AEO Options History — March 2012

In March 2012, AEO traded between $14.63 and $17.66. ATM implied volatility averaged 34.2%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 7.4% (HV 20d: 26.7%). Max pain ranged from $14.00 to $16.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.20.

Notable Days

  • 2012-03-08: Highest Volume — 65,652 contracts
  • 2012-03-07: Largest IV drop — 47.6% change
  • 2012-03-06: Highest IV Rank — 61.5%
  • 2012-03-02: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.38$14.63$17.66$14.74$17.19
Max Pain$15.50$14.00$16.00$14.00$16.00
ATM IV34.2%28.4%56.4%48.5%29.5%
Expected Move9.6%8.1%14.0%13.9%8.4%
HV 20d26.7%22.3%30.3%23.9%28.8%
HV 60d34.2%32.3%35.0%32.8%34.0%
IV Rank15.9%3.4%61.5%45.1%6.0%
IV Percentile19.0%0.4%95.2%79.8%2.8%
Term Structure0.2%-9.9%2.9%-9.9%2.9%
VWIV34.0%29.5%49.2%48.4%29.5%
Skew 25d2.7%0.3%4.5%2.5%1.3%
Skew 10d6.4%-6.2%17.2%-1.5%-6.2%
Call IV 25d32.7%27.6%49.9%47.7%29.7%
Put IV 25d35.3%29.7%51.0%50.2%30.9%
Bid-Ask Spread %13.539.3819.0213.1613.68
Gamma HHI0.210.160.290.240.17
Net GEX3.0M2.2M3.7M2.3M3.0M
Net DEX-116.1M-144.5M-71.3M-73.9M-130.2M
Net VEX-599.1K-706.0K-543.3K-671.0K-585.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.011.260.090.02
Total Volume10,832.27354765,6522,5447,016
Total OI189,873.864159,986217,597204,703173,091

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$14.74$14.0048.5%13.9%23.9%45.1%48.4%2.5%-9.9%2.3M-73.9M-671.0K0.0913.162,328216143,57561,128
2012-03-02$14.69$14.0048.9%14.0%23.2%45.9%49.2%1.1%-9.6%2.3M-74.0M-670.4K0.0114.142,03613145,02661,127
2012-03-05$14.69$14.0053.3%11.4%23.0%55.1%39.0%3.5%-0.6%2.4M-73.9M-663.9K0.6318.904,4252,800145,93561,140
2012-03-06$14.63$14.0056.4%12.0%22.3%61.5%44.0%2.4%-0.5%2.2M-71.3M-667.9K1.2615.312,5993,271148,49863,681
2012-03-07$15.54$14.0029.5%9.7%30.3%5.4%34.0%1.8%0.3%3.3M-106.8M-695.5K0.2819.0213,2903,745148,70365,580
2012-03-08$15.75$15.0029.5%9.3%29.1%6.0%32.6%3.4%1.4%3.5M-113.4M-706.0K0.1710.2256,1009,552150,45867,139
2012-03-09$16.10$16.0028.7%9.1%29.5%4.1%31.6%3.0%2.0%2.9M-106.4M-589.9K0.1512.835,855851131,15374,067
2012-03-12$16.32$16.0032.4%9.5%29.6%13.0%33.0%4.3%0.5%3.2M-119.6M-578.8K0.0112.2119,711227133,66769,492
2012-03-13$16.55$16.0030.6%9.3%28.8%8.7%32.9%4.4%-0.1%3.7M-133.8M-570.0K0.0414.4614,430604137,70069,511
2012-03-14$16.68$16.0031.6%9.4%28.4%11.1%34.1%2.0%-0.3%3.6M-138.3M-580.3K0.249.741,803436141,27669,994
2012-03-15$16.69$16.0031.2%9.0%25.6%10.2%30.5%4.1%1.5%3.5M-138.0M-573.9K0.0211.7816,159305140,41269,972
2012-03-16$16.43$16.0032.6%9.3%26.9%13.4%32.4%2.2%0.1%3.3M-126.5M-560.7K0.1112.464,943559135,47470,180
2012-03-19$16.53$16.0030.4%8.7%26.9%8.3%30.9%2.6%1.6%2.8M-107.4M-553.2K0.1513.923,015461121,81338,898
2012-03-20$16.79$16.0030.8%8.8%25.9%9.2%31.3%2.4%1.2%2.9M-116.7M-546.8K0.1115.883,459374122,87938,995
2012-03-21$16.83$16.0029.4%8.4%25.6%5.8%31.3%4.5%2.3%2.9M-114.4M-543.3K0.0513.2819,199936120,89939,087
2012-03-22$17.16$16.0030.6%8.8%25.8%8.6%31.5%3.7%2.5%2.8M-126.3M-544.7K0.059.498,850471121,56139,904
2012-03-23$17.13$16.0029.8%8.5%25.6%6.8%31.1%2.6%1.9%3.0M-129.7M-574.2K0.0612.5910,222568127,85340,041
2012-03-26$17.66$16.0029.3%8.4%26.6%5.7%30.1%2.4%1.3%2.8M-144.5M-553.2K0.0818.8812,4151,000127,62140,193
2012-03-27$17.51$16.0028.4%8.1%26.6%3.4%29.9%2.1%2.1%2.9M-141.6M-584.1K0.129.382,505298132,86240,949
2012-03-28$17.19$16.0029.6%8.5%27.8%6.4%29.6%0.3%2.4%3.0M-128.8M-587.2K0.4310.95382165131,84241,059
2012-03-29$17.45$16.0030.7%8.8%27.8%9.1%31.2%2.2%1.1%2.9M-138.0M-580.2K0.2115.43592124131,75541,035
2012-03-30$17.19$16.0029.5%8.4%28.8%6.0%29.5%1.3%2.9%3.0M-130.2M-585.4K0.0213.686,879137132,08241,009