AEO Options History — August 2012

In August 2012, AEO traded between $19.89 and $22.37. ATM implied volatility averaged 36.5%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 8.0% (HV 20d: 28.5%). Max pain ranged from $16.00 to $21.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.32.

Notable Days

2012-08-21: Highest Volume — 28,648 contracts
2012-08-22: Largest IV drop — 29.2% change
2012-08-01: Highest IV Rank — 42.2%
2012-08-01: Largest Expected Move — 13.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.27	$19.89	$22.37	$20.33	$22.24
Max Pain	$20.52	$16.00	$21.00	$16.00	$21.00
ATM IV	36.5%	31.0%	45.5%	45.5%	31.3%
Expected Move	10.9%	8.9%	13.0%	13.0%	9.0%
HV 20d	28.5%	23.2%	35.9%	23.8%	29.4%
HV 60d	33.5%	29.8%	37.9%	36.7%	29.8%
IV Rank	20.6%	6.5%	42.2%	42.2%	9.3%
IV Percentile	35.9%	7.9%	69.8%	69.8%	9.5%
Term Structure	-0.3%	-3.6%	2.7%	-1.9%	1.5%
VWIV	37.6%	31.0%	44.9%	44.9%	31.0%
Skew 25d	3.3%	-1.2%	5.5%	2.3%	2.7%
Skew 10d	6.5%	-12.8%	14.5%	2.3%	9.7%
Call IV 25d	36.7%	29.3%	44.2%	44.2%	29.8%
Put IV 25d	40.0%	32.5%	46.4%	46.4%	32.5%
Bid-Ask Spread %	17.08	11.18	24.80	18.02	13.87
Gamma HHI	0.29	0.18	0.75	0.18	0.25
Net GEX	7.5M	3.5M	29.5M	4.7M	6.0M
Net DEX	-176.9M	-219.6M	-119.2M	-146.1M	-194.1M
Net VEX	-607.4K	-646.8K	-560.2K	-572.1K	-620.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.32	0.04	0.91	0.37	0.51
Total Volume	9,555.304	844	28,648	26,031	855
Total OI	213,931.522	175,583	245,935	199,027	204,401

Daily Data (23 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
2012-08-01	$20.33	$16.00	45.5%	13.0%	23.8%	42.2%	44.9%	2.3%	-1.9%	4.7M	-146.1M	-572.1K	0.37	18.02	18,955	7,076	159,551	39,476
2012-08-02	$19.89	$18.00	39.6%	11.4%	23.2%	27.8%	40.7%	-1.2%	2.7%	4.3M	-126.4M	-572.8K	0.24	15.19	16,615	4,021	166,034	44,551
2012-08-03	$20.46	$18.00	38.1%	10.9%	25.3%	24.1%	38.1%	0.9%	2.3%	5.6M	-150.4M	-585.6K	0.17	16.35	1,993	342	169,388	45,584
2012-08-06	$20.58	$21.00	38.3%	11.5%	25.4%	24.6%	39.3%	4.2%	-1.4%	6.3M	-157.7M	-565.3K	0.06	17.02	6,784	405	169,418	43,539
2012-08-07	$20.94	$21.00	36.9%	11.7%	26.0%	21.1%	40.0%	4.7%	-0.9%	6.6M	-172.6M	-560.2K	0.04	22.19	10,772	474	165,952	43,804
2012-08-08	$21.36	$21.00	38.0%	11.7%	24.9%	23.6%	38.5%	3.7%	-1.4%	7.1M	-195.3M	-571.4K	0.08	21.61	26,226	2,181	168,704	43,999
2012-08-09	$21.47	$21.00	35.7%	11.5%	24.9%	18.0%	37.6%	5.3%	-0.7%	8.6M	-219.6M	-646.8K	0.24	18.08	2,393	581	189,939	45,441
2012-08-10	$20.93	$21.00	37.2%	12.1%	26.6%	21.8%	41.4%	3.9%	-1.9%	7.8M	-187.6M	-646.0K	0.59	24.17	14,825	8,707	191,282	45,820
2012-08-13	$20.84	$21.00	39.1%	12.0%	26.7%	26.6%	42.2%	3.4%	-2.9%	8.3M	-179.1M	-641.4K	0.63	19.59	1,148	718	194,914	51,021
2012-08-14	$20.84	$21.00	36.4%	11.8%	26.2%	19.9%	40.6%	3.7%	-2.5%	8.7M	-176.9M	-630.1K	0.48	18.85	810	388	194,808	50,920
2012-08-15	$21.13	$21.00	32.1%	11.6%	26.6%	9.3%	39.9%	5.3%	-1.5%	10.7M	-195.3M	-621.6K	0.14	18.84	2,106	290	194,664	51,026
2012-08-16	$21.19	$21.00	40.4%	11.6%	26.5%	29.6%	40.2%	4.9%	-1.7%	13.6M	-199.1M	-606.5K	0.18	18.49	718	126	192,853	50,906
2012-08-17	$21.04	$21.00	40.7%	11.7%	26.2%	30.4%	41.7%	3.5%	-2.3%	29.5M	-191.4M	-602.6K	0.24	18.36	3,528	836	192,654	50,827
2012-08-20	$20.45	$21.00	43.5%	12.5%	28.0%	37.4%	42.0%	5.5%	-3.6%	3.5M	-119.2M	-562.5K	0.28	17.23	6,771	1,880	138,063	37,520
2012-08-21	$20.83	$21.00	43.8%	12.5%	28.6%	38.0%	43.6%	4.4%	-3.2%	3.8M	-133.8M	-579.2K	0.25	24.80	22,997	5,651	139,910	38,786
2012-08-22	$22.13	$21.00	31.0%	8.9%	35.5%	6.5%	31.9%	2.0%	2.4%	5.3M	-192.5M	-602.8K	0.34	11.76	21,273	7,290	149,851	42,299
2012-08-23	$21.88	$21.00	32.1%	9.2%	35.9%	11.8%	32.5%	2.5%	2.0%	4.9M	-176.5M	-626.0K	0.48	13.47	1,488	720	149,881	45,035
2012-08-24	$21.96	$21.00	31.1%	8.9%	34.7%	8.8%	31.0%	3.6%	1.9%	5.0M	-178.1M	-617.6K	0.05	11.18	11,202	572	149,773	45,322
2012-08-27	$21.97	$21.00	31.8%	9.1%	34.3%	11.0%	31.5%	3.4%	1.1%	5.6M	-185.3M	-641.7K	0.91	11.97	458	415	160,298	45,661
2012-08-28	$22.04	$21.00	31.3%	9.0%	33.2%	9.1%	31.2%	3.0%	2.0%	5.7M	-190.3M	-638.4K	0.08	13.97	2,644	205	160,297	45,803
2012-08-29	$22.37	$21.00	32.3%	9.3%	31.9%	12.4%	32.1%	3.7%	1.5%	5.9M	-204.6M	-631.8K	0.46	11.91	1,001	456	160,285	45,923
2012-08-30	$22.30	$21.00	32.0%	9.2%	30.5%	11.6%	32.5%	1.6%	1.9%	5.9M	-197.7M	-627.0K	0.46	15.93	601	275	158,261	45,981
2012-08-31	$22.24	$21.00	31.3%	9.0%	29.4%	9.3%	31.0%	2.7%	1.5%	6.0M	-194.1M	-620.2K	0.51	13.87	567	288	158,362	46,039