AEO Options History — June 2012

In June 2012, AEO traded between $18.56 and $19.73. ATM implied volatility averaged 36.7%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 7.1% (HV 20d: 43.7%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.54.

Notable Days

2012-06-27: Highest Volume — 14,622 contracts
2012-06-11: Largest IV spike — 34.1% change
2012-06-04: Highest IV Rank — 45.4%
2012-06-04: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.10	$18.56	$19.73	$18.56	$19.73
Max Pain	$18.71	$18.00	$20.00	$20.00	$19.00
ATM IV	36.7%	29.3%	46.0%	44.5%	30.9%
Expected Move	10.7%	8.9%	12.9%	12.8%	8.9%
HV 20d	43.7%	34.1%	53.8%	47.1%	36.2%
HV 60d	48.4%	47.1%	49.8%	47.3%	49.8%
IV Rank	23.2%	5.6%	45.4%	41.9%	9.5%
IV Percentile	35.8%	1.6%	71.0%	66.7%	8.7%
Term Structure	1.6%	-0.1%	3.0%	-0.1%	2.6%
VWIV	37.8%	31.5%	45.8%	45.8%	31.5%
Skew 25d	4.9%	3.2%	6.9%	6.2%	4.5%
Skew 10d	11.6%	0.6%	24.6%	24.6%	20.6%
Call IV 25d	35.6%	29.3%	42.9%	42.9%	29.3%
Put IV 25d	40.6%	33.8%	49.3%	49.0%	33.8%
Bid-Ask Spread %	14.69	11.65	21.53	11.90	13.69
Gamma HHI	0.14	0.12	0.16	0.13	0.15
Net GEX	2.7M	2.3M	3.4M	2.5M	2.7M
Net DEX	-111.7M	-133.2M	-91.7M	-100.6M	-116.7M
Net VEX	-620.4K	-676.4K	-558.4K	-676.4K	-573.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.02	1.51	0.51	1.35
Total Volume	3,234.524	244	14,622	3,977	516
Total OI	177,668.571	162,415	191,203	182,956	162,432

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2012-06-01	$18.56	$20.00	44.5%	12.8%	47.1%	41.9%	45.8%	6.2%	-0.1%	2.5M	-100.6M	-676.4K	0.51	11.90	2,635	1,342	145,363	37,593
2012-06-04	$18.73	$20.00	46.0%	12.9%	47.3%	45.4%	44.1%	6.9%	-0.1%	2.5M	-104.9M	-671.9K	0.76	21.53	779	589	145,214	38,793
2012-06-05	$18.96	$20.00	44.6%	12.6%	47.7%	42.2%	44.7%	6.4%	0.5%	2.7M	-111.4M	-668.2K	0.02	13.24	4,563	75	145,317	38,684
2012-06-06	$19.27	$20.00	40.7%	12.0%	48.1%	32.9%	40.8%	6.3%	0.9%	3.0M	-120.5M	-670.3K	0.27	14.16	5,699	1,522	146,982	38,737
2012-06-07	$18.70	$19.00	37.9%	11.4%	49.1%	26.2%	41.4%	6.4%	1.1%	2.9M	-107.2M	-644.0K	0.68	12.54	1,193	809	151,053	39,232
2012-06-08	$19.51	$19.00	29.3%	10.8%	51.6%	5.6%	39.6%	5.7%	2.0%	3.4M	-133.2M	-663.2K	0.38	13.72	1,194	454	150,970	39,640
2012-06-11	$18.90	$19.00	39.3%	11.7%	52.7%	29.4%	42.4%	5.4%	1.5%	2.8M	-110.5M	-633.9K	0.27	13.32	925	251	150,467	39,820
2012-06-12	$18.99	$19.00	37.7%	11.4%	52.7%	25.8%	41.3%	4.8%	1.3%	2.8M	-113.1M	-634.3K	0.31	15.05	3,579	1,092	150,443	39,895
2012-06-13	$18.57	$19.00	37.0%	11.4%	53.2%	24.0%	40.7%	5.4%	1.5%	2.3M	-96.7M	-624.0K	0.20	14.47	4,020	807	148,666	40,147
2012-06-14	$18.97	$18.00	40.4%	11.6%	53.8%	32.1%	40.5%	5.1%	0.9%	2.3M	-110.6M	-630.8K	1.17	17.70	643	755	150,583	40,620
2012-06-15	$19.21	$18.00	37.6%	10.8%	50.9%	25.4%	38.1%	4.2%	2.3%	2.3M	-119.2M	-634.1K	0.89	13.67	768	680	150,554	40,293
2012-06-18	$19.42	$18.00	35.4%	10.2%	51.0%	20.2%	34.8%	3.2%	3.0%	2.7M	-121.8M	-612.9K	0.07	12.30	5,031	359	134,751	33,289
2012-06-19	$19.30	$18.00	33.0%	9.5%	35.9%	14.5%	31.8%	3.8%	2.5%	2.7M	-118.3M	-599.0K	1.51	12.74	1,815	2,739	134,767	33,486
2012-06-20	$19.35	$18.00	32.9%	9.4%	34.8%	14.1%	32.8%	4.2%	2.4%	2.8M	-119.7M	-602.8K	0.28	16.29	191	53	136,123	34,678
2012-06-21	$19.15	$18.00	33.3%	9.5%	34.5%	15.1%	33.3%	4.3%	2.2%	2.7M	-115.5M	-596.1K	0.23	15.54	1,971	456	136,198	34,710
2012-06-22	$19.48	$18.00	32.4%	9.3%	34.3%	12.9%	32.3%	4.2%	2.9%	2.7M	-121.3M	-601.6K	0.07	19.92	3,387	241	134,516	34,921
2012-06-25	$19.12	$18.00	35.0%	10.0%	34.1%	19.2%	34.1%	4.1%	1.5%	2.5M	-103.1M	-579.5K	0.95	15.89	309	293	128,052	34,926
2012-06-26	$19.45	$18.00	34.9%	10.0%	34.6%	19.1%	33.7%	4.2%	1.9%	2.7M	-111.5M	-585.4K	0.35	11.65	637	223	128,165	35,020
2012-06-27	$18.92	$18.00	33.4%	9.6%	34.7%	15.5%	34.9%	4.3%	2.3%	2.5M	-97.3M	-567.9K	0.07	14.56	13,713	909	128,417	35,108
2012-06-28	$18.74	$19.00	34.0%	9.7%	34.4%	16.7%	34.1%	4.0%	1.5%	2.4M	-91.7M	-558.4K	0.96	14.61	362	346	126,745	35,670
2012-06-29	$19.73	$19.00	30.9%	8.9%	36.2%	9.5%	31.5%	4.5%	2.6%	2.7M	-116.7M	-573.4K	1.35	13.69	220	296	126,712	35,720