AEO Options History — August 2011

In August 2011, AEO traded between $10.17 and $13.06. ATM implied volatility averaged 54.7%, placing in the 58.1% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded above realized volatility by 6.8% (HV 20d: 48.0%). Max pain ranged from $11.00 to $13.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 1.33.

Notable Days

  • 2011-08-04: Highest Volume — 30,076 contracts
  • 2011-08-08: Largest IV spike — 26.5% change
  • 2011-08-23: Highest IV Rank — 87.7%
  • 2011-08-23: Largest Expected Move — 19.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.53$10.17$13.06$13.06$11.07
Max Pain$12.30$11.00$13.00$13.00$11.00
ATM IV54.7%41.0%68.9%41.0%44.6%
Expected Move15.5%11.7%19.7%11.7%12.8%
HV 20d48.0%31.8%64.4%31.8%63.9%
HV 60d37.2%30.3%43.3%30.3%43.3%
IV Rank58.1%29.3%87.7%29.3%36.9%
IV Percentile89.8%59.1%99.6%59.1%73.0%
Term Structure-3.2%-12.3%4.8%4.8%1.8%
VWIV55.1%41.2%71.8%41.3%44.7%
Skew 25d3.2%-4.7%11.5%0.7%-1.2%
Skew 10d12.1%-21.6%39.6%10.0%-14.7%
Call IV 25d53.5%41.3%64.8%41.3%48.0%
Put IV 25d56.7%42.0%74.4%42.0%46.8%
Bid-Ask Spread %21.6411.8640.2314.4036.81
Gamma HHI0.220.180.300.300.20
Net GEX1.6M556.0K2.7M2.7M1.4M
Net DEX-20.4M-62.7M5.3M-62.7M-10.5M
Net VEX-468.6K-659.3K-306.9K-659.3K-392.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.017.790.531.59
Total Volume7,62476430,0767,1482,254
Total OI239,154.348212,296259,148241,571234,109

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-08-01$13.06$13.0041.0%11.7%31.8%29.3%41.3%0.7%4.8%2.7M-62.7M-659.3K0.5314.404,6692,479199,71341,858
2011-08-02$12.68$13.0042.6%12.2%33.5%32.7%42.6%-0.1%3.4%2.4M-48.9M-619.5K0.4221.771,328552198,94243,441
2011-08-03$12.93$13.0041.3%11.8%33.7%30.1%41.2%2.4%4.7%2.5M-57.0M-651.3K0.0118.4810,726138199,00743,697
2011-08-04$12.07$13.0049.5%14.2%33.7%47.3%47.6%2.5%1.0%2.1M-31.7M-570.0K0.0516.4528,6041,472203,63343,633
2011-08-05$11.99$13.0051.5%15.3%33.7%51.4%53.5%2.8%-2.7%2.1M-32.0M-561.8K0.5121.452,6831,364205,37244,043
2011-08-08$11.13$13.0065.2%18.1%41.2%79.9%62.4%4.0%-6.0%1.4M-12.9M-462.8K3.1327.141,6115,041201,78444,345
2011-08-09$11.50$13.0064.2%15.5%43.6%77.9%55.8%2.3%2.3%1.7M-16.6M-475.8K0.2640.234,1391,077201,83143,898
2011-08-10$11.32$13.0067.0%17.5%43.5%83.7%64.2%4.9%-5.0%1.6M-16.4M-471.2K0.8531.361,3851,184202,02143,857
2011-08-11$11.85$13.0059.4%17.0%47.7%67.8%59.1%6.1%-7.1%1.9M-28.7M-531.7K1.7620.578341,469202,50144,285
2011-08-12$11.84$13.0055.1%15.8%47.3%58.9%58.2%5.5%-5.0%2.0M-25.6M-509.0K1.1524.141,3221,522202,56244,517
2011-08-15$12.06$13.0051.9%14.9%48.2%52.3%50.9%6.3%-4.1%2.2M-28.0M-503.1K1.0016.751,0231,018202,54044,969
2011-08-16$11.81$13.0053.1%15.2%48.2%54.6%52.7%4.8%-5.8%2.0M-20.2M-483.9K0.5215.27502262202,65245,005
2011-08-17$11.76$13.0053.8%15.4%48.0%56.2%54.8%5.7%-6.5%1.9M-18.5M-466.0K1.2212.313,4614,210202,60944,796
2011-08-18$11.33$12.0062.0%17.8%47.6%73.2%71.8%10.4%-7.7%1.3M-10.1M-441.1K7.7921.881,34010,445202,92246,546
2011-08-19$10.97$12.0061.8%17.7%48.1%72.8%63.6%6.5%-9.2%556.0K-575.3K-410.3K0.5312.992,7581,450203,43955,709
2011-08-22$11.21$12.0067.3%19.3%49.6%84.5%67.2%5.0%-9.0%1.3M-16.9M-420.4K0.5311.865,0682,686167,59844,698
2011-08-23$11.62$12.0068.9%19.7%52.1%87.7%70.7%11.5%-12.3%1.6M-26.9M-464.7K0.6120.4910,9266,689170,42945,788
2011-08-24$10.60$11.0052.3%15.0%59.0%53.1%56.0%0.3%-1.7%836.9K-122.5K-343.7K4.2129.654,82420,314176,56750,024
2011-08-25$10.17$11.0055.2%15.8%60.0%59.2%58.2%-4.7%-2.6%632.6K5.3M-306.9K1.1418.142,4482,791176,30947,367
2011-08-26$10.37$11.0052.7%15.1%60.7%53.8%51.7%-0.4%-3.4%745.4K3.2M-314.8K0.9427.241,1141,049177,46645,999
2011-08-29$10.89$11.0047.3%13.6%64.4%42.7%47.8%0.3%-1.0%1.1M-3.9M-349.8K0.0319.0811,201284177,92546,010
2011-08-30$10.87$11.0051.4%14.7%64.0%51.1%51.3%-1.1%-3.1%1.3M-8.8M-368.7K1.7219.211,3392,297188,01246,122
2011-08-31$11.07$11.0044.6%12.8%63.9%36.9%44.7%-1.2%1.8%1.4M-10.5M-392.9K1.5936.818691,385188,29745,812