AEO Options History — May 2011

In May 2011, AEO traded between $13.02 and $15.71. ATM implied volatility averaged 37.6%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 7.4% (HV 20d: 30.3%). Max pain ranged from $14.00 to $15.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.38.

Notable Days

  • 2011-05-24: Highest Volume — 22,141 contracts
  • 2011-05-25: Largest IV drop — 33.0% change
  • 2011-05-24: Highest IV Rank — 55.2%
  • 2011-05-24: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.34$13.02$15.71$15.46$13.26
Max Pain$15.05$14.00$15.50$15.50$14.00
ATM IV37.6%29.7%54.6%31.9%36.7%
Expected Move11.2%8.9%15.7%9.1%10.5%
HV 20d30.3%17.6%41.0%18.6%41.0%
HV 60d31.2%28.6%34.2%31.7%33.5%
IV Rank17.2%0.0%55.2%3.6%15.4%
IV Percentile28.3%0.0%98.0%1.2%16.7%
Term Structure-1.2%-9.5%6.7%4.6%2.8%
VWIV39.2%30.6%53.9%31.6%37.1%
Skew 25d0.3%-7.2%3.6%0.5%0.5%
Skew 10d-0.3%-13.1%14.1%2.6%14.1%
Call IV 25d39.4%31.4%53.7%32.4%37.7%
Put IV 25d39.7%25.9%57.3%32.9%38.2%
Bid-Ask Spread %16.1811.6823.8411.8213.69
Gamma HHI0.150.100.340.210.14
Net GEX401.6K-1.1M2.0M1.7M193.0K
Net DEX-1.1M-29.3M17.9M-23.9M7.7M
Net VEX-227.5K-272.4K-190.2K-258.1K-212.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.236.170.270.93
Total Volume6,781.4761,18522,1411,8132,703
Total OI119,204.71487,108139,605113,813112,430

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$15.46$15.5031.9%9.1%18.6%3.6%31.6%0.5%4.6%1.7M-23.9M-258.1K0.2711.821,42738678,55735,256
2011-05-03$15.51$15.5031.8%9.1%18.6%3.4%31.9%-0.1%4.5%1.8M-25.6M-258.1K0.3815.9086132478,79035,390
2011-05-04$15.71$15.5031.0%8.9%17.6%1.7%30.6%0.9%4.0%2.0M-29.3M-260.6K0.9013.081,2271,10978,73535,393
2011-05-05$14.79$15.5031.9%9.1%27.4%3.6%30.7%-7.2%6.7%898.8K-8.4M-231.2K2.5219.643,8099,61178,98036,266
2011-05-06$14.58$15.0031.6%10.9%27.6%3.0%38.3%2.4%-1.5%376.4K314.8K-237.4K1.5111.681,3602,05579,52842,911
2011-05-09$14.57$15.0031.9%11.1%27.6%3.7%38.9%1.0%-3.2%278.8K1.3M-232.1K0.4312.391,16050179,86443,536
2011-05-10$14.55$15.0029.7%10.9%27.6%0.0%39.4%2.1%-3.2%180.2K2.4M-229.5K0.9915.345,0554,98480,21443,862
2011-05-11$14.65$15.0033.1%11.4%27.9%7.6%39.9%0.2%-3.8%249.4K788.7K-246.5K1.3014.455,2296,80484,19447,833
2011-05-12$14.98$15.0039.4%11.3%29.1%21.5%39.4%0.6%-3.7%727.3K-6.0M-272.4K1.3420.451,7692,37287,80651,799
2011-05-13$14.69$15.0039.8%11.4%29.5%22.4%40.4%0.6%-2.9%330.4K-657.4K-243.8K0.6714.7295864187,30847,635
2011-05-16$14.60$15.0041.3%11.8%27.6%25.7%41.2%1.2%-3.7%191.0K1.7M-230.4K0.2315.671,24528687,53246,508
2011-05-17$14.56$15.0041.7%12.0%27.5%26.6%41.5%1.3%-4.9%47.7K3.0M-225.0K3.5015.663471,21487,84446,350
2011-05-18$14.67$15.0040.6%11.6%27.8%24.2%40.8%1.0%-3.9%110.6K275.8K-226.8K0.8819.881,03790888,00846,148
2011-05-19$14.62$15.0040.3%11.6%26.9%23.5%40.3%0.5%-3.9%-8.6K1.3M-222.2K0.2719.691,42839087,44945,748
2011-05-20$13.52$15.0046.0%13.2%37.4%36.2%46.0%0.6%-5.9%-1.1M17.9M-194.5K3.0116.064,38513,21687,41545,495
2011-05-23$13.52$15.0047.9%13.7%37.5%40.3%48.6%1.5%-5.7%48.8K4.7M-197.5K1.7217.263,9336,76954,87132,237
2011-05-24$13.66$15.0054.6%15.7%37.9%55.2%53.9%3.6%-9.5%157.0K945.7K-205.0K0.3816.1416,0436,09856,27232,046
2011-05-25$13.02$15.0036.6%10.5%40.1%15.3%36.8%-0.9%3.1%18.6K9.9M-190.2K1.3023.844,3535,68066,35635,478
2011-05-26$13.10$15.0036.2%10.4%40.2%14.4%37.7%-1.5%1.1%128.7K8.9M-195.4K6.1715.131,1427,05167,96535,524
2011-05-27$13.07$15.0036.1%10.4%40.1%14.2%37.9%-2.6%3.1%77.2K9.9M-207.8K0.2717.229,8552,68668,39839,368
2011-05-31$13.26$14.0036.7%10.5%41.0%15.4%37.1%0.5%2.8%193.0K7.7M-212.9K0.9313.691,3981,30572,01940,411