AEO Options History — April 2011

In April 2011, AEO traded between $15.56 and $16.09. ATM implied volatility averaged 36.6%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 11.4% (HV 20d: 25.3%). Max pain ranged from $14.50 to $15.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.41.

Notable Days

  • 2011-04-15: Highest Volume — 50,299 contracts
  • 2011-04-11: Largest IV spike — 18.5% change
  • 2011-04-12: Highest IV Rank — 41.1%
  • 2011-04-15: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.86$15.56$16.09$15.84$15.56
Max Pain$15.38$14.50$15.50$15.00$15.50
ATM IV36.6%30.3%43.9%35.5%30.3%
Expected Move10.1%8.7%11.1%10.2%8.7%
HV 20d25.3%18.4%36.8%36.8%18.5%
HV 60d32.0%31.7%33.7%33.7%31.8%
IV Rank17.5%0.0%41.1%24.9%0.0%
IV Percentile21.1%0.0%66.3%11.5%0.0%
Term Structure1.7%-1.4%4.7%2.2%4.6%
VWIV35.5%30.8%38.8%38.0%31.2%
Skew 25d1.4%-2.3%4.1%0.6%-0.2%
Skew 10d3.9%-11.4%16.8%16.8%-11.4%
Call IV 25d35.0%31.0%39.9%37.6%32.4%
Put IV 25d36.4%31.9%39.1%38.2%32.2%
Bid-Ask Spread %14.069.8219.4216.2914.48
Gamma HHI0.280.170.800.210.20
Net GEX3.0M1.7M12.5M2.6M1.9M
Net DEX-41.9M-55.6M-27.8M-45.8M-27.8M
Net VEX-289.6K-312.7K-265.7K-312.7K-265.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.081.930.110.23
Total Volume4,819.5536250,2999871,097
Total OI121,648.25106,872131,339126,140113,426

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-04-01$15.84$15.0035.5%10.2%36.8%24.9%38.0%0.6%2.2%2.6M-45.8M-312.7K0.1116.298929589,62236,518
2011-04-04$15.75$14.5040.4%10.5%36.8%34.4%37.3%1.4%0.4%2.5M-44.0M-307.3K0.2017.7456911590,52336,503
2011-04-05$16.08$14.5042.6%11.0%34.4%38.6%38.6%1.4%-1.4%2.8M-52.9M-307.0K0.1318.103,94650090,45636,562
2011-04-06$16.09$15.5041.1%10.7%29.8%35.8%37.5%2.6%-0.1%3.0M-55.6M-307.8K0.1215.581,77921992,16036,690
2011-04-07$16.03$15.5037.2%10.2%29.8%28.3%37.0%4.1%2.0%3.2M-53.4M-303.1K0.5111.8471836492,55436,684
2011-04-08$15.91$15.5036.9%10.6%29.1%27.6%36.8%3.5%-0.3%3.2M-48.7M-298.7K0.4117.741,40257392,45136,793
2011-04-11$15.79$15.5043.7%11.0%25.8%40.7%35.8%2.4%-0.6%3.1M-44.3M-288.6K1.9315.922,3594,55492,89437,149
2011-04-12$15.74$15.5043.9%10.8%23.7%41.1%37.7%2.8%-0.1%3.0M-40.5M-287.5K0.3413.6882928592,43638,903
2011-04-13$15.86$15.5040.1%10.6%21.5%19.8%37.5%2.9%0.2%3.6M-44.6M-283.6K0.3413.1561621192,04938,640
2011-04-14$15.64$15.5035.9%10.3%21.0%10.1%35.3%3.2%1.1%3.4M-36.4M-273.8K0.5514.0636420292,30038,668
2011-04-15$16.03$15.5038.8%11.1%22.0%16.8%38.8%-2.3%-1.4%12.5M-52.5M-273.8K0.0819.4246,6763,62392,35638,668
2011-04-18$15.87$15.5036.3%10.4%22.3%10.9%35.7%1.4%2.6%1.7M-36.3M-287.2K0.2212.716,7881,51973,45233,420
2011-04-19$15.84$15.5034.3%9.8%22.0%6.4%36.0%-0.7%3.3%1.9M-37.6M-292.1K0.629.822,5541,57976,72933,718
2011-04-20$16.09$15.5032.4%9.3%22.5%1.9%33.6%0.9%4.6%2.1M-43.1M-298.9K0.1411.622,80940478,25134,980
2011-04-21$16.01$15.5032.7%9.4%22.5%2.6%33.0%1.1%3.9%2.1M-40.8M-295.6K0.3012.7362319078,51435,110
2011-04-25$15.91$15.5034.4%9.9%22.6%6.5%34.4%0.8%1.9%2.1M-38.1M-287.0K1.1110.7358865278,61935,156
2011-04-26$15.61$15.5032.2%9.2%23.2%1.4%32.7%-1.5%4.7%1.9M-30.5M-275.0K0.4610.723,5901,64978,81934,729
2011-04-27$15.74$15.5032.3%9.2%22.5%1.6%31.9%1.7%2.8%1.9M-31.6M-274.1K0.2310.6789120577,73735,325
2011-04-28$15.82$15.5031.6%9.1%18.4%0.0%30.8%1.4%3.5%2.1M-33.6M-272.4K0.1614.153125078,20835,193
2011-04-29$15.56$15.5030.3%8.7%18.5%0.0%31.2%-0.2%4.6%1.9M-27.8M-265.7K0.2314.4889320478,23335,193