AEO Options History — December 2011

In December 2011, AEO traded between $14.08 and $15.31. ATM implied volatility averaged 34.4%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 4.9% (HV 20d: 29.5%). Max pain ranged from $12.00 to $14.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2011-12-16: Highest Volume — 43,653 contracts
  • 2011-12-12: Largest IV spike — 18.1% change
  • 2011-12-15: Highest IV Rank — 24.5%
  • 2011-12-15: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.74$14.08$15.31$14.08$15.29
Max Pain$13.05$12.00$14.00$14.00$13.00
ATM IV34.4%28.6%38.7%37.2%33.0%
Expected Move10.1%9.3%11.1%10.7%9.5%
HV 20d29.5%20.1%39.8%39.8%20.1%
HV 60d34.5%29.4%37.0%37.0%29.4%
IV Rank15.6%3.6%24.5%21.4%12.7%
IV Percentile16.1%0.4%37.3%31.0%8.7%
Term Structure0.0%-2.0%2.8%0.6%1.6%
VWIV36.4%31.8%48.8%37.3%33.1%
Skew 25d4.3%0.7%6.8%4.2%5.0%
Skew 10d7.6%-8.8%20.2%7.5%5.8%
Call IV 25d32.9%28.7%36.9%36.7%30.1%
Put IV 25d37.3%32.5%40.9%40.9%35.0%
Bid-Ask Spread %9.806.8315.5811.836.87
Gamma HHI0.190.160.220.210.19
Net GEX2.2M985.1K3.0M985.1K3.0M
Net DEX-82.4M-111.5M-37.1M-37.1M-109.3M
Net VEX-632.2K-714.4K-333.2K-344.9K-687.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.026.130.896.13
Total Volume10,549.33382443,6531,8266,315
Total OI223,214.762161,493245,283162,428231,905

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$14.08$14.0037.2%10.7%39.8%21.4%37.3%4.2%0.6%985.1K-37.1M-344.9K0.8911.8396586193,24369,185
2011-12-02$14.17$14.0035.6%10.2%32.7%18.2%35.9%2.5%0.3%1.1M-42.3M-333.2K1.1910.1715,24718,14593,07668,417
2011-12-05$14.60$12.0034.1%10.2%34.4%14.9%37.0%5.8%0.6%1.4M-56.9M-466.4K0.0814.0135,1922,822108,94082,634
2011-12-06$14.60$13.0033.3%10.3%34.4%13.2%38.5%3.8%0.0%1.7M-68.8M-574.7K0.247.6113,3603,236127,91784,278
2011-12-07$14.56$13.0033.3%10.4%34.3%13.2%39.5%4.7%0.2%1.8M-71.8M-619.2K1.0714.014,5414,854135,79684,383
2011-12-08$14.70$13.0033.2%10.5%31.2%13.2%36.3%5.1%-0.4%1.8M-76.4M-624.1K0.0612.3919,1241,051136,35787,894
2011-12-09$14.82$13.0028.6%9.9%30.8%3.6%36.5%4.9%1.4%2.3M-91.7M-714.4K0.558.48899498152,96488,781
2011-12-12$14.81$13.0033.8%10.3%30.2%14.4%36.8%6.3%-1.0%2.3M-89.8M-681.3K0.278.743,9151,042149,35588,733
2011-12-13$14.64$13.0033.6%10.0%30.6%13.8%35.9%4.9%0.3%2.3M-84.6M-688.0K0.1210.011,687200152,92388,728
2011-12-14$14.65$13.0034.5%10.0%30.4%15.9%34.5%3.8%2.3%2.3M-86.8M-696.1K0.107.102,731261153,64788,605
2011-12-15$14.61$13.0038.7%11.1%29.5%24.5%38.4%3.7%-2.0%2.1M-84.9M-678.8K0.0915.5810,352981153,95788,728
2011-12-16$14.59$13.0037.1%10.6%28.7%21.3%48.8%4.9%-1.6%2.2M-85.0M-681.3K0.038.3142,5691,084156,67888,605
2011-12-19$14.22$13.0036.4%10.4%30.2%19.8%37.0%1.4%0.0%1.8M-61.1M-672.1K0.529.641,9701,017141,90081,001
2011-12-20$14.54$13.0034.9%10.0%30.8%16.7%34.8%3.6%-1.5%2.3M-75.1M-666.3K0.2711.93797214142,80281,426
2011-12-21$14.83$13.0034.3%9.8%29.5%15.4%34.6%5.7%-1.0%2.5M-85.6M-676.5K0.066.8311,796712142,64281,519
2011-12-22$15.02$13.0034.7%9.9%27.7%16.2%31.8%6.8%-0.4%2.8M-98.7M-701.4K0.027.673,90662150,00581,621
2011-12-23$14.98$13.0033.5%9.6%27.7%13.7%34.4%4.6%-0.2%2.8M-97.5M-699.6K0.248.01667157150,95081,621
2011-12-27$15.25$13.0034.0%9.7%23.1%14.7%32.8%0.7%-0.2%3.0M-109.3M-691.7K0.178.173,815648150,84381,541
2011-12-28$15.18$13.0036.0%10.3%22.8%19.0%35.3%4.7%-0.9%2.9M-106.1M-689.6K0.8610.18532460150,44081,518
2011-12-29$15.31$13.0032.3%9.3%20.1%11.2%34.6%3.5%2.8%2.9M-111.5M-690.1K0.578.191,8141,037150,52381,429
2011-12-30$15.29$13.0033.0%9.5%20.1%12.7%33.1%5.0%1.6%3.0M-109.3M-687.4K6.136.878865,429150,12781,778