AEO Options History — November 2011

In November 2011, AEO traded between $12.89 and $14.12. ATM implied volatility averaged 47.1%, placing in the 42.2% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 11.9% (HV 20d: 35.2%). Max pain ranged from $13.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.16.

Notable Days

  • 2011-11-29: Highest Volume — 7,498 contracts
  • 2011-11-30: Largest IV drop — 31.6% change
  • 2011-11-29: Highest IV Rank — 63.0%
  • 2011-11-29: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.59$12.89$14.12$13.00$13.91
Max Pain$14.10$13.00$15.00$13.00$14.00
ATM IV47.1%39.1%57.1%47.8%39.1%
Expected Move13.6%11.2%16.4%13.7%11.2%
HV 20d35.2%26.2%39.9%26.2%39.8%
HV 60d41.9%37.4%45.8%44.6%38.0%
IV Rank42.2%25.4%63.0%43.5%25.4%
IV Percentile71.0%35.7%95.6%72.6%35.7%
Term Structure-2.8%-8.0%0.1%-1.4%-0.3%
VWIV47.4%38.7%57.3%49.0%38.7%
Skew 25d4.3%-1.2%8.1%0.4%6.1%
Skew 10d6.1%-14.8%22.5%-13.5%0.5%
Call IV 25d46.3%35.5%53.8%50.2%35.5%
Put IV 25d50.6%41.6%61.9%50.6%41.6%
Bid-Ask Spread %15.088.9221.9819.5721.12
Gamma HHI0.210.170.310.170.21
Net GEX1.6M379.5K2.8M1.3M870.4K
Net DEX-37.1M-62.5M-7.2M-24.5M-32.0M
Net VEX-380.6K-420.3K-346.7K-403.3K-346.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.065.430.430.28
Total Volume3,641.5718937,4981,8326,814
Total OI184,872.476149,597202,958193,882162,454

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$13.00$13.0047.8%13.7%26.2%43.5%49.0%0.4%-1.4%1.3M-24.5M-403.3K0.4319.571,277555123,95269,930
2011-11-02$13.16$13.0048.4%13.9%26.4%44.9%47.4%0.9%-4.3%1.5M-29.3M-402.9K1.5120.801,2121,828124,38770,100
2011-11-03$14.03$13.0044.8%12.8%33.7%37.3%45.1%-1.2%-1.7%2.1M-60.8M-419.5K0.2018.555,3701,089124,62370,711
2011-11-04$14.02$14.0042.9%12.8%33.3%33.5%43.6%3.3%-1.6%2.2M-59.2M-420.3K0.8818.991,9931,761125,45370,650
2011-11-07$14.02$14.0043.1%12.7%33.0%33.8%44.4%4.6%-2.1%2.3M-59.5M-411.5K0.9511.03775738125,66171,711
2011-11-08$14.12$15.0042.0%12.8%32.9%31.5%43.8%6.6%-3.5%2.4M-62.5M-405.7K0.9310.84462431125,86672,316
2011-11-09$13.60$15.0044.0%13.4%36.0%35.7%46.1%4.7%-1.3%2.0M-41.1M-397.7K1.9012.141,5182,881125,80972,685
2011-11-10$13.47$14.0047.8%13.7%36.1%43.6%43.5%6.7%-3.6%2.0M-35.8M-389.6K1.7313.215961,034126,16473,952
2011-11-11$13.76$15.0044.0%12.6%36.7%35.6%43.4%4.5%-2.4%2.3M-47.5M-395.0K0.0913.462,064184126,25474,752
2011-11-14$13.71$14.0045.1%12.9%36.3%37.9%47.5%4.9%-1.0%2.4M-44.2M-383.5K0.1313.382,077270126,68274,866
2011-11-15$13.64$15.0044.0%12.6%36.0%35.7%44.5%4.4%0.1%2.4M-42.3M-375.9K0.0615.714,711266126,34075,005
2011-11-16$13.97$14.0045.9%13.2%36.3%39.7%44.9%4.1%-3.2%2.8M-56.3M-378.3K0.3714.024,8841,812126,04775,087
2011-11-17$13.74$15.0048.1%13.8%37.2%44.3%48.2%3.3%-1.3%2.6M-45.7M-374.7K0.8212.351,085887127,29175,082
2011-11-18$13.60$14.0047.7%13.7%36.6%43.4%47.7%5.3%-1.7%1.6M-38.8M-369.0K1.3914.091,1001,533127,64475,314
2011-11-21$13.54$14.0049.1%14.1%35.6%46.4%49.4%3.2%-2.3%661.7K-22.3M-359.2K0.7512.4294270288,62860,969
2011-11-22$13.21$14.0050.5%14.5%36.4%49.4%49.7%4.1%-4.0%568.4K-15.9M-348.3K5.4321.981,0345,61589,21360,973
2011-11-23$12.93$14.0052.5%15.1%37.1%53.5%54.8%6.2%-6.0%379.5K-7.2M-349.4K0.3214.084,3761,41889,77466,317
2011-11-25$12.89$14.0053.8%15.4%35.3%56.2%55.7%5.5%-6.4%453.4K-8.8M-349.1K4.8413.803491,69092,81866,869
2011-11-28$13.55$14.0051.3%14.7%39.9%51.0%51.8%5.5%-3.4%704.9K-24.8M-358.2K0.568.921,05059292,85466,659
2011-11-29$13.43$14.0057.1%16.4%38.2%63.0%57.3%8.1%-8.0%664.7K-21.6M-355.9K0.7016.214,4203,07893,45267,008
2011-11-30$13.91$14.0039.1%11.2%39.8%25.4%38.7%6.1%-0.3%870.4K-32.0M-346.7K0.2821.125,3371,47793,17369,281