AEO Options History — July 2012

In July 2012, AEO traded between $19.91 and $21.27. ATM implied volatility averaged 35.4%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 6.0% (HV 20d: 29.4%). Max pain ranged from $16.00 to $19.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.72.

Notable Days

2012-07-27: Highest Volume — 22,440 contracts
2012-07-23: Largest IV spike — 10.3% change
2012-07-24: Highest IV Rank — 28.1%
2012-07-24: Largest Expected Move — 11.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.41	$19.91	$21.27	$19.94	$20.82
Max Pain	$16.43	$16.00	$19.00	$19.00	$16.00
ATM IV	35.4%	31.4%	39.8%	33.0%	38.3%
Expected Move	10.2%	9.0%	11.4%	9.4%	11.0%
HV 20d	29.4%	20.3%	36.7%	36.2%	22.0%
HV 60d	47.2%	36.1%	49.8%	49.8%	36.3%
IV Rank	17.4%	7.4%	28.1%	14.3%	24.4%
IV Percentile	32.2%	8.3%	50.8%	15.5%	47.2%
Term Structure	2.4%	0.6%	4.2%	1.3%	1.3%
VWIV	35.5%	32.4%	39.5%	32.7%	38.7%
Skew 25d	3.3%	1.2%	5.0%	2.4%	1.9%
Skew 10d	8.5%	0.4%	18.5%	18.5%	0.4%
Call IV 25d	34.2%	30.7%	38.4%	32.3%	37.9%
Put IV 25d	37.5%	34.6%	41.3%	34.7%	39.9%
Bid-Ask Spread %	13.63	10.90	17.03	15.19	13.23
Gamma HHI	0.17	0.16	0.23	0.16	0.22
Net GEX	3.7M	2.8M	5.0M	2.8M	5.0M
Net DEX	-142.4M	-174.2M	-123.0M	-123.0M	-162.2M
Net VEX	-555.1K	-575.5K	-532.5K	-563.4K	-561.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.02	6.86	0.14	0.46
Total Volume	5,095.048	501	22,440	3,490	762
Total OI	173,184.524	162,499	190,078	162,499	190,078

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
2012-07-02	$19.94	$19.00	33.0%	9.4%	36.2%	14.3%	32.7%	2.4%	1.3%	2.8M	-123.0M	-563.4K	0.14	15.19	3,074	416	126,718	35,781
2012-07-03	$20.05	$19.00	33.1%	9.5%	36.1%	11.5%	35.5%	3.5%	0.6%	3.0M	-126.8M	-562.6K	6.86	17.03	182	1,249	128,455	35,832
2012-07-05	$20.57	$19.00	31.4%	9.0%	36.7%	7.4%	32.4%	4.0%	1.8%	3.2M	-141.8M	-565.9K	0.50	15.53	511	255	128,510	36,758
2012-07-06	$20.41	$16.00	32.1%	9.7%	34.8%	9.1%	33.2%	3.9%	3.0%	3.1M	-138.0M	-566.0K	0.27	13.40	670	182	128,625	36,787
2012-07-09	$20.49	$16.00	34.9%	10.4%	31.8%	16.0%	34.3%	5.0%	1.5%	3.1M	-140.8M	-555.7K	0.02	13.05	7,542	187	128,506	36,824
2012-07-10	$20.41	$16.00	35.7%	10.2%	29.2%	18.0%	36.2%	4.2%	4.1%	3.5M	-142.6M	-571.7K	0.46	13.58	404	187	134,020	36,891
2012-07-11	$19.91	$16.00	35.0%	10.5%	30.9%	16.3%	36.2%	5.0%	2.1%	3.3M	-127.4M	-560.7K	0.99	12.77	640	635	134,258	36,967
2012-07-12	$19.91	$16.00	36.4%	10.4%	29.5%	19.9%	35.9%	4.9%	1.8%	3.3M	-126.7M	-556.4K	0.69	12.98	296	205	134,118	37,293
2012-07-13	$20.18	$16.00	35.6%	10.2%	29.0%	17.9%	34.2%	4.3%	3.1%	3.5M	-135.4M	-556.2K	0.15	14.77	1,067	161	134,272	37,418
2012-07-16	$20.18	$16.00	36.7%	10.5%	28.8%	20.5%	36.4%	3.3%	2.6%	3.6M	-136.4M	-548.4K	1.10	15.11	367	403	134,976	37,504
2012-07-17	$20.49	$16.00	36.2%	10.4%	29.1%	19.4%	37.0%	3.2%	2.5%	3.8M	-145.7M	-543.3K	1.34	12.70	265	354	135,035	37,836
2012-07-18	$20.59	$16.00	33.9%	9.7%	28.9%	13.7%	34.4%	3.0%	2.6%	3.7M	-149.7M	-537.6K	0.15	12.85	2,044	300	135,131	37,923
2012-07-19	$20.77	$16.00	33.2%	9.5%	28.9%	12.0%	33.8%	3.0%	4.2%	3.7M	-155.6M	-534.7K	1.20	12.38	595	715	134,653	37,861
2012-07-20	$20.51	$16.00	34.3%	9.8%	29.1%	14.7%	34.3%	2.7%	3.2%	3.5M	-147.9M	-532.5K	0.09	11.71	6,915	633	134,523	38,444
2012-07-23	$20.32	$16.00	37.8%	10.8%	29.0%	23.4%	37.1%	2.9%	2.3%	3.6M	-136.3M	-536.8K	0.22	13.45	4,417	964	133,051	35,428
2012-07-24	$20.19	$16.00	39.8%	11.4%	28.1%	28.1%	39.5%	2.9%	1.8%	3.6M	-133.1M	-550.4K	0.19	10.90	9,695	1,844	135,974	36,045
2012-07-25	$20.24	$16.00	38.5%	11.0%	27.6%	25.1%	37.5%	3.6%	1.7%	4.1M	-138.4M	-565.4K	0.02	12.35	10,891	270	142,797	37,324
2012-07-26	$20.34	$16.00	35.8%	10.3%	25.3%	18.3%	35.1%	1.8%	3.2%	4.7M	-147.6M	-575.5K	0.05	15.65	8,456	407	150,823	37,398
2012-07-27	$20.92	$16.00	34.0%	9.7%	26.2%	13.9%	34.1%	2.5%	4.0%	4.7M	-161.2M	-551.7K	0.17	13.02	19,200	3,240	143,037	37,694
2012-07-30	$21.27	$16.00	37.3%	10.7%	20.3%	21.9%	36.1%	1.2%	1.8%	4.8M	-174.2M	-561.2K	0.03	14.62	15,959	437	145,941	39,366
2012-07-31	$20.82	$16.00	38.3%	11.0%	22.0%	24.4%	38.7%	1.9%	1.3%	5.0M	-162.2M	-561.7K	0.46	13.23	522	240	150,685	39,393