AEO Options History — February 2012

In February 2012, AEO traded between $13.58 and $14.65. ATM implied volatility averaged 40.7%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 17.4% (HV 20d: 23.3%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.63.

Notable Days

  • 2012-02-09: Highest Volume — 16,273 contracts
  • 2012-02-09: Largest IV spike — 28.5% change
  • 2012-02-29: Highest IV Rank — 43.7%
  • 2012-02-29: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.08$13.58$14.65$14.32$14.54
Max Pain$13.70$13.00$14.00$13.00$14.00
ATM IV40.7%31.6%47.8%35.4%47.8%
Expected Move12.1%9.4%13.7%10.2%13.7%
HV 20d23.3%18.0%46.6%46.6%24.1%
HV 60d34.5%32.7%35.4%35.2%32.7%
IV Rank28.7%9.8%43.7%17.7%43.7%
IV Percentile46.7%4.0%77.8%25.0%77.8%
Term Structure-2.8%-8.6%7.7%7.2%-8.6%
VWIV42.0%30.3%48.9%33.2%48.9%
Skew 25d1.6%-8.7%4.1%-8.7%2.3%
Skew 10d4.5%-19.2%16.2%-19.2%10.9%
Call IV 25d41.8%32.0%47.7%37.7%47.7%
Put IV 25d43.4%25.2%50.0%28.9%50.0%
Bid-Ask Spread %11.529.3316.0913.9614.96
Gamma HHI0.200.160.240.210.24
Net GEX2.2M1.4M3.0M2.9M2.2M
Net DEX-62.7M-89.3M-43.5M-83.6M-67.4M
Net VEX-657.8K-730.5K-623.3K-730.5K-656.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.033.370.181.27
Total Volume4,160.5563316,2736,23710,276
Total OI239,007.85192,781266,137260,495199,506

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-02-01$14.32$13.0035.4%10.2%46.6%17.7%33.2%-8.7%7.2%2.9M-83.6M-730.5K0.1813.965,298939170,79589,700
2012-02-02$14.10$13.0032.7%9.4%45.3%12.1%30.3%-6.7%7.7%2.8M-72.8M-702.5K0.2016.093,467695170,61090,488
2012-02-03$14.03$13.0031.9%11.6%18.5%10.4%41.5%4.1%-1.5%2.8M-68.5M-696.0K1.4212.028321,181170,81890,686
2012-02-06$13.83$13.0032.8%11.5%19.0%12.1%40.9%2.8%-1.5%2.4M-58.1M-671.1K0.7910.64929737170,99391,271
2012-02-07$13.88$13.0033.3%11.4%18.0%13.3%40.2%3.1%-2.3%2.6M-60.4M-652.9K0.0311.486,046199171,00991,514
2012-02-08$13.64$13.0031.6%11.7%18.8%9.8%39.9%2.0%-2.7%1.9M-45.7M-629.9K0.6113.441,210742166,54291,632
2012-02-09$13.69$14.0040.6%11.6%18.8%28.6%42.1%2.3%-3.0%2.0M-48.1M-627.5K0.1712.6313,9342,339166,57191,534
2012-02-10$13.77$14.0042.1%12.1%18.9%31.7%42.4%2.6%-2.0%2.2M-55.4M-662.2K0.2911.871,696500171,30592,744
2012-02-13$13.63$14.0042.0%12.1%19.1%31.6%41.8%3.3%-3.2%1.9M-48.0M-626.9K0.3810.013,9611,509171,71393,079
2012-02-14$13.58$14.0042.5%12.2%19.2%32.4%42.5%1.6%-3.5%1.4M-43.5M-623.3K3.3710.26145488170,37294,436
2012-02-15$14.19$14.0044.7%12.8%23.3%37.2%43.8%2.9%-4.8%3.0M-76.9M-670.8K0.7510.683,5982,688170,40194,670
2012-02-16$14.32$14.0044.0%12.6%21.4%35.6%44.1%2.7%-3.0%2.6M-85.7M-673.4K0.4710.08902420171,51794,620
2012-02-17$14.44$14.0044.8%12.9%21.3%37.4%44.3%3.5%-4.4%2.3M-89.3M-676.1K0.769.332,9172,208171,47394,660
2012-02-21$14.24$14.0045.3%13.0%22.0%38.4%44.5%3.9%-5.4%1.7M-56.7M-656.0K0.7210.20926665135,53257,249
2012-02-22$14.17$14.0043.0%12.3%22.1%33.7%43.4%2.6%-3.1%1.7M-54.9M-641.0K0.159.74745115135,81557,325
2012-02-23$14.24$14.0043.5%12.5%21.8%34.6%42.7%1.5%-4.4%1.8M-56.8M-635.9K0.0410.722,44593135,90357,300
2012-02-24$14.16$14.0044.1%12.6%21.8%35.9%42.7%1.8%-5.0%1.9M-54.6M-630.2K0.3412.511,738593137,03157,332
2012-02-27$14.25$14.0046.0%13.2%21.9%39.7%45.6%1.8%-5.7%1.9M-57.7M-632.5K0.1710.13875150138,06557,619
2012-02-28$14.65$14.0045.5%13.0%23.9%38.7%45.4%2.7%-7.0%2.2M-70.6M-661.4K0.499.653,3571,653138,57857,749
2012-02-29$14.54$14.0047.8%13.7%24.1%43.7%48.9%2.3%-8.6%2.2M-67.4M-656.5K1.2714.964,5335,743140,79158,715