AEO Options History — July 2011

In July 2011, AEO traded between $12.91 and $14.08. ATM implied volatility averaged 36.4%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 7.9% (HV 20d: 28.5%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.26.

Notable Days

  • 2011-07-07: Highest Volume — 96,919 contracts
  • 2011-07-25: Largest IV spike — 14.4% change
  • 2011-07-25: Highest IV Rank — 31.1%
  • 2011-07-25: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.56$12.91$14.08$12.99$13.14
Max Pain$12.70$12.00$13.00$13.00$13.00
ATM IV36.4%26.9%41.8%26.9%40.8%
Expected Move10.5%7.7%12.0%7.7%11.7%
HV 20d28.5%20.8%32.4%20.8%32.4%
HV 60d31.4%28.8%32.7%28.8%32.6%
IV Rank19.7%0.0%31.1%0.0%28.9%
IV Percentile28.8%0.0%66.7%0.0%57.1%
Term Structure3.9%1.5%6.1%6.1%4.6%
VWIV37.1%26.9%43.1%26.9%39.8%
Skew 25d1.7%-6.3%10.9%10.9%3.2%
Skew 10d-0.7%-19.0%15.4%15.4%-9.0%
Call IV 25d36.3%21.7%43.3%21.7%39.5%
Put IV 25d38.1%32.5%42.7%32.5%42.7%
Bid-Ask Spread %14.9210.7824.2511.7717.57
Gamma HHI0.280.160.350.170.29
Net GEX2.4M529.9K3.1M578.9K2.7M
Net DEX-65.5M-98.4M-5.0M-6.4M-67.0M
Net VEX-588.0K-747.3K-185.9K-187.9K-677.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.040.660.590.22
Total Volume10,993.6577396,9191,3691,412
Total OI200,995.75100,697240,766100,697240,766

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$12.99$13.0026.9%7.7%20.8%0.0%26.9%10.9%6.1%578.9K-6.4M-187.9K0.5911.7786350668,49332,204
2011-07-05$12.91$12.0029.4%9.7%21.0%5.1%36.3%3.6%3.6%529.9K-5.0M-185.9K0.0612.854,98030368,89832,630
2011-07-06$13.13$12.0032.8%10.0%21.7%12.2%34.0%3.5%2.6%761.9K-12.3M-197.0K0.6217.262,5281,56071,31432,779
2011-07-07$13.95$12.0035.4%10.0%29.9%17.7%34.9%1.8%1.5%1.1M-29.0M-212.3K0.0621.6691,6305,28972,17033,535
2011-07-08$13.88$12.0034.3%10.1%29.7%15.5%36.3%1.9%3.1%2.7M-71.2M-532.1K0.2015.5727,7635,608153,57937,120
2011-07-11$13.62$12.0038.3%10.7%30.0%23.8%40.3%2.0%3.0%2.9M-73.8M-671.6K0.0411.7616,554665179,05941,874
2011-07-12$13.69$12.0037.1%10.5%30.0%21.2%37.5%1.5%2.8%3.1M-79.6M-692.8K0.3311.017,1612,378184,37842,176
2011-07-13$13.73$13.0035.3%10.5%29.9%17.4%37.4%2.2%3.2%3.0M-79.4M-691.6K0.2611.092,221572183,40242,734
2011-07-14$13.55$13.0036.4%10.4%29.3%19.7%37.6%2.1%4.8%2.7M-73.1M-676.6K0.5613.581,045589184,44243,035
2011-07-15$13.68$13.0036.0%10.3%29.2%18.9%35.9%2.3%4.6%2.9M-77.1M-688.6K0.2111.65638135184,46143,441
2011-07-18$13.57$13.0037.2%10.7%29.6%21.4%37.8%0.8%3.7%2.5M-72.2M-679.4K0.1012.772,428239176,36737,369
2011-07-19$13.69$13.0035.9%10.3%29.4%18.8%35.9%-0.7%3.9%2.6M-76.3M-683.2K0.1110.784,084443177,58437,548
2011-07-20$13.76$13.0035.1%10.1%29.0%17.0%33.8%1.1%5.3%2.7M-80.0M-692.5K0.4111.44772317180,97437,605
2011-07-21$14.08$13.0036.5%10.5%28.7%20.0%36.2%1.9%5.2%2.8M-92.9M-716.4K0.1113.6714,3371,604181,18137,677
2011-07-22$14.00$13.0036.5%10.5%28.9%20.1%36.5%0.4%5.4%3.1M-98.4M-747.3K0.6613.243,2312,141192,64438,754
2011-07-25$13.77$13.0041.8%12.0%28.2%31.1%43.1%-6.3%4.1%2.9M-90.2M-733.5K0.1216.265,554647194,98240,120
2011-07-26$13.79$13.0040.9%11.7%27.9%29.3%41.5%-1.0%3.8%3.0M-91.4M-734.4K0.1516.452,352349196,38940,546
2011-07-27$13.24$13.0040.3%11.6%31.8%27.9%38.9%3.4%3.2%2.7M-70.2M-693.3K0.3023.803,9621,184197,12940,756
2011-07-28$13.05$13.0040.2%11.5%32.3%27.7%40.5%-0.2%3.7%2.6M-63.7M-667.7K0.1224.251,638191198,14941,651
2011-07-29$13.14$13.0040.8%11.7%32.4%28.9%39.8%3.2%4.6%2.7M-67.0M-677.0K0.2217.571,160252199,05241,714