AEO Options History — January 2012

In January 2012, AEO traded between $12.97 and $15.72. ATM implied volatility averaged 35.1%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 10.3% (HV 20d: 45.4%). Max pain ranged from $13.00 to $13.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.97.

Notable Days

  • 2012-01-10: Highest Volume — 42,405 contracts
  • 2012-01-04: Largest IV spike — 15.4% change
  • 2012-01-04: Highest IV Rank — 24.3%
  • 2012-01-10: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.74$12.97$15.72$15.72$14.09
Max Pain$13.00$13.00$13.00$13.00$13.00
ATM IV35.1%32.3%38.6%33.4%37.0%
Expected Move10.2%9.6%11.3%9.6%10.6%
HV 20d45.4%21.7%49.4%21.7%47.4%
HV 60d37.7%29.7%39.0%29.7%37.4%
IV Rank17.1%11.3%24.3%13.5%21.1%
IV Percentile21.1%7.1%38.1%10.7%36.9%
Term Structure3.9%-2.9%7.6%2.2%4.8%
VWIV35.8%33.2%38.9%37.6%37.0%
Skew 25d0.3%-5.9%4.9%4.9%-0.4%
Skew 10d-0.3%-15.4%15.9%9.9%8.0%
Call IV 25d35.7%32.4%40.9%32.4%36.9%
Put IV 25d36.0%32.2%40.3%37.3%36.6%
Bid-Ask Spread %13.358.4718.118.7316.51
Gamma HHI0.170.150.200.190.19
Net GEX1.8M101.5K3.0M3.0M2.5M
Net DEX-53.9M-125.4M-14.6M-125.4M-72.0M
Net VEX-665.1K-724.5K-580.3K-675.9K-710.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.094.830.470.18
Total Volume10,999.6567642,4052,0912,962
Total OI269,669.6232,492311,872236,731258,601

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-01-03$15.72$13.0033.4%9.6%21.7%13.5%37.6%4.9%2.2%3.0M-125.4M-675.9K0.478.731,422669149,79886,933
2012-01-04$15.16$13.0038.6%11.1%24.3%24.3%38.2%-0.9%-2.9%2.8M-103.2M-674.4K0.5312.1210,9135,790149,40387,284
2012-01-05$13.52$13.0034.3%9.8%48.0%15.5%35.1%-5.9%0.2%1.2M-29.5M-588.3K0.878.4720,94218,148156,67790,054
2012-01-06$13.40$13.0032.3%9.9%48.0%11.3%34.4%2.3%3.1%1.1M-28.7M-607.3K0.4913.711,256612164,76394,663
2012-01-09$13.21$13.0034.2%9.8%47.8%15.2%35.4%0.3%3.5%673.5K-19.5M-580.3K3.2310.953,25810,538165,88694,393
2012-01-10$13.07$13.0038.5%11.3%47.6%24.1%38.9%1.0%1.0%101.5K-14.6M-597.3K0.0918.1138,7413,664165,411102,378
2012-01-11$13.08$13.0034.4%10.9%47.6%15.7%37.5%-4.1%1.5%743.9K-27.8M-669.8K2.9015.591,2313,571194,927102,032
2012-01-12$13.07$13.0038.4%11.0%47.6%24.0%38.2%-1.5%2.6%496.8K-25.6M-647.5K0.8614.261,9391,671194,313103,822
2012-01-13$12.97$13.0034.5%9.9%47.5%15.9%34.7%1.4%4.8%291.4K-17.8M-631.4K0.2015.1216,4983,217195,233104,222
2012-01-17$12.99$13.0033.4%9.6%47.6%13.4%33.5%-1.3%5.7%1.3M-28.8M-633.1K0.3915.616,0362,328206,886104,986
2012-01-18$13.28$13.0034.3%9.8%48.6%15.4%34.6%-0.4%6.4%1.7M-47.9M-648.8K1.1215.981,3511,519203,896105,591
2012-01-19$13.67$13.0034.5%9.9%49.4%15.9%35.3%2.3%5.3%2.2M-66.4M-681.8K0.2810.335,6911,569204,348106,327
2012-01-20$13.81$13.0035.6%10.2%48.8%18.2%35.8%1.8%5.1%2.7M-72.2M-694.7K0.2710.6211,9413,176203,976105,607
2012-01-23$13.78$13.0035.9%10.3%48.0%18.6%36.5%-1.8%5.1%2.4M-63.5M-690.9K0.4511.303,2781,490166,27966,213
2012-01-24$13.88$13.0035.0%10.0%47.8%16.9%34.8%1.8%5.2%2.6M-66.5M-692.9K4.8311.984,59022,184166,84666,527
2012-01-25$14.04$13.0033.9%9.7%48.1%14.6%34.5%-1.2%5.6%2.4M-69.3M-724.5K0.5412.131,002541166,77888,513
2012-01-26$13.99$13.0034.7%10.0%47.5%16.3%34.2%2.9%5.2%2.2M-64.5M-719.1K0.3515.13659228166,57588,865
2012-01-27$13.99$13.0033.7%9.7%47.5%14.2%33.2%1.1%7.6%2.3M-65.6M-718.3K0.0916.184,286406166,88489,092
2012-01-30$14.03$13.0035.2%10.1%47.4%17.3%35.8%3.3%5.7%2.5M-68.5M-714.9K1.1914.13309367169,00689,404
2012-01-31$14.09$13.0037.0%10.6%47.4%21.1%37.0%-0.4%4.8%2.5M-72.0M-710.0K0.1816.512,520442169,09589,506