AEO Options History — June 2011

In June 2011, AEO traded between $12.49 and $12.95. ATM implied volatility averaged 34.9%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 4.2% (HV 20d: 30.7%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.82.

Notable Days

  • 2011-06-21: Highest Volume — 5,810 contracts
  • 2011-06-28: Largest IV drop — 10.2% change
  • 2011-06-16: Highest IV Rank — 17.2%
  • 2011-06-07: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.72$12.49$12.95$12.90$12.75
Max Pain$13.09$13.00$14.00$14.00$13.00
ATM IV34.9%29.8%37.5%35.7%29.9%
Expected Move10.1%8.6%10.8%10.2%8.6%
HV 20d30.7%19.7%41.3%41.3%19.7%
HV 60d29.8%28.4%33.9%33.9%28.4%
IV Rank11.5%0.2%17.2%13.2%0.4%
IV Percentile12.9%0.4%26.2%12.7%0.8%
Term Structure2.3%-0.3%5.9%2.7%5.1%
VWIV35.6%29.7%40.7%35.7%29.7%
Skew 25d1.8%-3.8%8.5%-1.5%3.1%
Skew 10d1.3%-17.6%12.7%-0.0%6.0%
Call IV 25d34.3%25.1%38.7%35.4%25.6%
Put IV 25d36.0%28.7%40.4%33.9%28.7%
Bid-Ask Spread %14.658.6723.9116.779.58
Gamma HHI0.160.150.180.150.16
Net GEX126.2K-64.6K468.5K60.6K468.5K
Net DEX9.3M-2.9M19.9M12.8M-2.9M
Net VEX-185.6K-201.2K-175.7K-201.2K-185.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.075.110.420.50
Total Volume2,462.3645015,8101,3961,451
Total OI107,879.54586,726121,615112,78999,874

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$12.90$14.0035.7%10.2%41.3%13.2%35.7%-1.5%2.7%60.6K12.8M-201.2K0.4216.7798541172,18540,604
2011-06-02$12.81$14.0035.3%10.1%40.5%12.3%35.6%-1.7%2.4%15.6K14.6M-192.0K0.5119.321,58279972,08640,813
2011-06-03$12.80$13.0035.1%10.8%36.0%11.9%39.0%2.1%-0.3%39.7K14.0M-194.0K1.3516.6754874173,07040,770
2011-06-06$12.80$13.0036.5%10.8%36.0%15.1%38.3%1.4%0.8%-11.0K14.7M-189.7K1.4618.231,0351,50972,96141,002
2011-06-07$12.75$13.0036.3%10.8%36.0%14.6%37.8%1.3%0.4%-21.7K15.5M-186.3K1.1913.4344452973,42041,097
2011-06-08$12.66$13.0036.5%10.7%35.9%15.1%37.9%1.8%0.7%-48.5K16.4M-185.0K0.7012.053,0162,10373,57541,166
2011-06-09$12.88$13.0036.1%10.3%36.6%14.1%37.5%1.6%2.6%-64.6K14.8M-195.0K0.318.672,92290875,50442,984
2011-06-10$12.68$13.0035.9%10.3%35.1%13.7%36.1%0.6%1.2%-46.5K16.8M-191.1K0.2013.002,21645177,01743,501
2011-06-13$12.68$13.0036.6%10.5%35.0%15.2%36.3%0.6%1.7%-34.1K16.9M-185.3K0.9012.5049344277,20443,592
2011-06-14$12.80$13.0035.3%10.1%35.5%12.4%35.3%2.4%2.0%-21.0K15.2M-185.3K0.7013.5559041177,44443,569
2011-06-15$12.55$13.0036.5%10.5%35.7%15.1%37.7%2.2%1.1%-37.1K19.9M-178.7K0.9723.911,0321,00477,75643,728
2011-06-16$12.49$13.0037.5%10.7%35.3%17.2%40.7%3.0%2.4%62.1K19.6M-176.3K5.1119.794382,23677,67842,873
2011-06-17$12.55$13.0036.9%10.6%35.6%16.0%37.2%1.7%0.3%17.7K19.0M-177.3K0.7111.121,20585077,85843,757
2011-06-20$12.73$13.0034.7%9.9%24.8%11.1%35.4%3.0%2.8%163.7K1.8M-179.5K0.7311.8094569456,57530,151
2011-06-21$12.95$13.0033.0%9.5%25.8%7.3%32.5%3.9%2.9%212.1K-538.8K-183.7K0.0713.025,42138957,17930,469
2011-06-22$12.73$13.0033.4%9.6%25.8%8.2%33.6%-1.5%2.0%269.3K-293.7K-182.4K1.2312.491,1671,43160,52830,714
2011-06-23$12.88$13.0034.3%9.8%20.3%10.1%34.7%0.8%2.7%321.3K-2.9M-187.8K0.1421.123,45549361,42631,458
2011-06-24$12.59$13.0034.3%9.8%21.6%10.1%34.2%-3.8%2.7%311.1K563.6K-183.3K0.1510.484346763,96231,435
2011-06-27$12.50$13.0036.0%10.3%21.7%13.9%34.5%1.6%2.7%282.7K1.7M-175.7K0.2213.233,16270564,17531,452
2011-06-28$12.72$13.0032.3%9.3%22.0%5.7%31.9%8.5%5.9%391.8K-1.5M-184.6K0.0917.493,68733465,92831,927
2011-06-29$12.72$13.0029.8%8.6%19.9%0.2%30.7%8.3%5.7%444.1K-2.4M-184.5K0.3614.151,05438367,26331,620
2011-06-30$12.75$13.0029.9%8.6%19.7%0.4%29.7%3.1%5.1%468.5K-2.9M-185.8K0.509.5896848367,93031,944