AEO Options History — May 2012

In May 2012, AEO traded between $17.89 and $20.90. ATM implied volatility averaged 42.1%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 21.0% (HV 20d: 63.2%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.63.

Notable Days

  • 2012-05-23: Highest Volume — 37,147 contracts
  • 2012-05-23: Largest IV drop — 24.3% change
  • 2012-05-18: Highest IV Rank — 56.6%
  • 2012-05-18: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.61$17.89$20.90$17.89$19.31
Max Pain$18.50$15.00$20.00$15.00$20.00
ATM IV42.1%36.3%50.6%38.4%43.0%
Expected Move12.2%10.6%14.5%11.0%12.3%
HV 20d63.2%28.9%73.2%28.9%46.8%
HV 60d43.0%27.0%47.9%27.0%47.9%
IV Rank36.2%22.3%56.6%27.3%38.3%
IV Percentile61.4%42.9%84.9%51.6%61.1%
Term Structure-2.2%-6.8%2.8%1.5%0.7%
VWIV42.4%36.6%49.6%38.5%41.0%
Skew 25d4.3%-2.1%7.5%-1.2%5.0%
Skew 10d4.1%-118.3%20.6%-15.0%20.6%
Call IV 25d40.9%34.3%48.4%38.5%39.2%
Put IV 25d45.2%37.3%52.4%37.3%44.3%
Bid-Ask Spread %15.359.8070.4312.0515.43
Gamma HHI0.150.130.190.140.14
Net GEX2.4M1.9M3.1M3.0M2.9M
Net DEX-168.9M-238.1M-122.2M-148.9M-122.2M
Net VEX-597.9K-693.6K-547.0K-610.0K-693.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.044.980.330.54
Total Volume9,326.13633237,1475,0032,657
Total OI182,548.818148,426209,895188,623181,675

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$17.89$15.0038.4%11.0%28.9%27.3%38.5%-1.2%1.5%3.0M-148.9M-610.0K0.3312.053,7591,244145,95642,667
2012-05-02$20.90$15.0037.2%10.7%61.8%24.5%38.7%-2.1%0.7%2.2M-238.1M-567.0K0.1670.4317,1262,684145,13642,624
2012-05-03$20.15$15.0037.1%10.6%63.0%24.2%37.7%4.4%2.2%2.3M-215.1M-591.4K0.3020.7610,7023,216145,43744,755
2012-05-04$20.02$18.0036.3%11.4%63.1%22.3%39.6%4.1%-2.9%2.1M-202.6M-550.6K0.3712.102,321849139,18546,941
2012-05-07$19.95$18.0038.8%11.7%62.3%28.4%40.5%4.9%-3.7%2.1M-202.0M-547.0K0.2714.92486132140,12047,417
2012-05-08$19.81$18.0039.4%12.0%60.6%29.7%43.0%4.7%-3.5%2.1M-198.0M-555.1K1.999.802,2034,374140,24647,482
2012-05-09$19.90$18.0039.7%12.3%60.6%30.4%42.0%5.1%-4.4%2.0M-199.6M-549.7K0.2211.091,233268140,17348,803
2012-05-10$19.77$18.0042.9%12.3%60.8%38.1%41.9%4.8%-4.3%2.0M-196.2M-555.2K0.4110.8523597140,15448,893
2012-05-11$19.55$18.0042.8%12.3%61.2%37.7%43.8%5.2%-3.8%2.1M-190.1M-554.1K0.6510.844,6133,021140,28148,909
2012-05-14$19.38$19.0046.2%13.3%61.2%46.0%45.0%5.3%-4.8%2.0M-182.9M-561.5K0.6612.47494324141,19251,749
2012-05-15$19.32$19.0047.1%13.5%61.3%48.1%46.6%5.1%-6.8%1.9M-182.8M-559.7K0.2711.691,659450141,46351,916
2012-05-16$19.23$19.0047.1%13.5%61.2%48.0%46.9%3.9%-4.8%2.0M-179.8M-569.4K0.4512.92627284142,82352,153
2012-05-17$18.32$19.0050.2%14.4%63.8%55.4%48.5%3.6%-6.3%2.1M-149.3M-566.6K0.0911.2321,1241,873142,80452,251
2012-05-18$18.40$19.0050.6%14.5%63.8%56.6%48.4%4.5%-6.0%2.2M-163.8M-590.8K0.3911.838,4483,330157,58152,314
2012-05-21$20.33$19.0047.9%13.7%72.4%50.0%47.4%4.4%-4.2%2.5M-143.0M-596.3K0.4014.0711,7704,672117,35331,073
2012-05-22$19.79$20.0049.2%14.1%72.7%53.0%49.6%4.0%-5.6%2.4M-129.2M-638.0K0.3918.2811,1154,309121,69734,322
2012-05-23$20.04$20.0037.2%10.7%72.6%24.5%36.6%5.8%2.8%2.6M-135.4M-644.9K0.1210.0433,1324,015125,19436,223
2012-05-24$19.60$20.0037.5%10.7%72.9%25.1%39.6%7.5%2.3%2.8M-125.0M-648.8K0.3410.591,688571132,23435,727
2012-05-25$19.99$20.0038.3%11.0%73.1%27.1%38.1%4.2%1.3%2.9M-137.5M-663.8K0.5012.441,574792133,06435,799
2012-05-29$20.15$20.0039.2%11.2%72.4%29.2%39.1%5.0%0.8%3.0M-141.2M-650.1K0.0411.4329,3441,081132,97636,280
2012-05-30$19.62$20.0040.9%11.7%73.2%33.2%41.3%6.6%0.3%3.1M-132.6M-690.8K4.9812.522141,065144,73636,296
2012-05-31$19.31$20.0043.0%12.3%46.8%38.3%41.0%5.0%0.7%2.9M-122.2M-693.6K0.5415.431,725932144,59337,082