AEO Options History — April 2012

In April 2012, AEO traded between $16.27 and $18.43. ATM implied volatility averaged 33.3%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 6.2% (HV 20d: 27.1%). Max pain ranged from $14.00 to $16.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.55.

Notable Days

  • 2012-04-26: Highest Volume — 24,018 contracts
  • 2012-04-09: Largest IV spike — 13.5% change
  • 2012-04-16: Highest IV Rank — 20.8%
  • 2012-04-10: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.38$16.27$18.43$17.31$18.01
Max Pain$14.70$14.00$16.00$16.00$15.00
ATM IV33.3%30.2%35.6%31.8%35.1%
Expected Move9.5%8.7%10.3%9.1%10.1%
HV 20d27.1%23.2%28.8%28.6%28.8%
HV 60d25.4%23.8%26.9%23.8%26.9%
IV Rank15.2%7.8%20.8%11.6%19.4%
IV Percentile22.4%6.0%38.9%10.7%34.5%
Term Structure3.3%-0.9%7.3%-0.9%4.4%
VWIV33.3%28.6%37.1%32.2%35.1%
Skew 25d2.2%-0.3%3.4%3.4%1.9%
Skew 10d5.4%-5.8%13.2%10.1%4.2%
Call IV 25d32.3%27.4%35.4%27.4%35.4%
Put IV 25d34.5%29.4%38.1%30.8%37.3%
Bid-Ask Spread %11.088.7121.2911.698.72
Gamma HHI0.170.140.270.170.14
Net GEX3.6M2.9M4.9M3.2M3.1M
Net DEX-144.7M-175.6M-101.8M-139.2M-153.9M
Net VEX-603.3K-618.5K-583.9K-598.8K-608.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.025.830.035.83
Total Volume6,386.751,21724,01812,2534,446
Total OI188,901.65175,385200,478178,910186,253

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-04-02$17.31$16.0031.8%9.1%28.6%11.6%32.2%3.4%-0.9%3.2M-139.2M-598.8K0.0311.6911,888365137,84241,068
2012-04-03$17.63$16.0030.3%8.7%28.4%8.0%29.6%-0.3%1.6%3.1M-151.9M-606.6K0.219.345,9781,266139,73341,147
2012-04-04$17.27$16.0030.3%8.7%23.2%8.1%30.8%1.9%3.3%3.5M-142.0M-617.5K0.6911.552,9992,067143,84742,109
2012-04-05$17.19$16.0030.2%8.7%23.3%7.8%28.6%1.9%1.5%3.5M-138.4M-618.5K0.049.603,076133145,31243,498
2012-04-09$16.84$14.0034.3%9.7%23.9%17.5%34.7%2.5%1.7%3.5M-123.6M-616.2K0.0710.182,598169144,27843,454
2012-04-10$16.27$14.0035.4%10.3%26.8%20.2%35.2%1.9%1.6%3.4M-101.8M-607.4K0.5411.056,4923,537145,80543,481
2012-04-11$16.45$14.0035.4%10.1%26.6%20.3%34.9%1.9%2.0%3.9M-111.9M-606.7K1.199.001,2001,432150,63644,021
2012-04-12$16.70$14.0033.4%9.6%27.0%15.4%34.2%1.6%3.5%4.1M-122.8M-612.6K0.1311.891,073144151,10843,955
2012-04-13$16.85$14.0035.3%10.1%27.2%19.8%37.1%2.5%2.3%4.1M-129.9M-614.2K0.149.982,187301150,86243,964
2012-04-16$17.22$14.0035.6%10.2%27.5%20.8%36.0%3.1%2.9%4.3M-147.5M-607.7K0.0610.036,715423152,05144,074
2012-04-17$17.37$14.0034.3%9.8%27.5%17.5%34.1%2.5%3.7%4.9M-160.9M-596.9K0.129.131,945236156,30844,170
2012-04-18$17.71$14.0033.2%9.5%27.8%14.8%33.9%3.2%3.8%4.3M-175.6M-590.8K0.029.269,019186155,31544,336
2012-04-19$17.50$14.0034.0%9.7%28.3%16.8%33.9%2.0%4.0%3.7M-163.5M-583.9K0.048.714,542182151,86544,354
2012-04-20$17.55$14.0032.5%9.3%27.5%13.3%32.6%2.1%4.3%3.5M-167.5M-585.2K0.4610.026,0112,768153,60344,347
2012-04-23$17.87$15.0033.9%9.7%28.1%16.6%33.7%1.1%4.0%3.0M-147.1M-591.6K0.1813.865,339972137,22538,160
2012-04-24$17.47$15.0032.3%9.3%27.3%12.8%31.0%2.8%7.3%3.2M-136.5M-599.7K0.1411.516,487907141,41338,767
2012-04-25$17.79$15.0032.4%9.3%27.9%13.1%32.4%3.1%5.4%3.3M-148.7M-602.5K0.6410.772,2751,458143,36239,021
2012-04-26$18.24$15.0033.2%9.5%28.2%14.9%33.4%2.5%5.2%3.0M-162.5M-595.7K0.0513.9922,8301,188142,76440,003
2012-04-27$18.43$15.0033.0%9.4%28.0%14.3%33.0%2.0%4.8%2.9M-167.8M-604.6K0.3221.292,205696143,99940,523
2012-04-30$18.01$15.0035.1%10.1%28.8%19.4%35.1%1.9%4.4%3.1M-153.9M-608.8K5.838.726513,795145,69340,560