AEO Options History — October 2011

In October 2011, AEO traded between $11.32 and $13.60. ATM implied volatility averaged 47.0%, placing in the 41.9% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 7.1% (HV 20d: 39.9%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.24.

Notable Days

  • 2011-10-26: Highest Volume — 53,905 contracts
  • 2011-10-24: Largest IV spike — 18.7% change
  • 2011-10-03: Highest IV Rank — 69.2%
  • 2011-10-03: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.63$11.32$13.60$11.32$13.13
Max Pain$12.52$12.00$13.00$12.00$13.00
ATM IV47.0%41.4%60.0%60.0%47.0%
Expected Move13.6%11.9%17.2%17.2%13.5%
HV 20d39.9%30.4%47.0%44.1%30.4%
HV 60d48.7%46.7%49.3%47.7%47.2%
IV Rank41.9%30.3%69.2%69.2%42.0%
IV Percentile68.9%49.6%96.4%96.4%68.3%
Term Structure-1.5%-4.5%4.6%0.4%-3.5%
VWIV47.4%42.7%58.3%56.9%46.7%
Skew 25d2.7%-1.6%5.7%5.1%-1.6%
Skew 10d6.0%-8.2%23.6%6.3%-8.2%
Call IV 25d46.8%39.4%58.2%58.2%46.6%
Put IV 25d49.5%44.4%63.2%63.2%45.1%
Bid-Ask Spread %14.899.6527.3114.7119.64
Gamma HHI0.250.170.420.230.17
Net GEX2.6M1.4M7.0M1.7M1.4M
Net DEX-44.6M-64.2M-24.5M-24.5M-28.9M
Net VEX-489.6K-540.9K-404.7K-429.8K-404.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.1010.500.350.22
Total Volume9,309.95278053,9055,846780
Total OI232,113.19193,658250,381223,690193,658

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$11.32$12.0060.0%17.2%44.1%69.2%56.9%5.1%0.4%1.7M-24.5M-429.8K0.3514.714,3401,506181,34442,346
2011-10-04$11.91$12.0055.3%15.9%47.0%59.4%58.3%5.7%0.2%2.3M-42.0M-476.7K1.5918.731,2702,023184,49541,982
2011-10-05$12.01$12.0053.2%15.3%44.3%54.9%46.4%5.0%1.9%2.3M-42.4M-472.6K1.1817.27656775180,74342,152
2011-10-06$12.16$12.0046.7%13.4%44.3%41.3%45.2%4.3%4.6%2.5M-44.1M-473.1K10.5013.582,24323,546180,79642,429
2011-10-07$12.05$12.0047.5%14.4%43.8%42.9%50.4%1.7%-1.5%2.1M-32.2M-511.8K0.4913.10915446181,55960,614
2011-10-10$12.31$12.0047.6%14.1%44.1%43.1%49.5%2.9%-2.5%2.3M-38.0M-510.3K0.5115.441,479749181,67660,655
2011-10-11$12.49$12.0047.5%13.9%44.2%43.0%47.3%3.0%-2.4%2.6M-44.5M-526.3K0.5417.231,9431,042181,90060,426
2011-10-12$12.38$12.0043.8%13.6%44.5%35.3%48.4%3.3%-2.2%2.6M-37.8M-501.9K1.9414.941,7863,460182,77560,416
2011-10-13$12.58$12.0045.0%12.9%41.2%37.8%45.3%5.3%-3.0%2.7M-45.2M-522.9K0.8311.712,5472,119183,39063,262
2011-10-14$12.62$13.0043.4%12.4%41.1%34.4%44.2%3.9%-1.7%2.9M-45.4M-508.5K1.039.65610631184,19463,430
2011-10-17$12.47$12.0046.0%13.2%41.4%39.9%46.0%3.4%-1.4%2.8M-39.7M-491.0K0.109.683,732373184,16263,252
2011-10-18$12.72$13.0043.0%12.3%41.4%33.6%43.4%2.3%-1.2%3.2M-51.8M-513.1K0.4211.781,305542186,18963,310
2011-10-19$12.60$13.0044.0%12.6%40.8%35.7%44.5%2.3%-1.5%3.0M-45.3M-491.3K0.4610.621,101504186,46763,507
2011-10-20$12.68$13.0044.3%12.7%40.8%36.2%43.6%2.4%-2.3%2.8M-50.4M-506.9K2.2813.40392892186,99363,388
2011-10-21$13.00$13.0042.8%12.3%41.3%33.1%43.6%5.0%-2.8%7.0M-64.2M-510.6K0.4410.492,3941,057186,94262,784
2011-10-24$13.34$13.0050.7%14.5%33.6%49.8%51.6%-0.4%-4.5%2.7M-63.7M-540.9K0.1515.2236,5805,639169,80557,571
2011-10-25$13.15$13.0046.5%13.3%33.5%41.0%47.1%0.9%0.1%2.6M-55.1M-526.3K0.1212.9022,9382,834171,88359,972
2011-10-26$13.20$13.0048.1%13.8%32.1%44.3%49.1%-1.0%-3.2%2.3M-51.6M-498.9K0.2317.5943,84410,061160,06661,290
2011-10-27$13.60$13.0042.8%12.3%33.3%33.1%44.6%0.1%-2.9%1.9M-47.6M-442.7K0.2717.693,565979129,38669,422
2011-10-28$13.57$13.0041.4%11.9%30.7%30.3%42.7%3.6%-1.9%1.8M-42.5M-421.4K2.3927.315631,348124,52769,219
2011-10-31$13.13$13.0047.0%13.5%30.4%42.0%46.7%-1.6%-3.5%1.4M-28.9M-404.7K0.2219.64637143123,67969,979