AEO Options History — September 2011

In September 2011, AEO traded between $10.40 and $12.33. ATM implied volatility averaged 49.6%, placing in the 47.4% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 2.2% (HV 20d: 51.8%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.05.

Notable Days

  • 2011-09-15: Highest Volume — 13,070 contracts
  • 2011-09-14: Largest IV drop — 13.9% change
  • 2011-09-30: Highest IV Rank — 56.8%
  • 2011-09-30: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.25$10.40$12.33$10.90$11.72
Max Pain$10.95$10.00$12.00$11.00$12.00
ATM IV49.6%43.7%54.1%44.9%54.1%
Expected Move14.2%12.9%15.5%12.9%15.5%
HV 20d51.8%38.1%61.3%59.8%45.2%
HV 60d46.0%43.3%48.8%43.3%47.2%
IV Rank47.4%35.0%56.8%37.6%56.8%
IV Percentile82.8%67.1%92.9%73.0%92.9%
Term Structure1.2%-0.8%3.6%-0.5%1.8%
VWIV49.3%43.0%55.2%43.0%53.4%
Skew 25d4.0%-0.3%7.1%2.0%4.7%
Skew 10d14.1%1.2%21.7%3.0%1.2%
Call IV 25d48.2%42.0%53.1%43.1%53.1%
Put IV 25d52.2%43.0%57.8%45.2%57.8%
Bid-Ask Spread %16.7811.1622.6217.8814.77
Gamma HHI0.220.190.250.190.23
Net GEX1.5M731.3K2.6M1.2M2.0M
Net DEX-19.7M-56.3M3.5M-5.9M-36.1M
Net VEX-399.7K-525.2K-303.2K-352.0K-464.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.027.210.070.48
Total Volume4,494.38158613,0706,0673,019
Total OI229,739.143213,047247,267234,645223,791

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$10.90$11.0044.9%12.9%59.8%37.6%43.0%2.0%-0.5%1.2M-5.9M-352.0K0.0717.885,693374188,38546,260
2011-09-02$10.44$11.0048.6%13.9%61.3%45.2%47.9%1.0%0.5%810.6K2.8M-313.6K0.6411.161,6411,043189,96146,062
2011-09-06$10.40$10.0052.9%14.7%55.9%54.3%50.8%5.9%0.4%731.3K3.5M-303.2K0.3717.591,372507188,02246,484
2011-09-07$10.92$10.0049.9%13.3%57.5%48.0%45.4%4.9%0.6%1.2M-6.1M-352.1K0.2517.961,731436188,54146,459
2011-09-08$10.90$10.0047.0%13.2%57.3%41.9%46.7%5.1%0.9%1.1M-4.8M-345.2K2.6419.927131,880189,02046,355
2011-09-09$10.70$11.0047.4%14.2%54.7%42.9%50.8%5.9%0.1%954.8K-2.7M-345.5K0.4717.164,0441,921189,18747,818
2011-09-12$10.76$11.0053.5%14.5%54.8%55.5%50.1%7.1%0.5%1.0M-3.6M-335.9K0.6120.21364222192,69448,928
2011-09-13$10.88$11.0050.7%14.2%54.5%49.6%49.4%5.8%0.4%1.1M-6.4M-358.5K2.2313.69435968192,92548,935
2011-09-14$10.94$11.0043.7%13.7%54.3%35.0%47.7%4.8%1.3%1.1M-6.7M-352.2K0.0919.363,271294192,96748,463
2011-09-15$11.53$11.0048.0%13.8%57.8%44.1%47.7%2.6%-0.5%1.7M-23.8M-426.3K0.0313.9912,691379195,19448,203
2011-09-16$11.46$11.0047.1%13.5%56.3%42.1%47.9%1.8%1.9%1.6M-22.5M-401.3K0.3013.314,9001,447198,83748,430
2011-09-19$11.42$11.0047.6%13.7%55.0%43.2%49.5%-0.3%2.9%1.7M-22.4M-404.9K0.0212.939,206140175,48537,562
2011-09-20$11.31$11.0047.2%13.5%54.6%42.4%47.2%2.3%2.9%1.6M-20.3M-394.3K0.1913.923,537686177,44437,683
2011-09-21$11.11$11.0046.9%13.5%53.3%41.8%47.4%1.2%3.6%1.6M-17.2M-392.3K0.2616.57507131180,55638,151
2011-09-22$11.10$11.0051.3%14.7%41.5%50.9%51.4%3.9%3.1%1.6M-21.7M-403.8K0.7022.622,1221,485180,59638,190
2011-09-23$11.17$11.0050.9%14.6%38.1%50.0%50.4%3.7%1.9%1.6M-22.3M-416.8K0.1914.111,122215181,12139,370
2011-09-26$12.04$11.0052.7%15.1%45.4%53.9%51.3%4.5%0.4%2.3M-48.6M-498.7K0.3020.178,4522,528181,62639,315
2011-09-27$12.33$11.0051.2%14.7%43.2%50.7%49.0%5.7%1.7%2.6M-56.3M-525.2K0.3317.494,1441,360183,30639,329
2011-09-28$12.06$11.0053.8%15.4%44.2%56.1%55.2%4.7%-0.8%2.3M-47.8M-504.0K7.2118.678536,148181,01739,398
2011-09-29$12.08$12.0052.8%15.1%44.0%54.0%53.4%6.7%1.4%2.3M-45.9M-503.1K4.6018.814291,972181,50340,949
2011-09-30$11.72$12.0054.1%15.5%45.2%56.8%53.4%4.7%1.8%2.0M-36.1M-464.6K0.4814.772,041978181,62042,171