	0.04	21.39	1,956	81	97,717	35,946
2011-03-07	$15.37	$15.00	64.2%	14.1%	37.4%	100.0%	49.8%	-2.8%	-10.7%	2.5M	-48.7M	-327.4K	0.10	31.53	19,518	1,858	98,739	35,993
2011-03-08	$14.80	$15.00	74.8%	14.7%	39.9%	100.0%	51.1%	1.7%	-6.2%	2.0M	-33.1M	-320.0K	0.78	24.80	22,696	17,725	103,697	36,645
2011-03-09	$15.56	$15.00	46.2%	12.9%	43.5%	45.5%	44.6%	0.3%	-2.5%	3.2M	-55.0M	-344.8K	0.46	18.73	7,578	3,499	111,458	46,512
2011-03-10	$15.67	$15.00	45.2%	13.0%	43.5%	43.6%	45.1%	-0.6%	-2.8%	3.5M	-58.7M	-340.5K	0.69	17.21	15,060	10,387	110,641	48,007
2011-03-11	$15.99	$15.00	49.3%	14.1%	31.0%	51.3%	49.2%	0.1%	-5.4%	3.8M	-74.7M	-347.9K	0.11	17.04	15,961	1,795	113,927	51,025
2011-03-14	$15.41	$15.00	51.2%	14.7%	33.4%	55.0%	51.5%	-0.6%	-8.7%	3.5M	-51.6M	-338.0K	0.14	22.05	13,504	1,920	118,194	45,911
2011-03-15	$15.86	$15.00	51.6%	14.8%	35.1%	55.8%	51.8%	-1.7%	-3.9%	4.1M	-69.8M	-353.9K	0.27	27.25	2,566	682	124,239	47,438
2011-03-16	$15.42	$15.00	49.1%	14.1%	35.9%	50.9%	46.9%	3.4%	-3.9%	3.8M	-49.1M	-332.3K	0.19	28.74	4,011	762	124,365	47,747
2011-03-17	$15.14	$15.00	49.3%	14.1%	36.0%	51.3%	47.8%	3.5%	-3.4%	3.0M	-34.8M	-317.4K	0.30	24.05	3,321	1,005	125,844	47,763
2011-03-18	$14.98	$15.00	43.7%	12.5%	36.1%	40.7%	44.3%	2.2%	-0.7%	5.7M	-20.7M	-304.1K	0.82	22.18	5,000	4,085	126,024	48,310
2011-03-21	$15.14	$15.00	40.6%	11.6%	36.3%	34.7%	42.2%	-2.9%	0.3%	1.2M	-23.6M	-303.6K	0.18	17.02	3,301	606	79,059	35,920
2011-03-22	$15.32	$15.00	42.4%	12.2%	35.4%	38.1%	42.8%	-2.6%	-4.0%	1.4M	-29.0M	-309.2K	0.01	16.33	9,830	146	80,356	35,924
2011-03-23	$15.45	$15.00	43.5%	12.5%	35.2%	40.4%	43.7%	-0.6%	-4.3%	1.7M	-34.2M	-318.2K	0.53	22.48	1,778	937	86,987	36,060
2011-03-24	$15.57	$15.00	38.7%	11.1%	35.3%	31.2%	39.9%	-3.6%	0.8%	2.0M	-40.0M	-323.5K	0.27	21.91	1,937	516	87,095	36,404
2011-03-25	$15.50	$15.00	37.4%	10.7%	35.1%	28.6%	38.9%	1.1%	2.9%	2.0M	-39.2M	-319.8K	0.18	20.31	271	50	88,061	36,281
2011-03-28	$15.30	$15.00	40.3%	11.6%	35.5%	34.2%	41.0%	0.2%	-0.1%	1.9M	-34.0M	-310.4K	1.50	21.54	1,013	1,517	88,178	36,322
2011-03-29	$15.58	$15.00	39.4%	11.3%	35.1%	32.4%	39.9%	0.7%	-0.7%	2.2M	-41.1M	-311.7K	2.02	19.13	449	905	88,434	35,844
2011-03-30	$16.14	$15.00	37.7%	10.8%	36.4%	29.3%	37.4%	-1.2%	-1.2%	2.7M	-56.5M	-318.6K	0.11	29.02	6,034	684	88,534	36,389
2011-03-31	$15.89	$15.00	37.4%	10.7%	36.8%	28.6%	39.1%	0.0%	-0.4%	2.7M	-49.8M	-321.2K	0.24	17.90	527	128	91,390	36,425