AEO Options History — September 2012

In September 2012, AEO traded between $20.79 and $23.80. ATM implied volatility averaged 28.5%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 1.9% (HV 20d: 30.3%). Max pain ranged from $20.50 to $22.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.43.

Notable Days

2012-09-13: Highest Volume — 21,530 contracts
2012-09-06: Largest IV drop — 10.0% change
2012-09-26: Highest IV Rank — 14.4%
2012-09-04: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.64	$20.79	$23.80	$22.52	$21.08
Max Pain	$21.39	$20.50	$22.00	$21.00	$20.50
ATM IV	28.5%	26.0%	31.7%	31.7%	29.4%
Expected Move	8.3%	7.4%	9.1%	9.1%	8.4%
HV 20d	30.3%	20.1%	36.4%	29.6%	36.4%
HV 60d	28.9%	27.6%	32.2%	28.7%	30.6%
IV Rank	5.6%	0.0%	14.4%	10.5%	9.9%
IV Percentile	4.2%	0.0%	13.5%	11.1%	6.7%
Term Structure	2.0%	0.8%	3.4%	0.8%	1.6%
VWIV	29.5%	26.4%	32.2%	31.8%	32.0%
Skew 25d	3.1%	0.6%	4.6%	2.2%	4.3%
Skew 10d	8.1%	-1.1%	16.0%	15.9%	15.7%
Call IV 25d	28.4%	25.6%	32.1%	32.1%	29.1%
Put IV 25d	31.4%	28.2%	34.3%	34.3%	33.5%
Bid-Ask Spread %	18.41	11.88	38.08	15.12	15.45
Gamma HHI	0.27	0.16	0.51	0.25	0.16
Net GEX	7.9M	4.2M	17.1M	6.2M	4.2M
Net DEX	-231.4M	-314.9M	-131.0M	-208.3M	-138.4M
Net VEX	-487.9K	-598.8K	-363.6K	-587.8K	-382.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.43	0.01	1.22	0.09	0.51
Total Volume	6,950.895	544	21,530	7,046	544
Total OI	201,704.158	151,141	230,098	204,627	159,319

Daily Data (19 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
2012-09-04	$22.52	$21.00	31.7%	9.1%	29.6%	10.5%	31.8%	2.2%	0.8%	6.2M	-208.3M	-587.8K	0.09	15.12	6,463	583	158,409	46,218
2012-09-05	$22.29	$21.00	30.8%	8.8%	29.6%	7.5%	30.5%	2.7%	0.8%	6.5M	-198.6M	-598.8K	0.28	17.26	1,841	516	161,396	46,212
2012-09-06	$22.94	$21.00	27.7%	7.9%	30.4%	0.0%	27.9%	2.5%	2.5%	7.1M	-233.1M	-574.6K	0.28	13.11	3,901	1,109	161,260	46,456
2012-09-07	$22.95	$21.00	26.6%	8.4%	30.4%	0.0%	30.3%	4.2%	3.3%	7.5M	-234.8M	-572.0K	1.18	18.51	427	502	162,008	47,032
2012-09-10	$22.92	$22.00	27.4%	8.6%	28.6%	2.4%	29.7%	4.6%	2.6%	7.8M	-234.0M	-551.9K	0.67	14.06	512	343	162,111	47,304
2012-09-11	$22.71	$22.00	27.7%	8.4%	28.8%	3.4%	28.9%	4.0%	3.4%	7.8M	-221.7M	-545.7K	1.22	13.28	321	391	162,167	47,438
2012-09-12	$23.46	$22.00	26.8%	8.4%	30.4%	0.6%	29.4%	3.5%	1.8%	7.9M	-264.0M	-513.1K	0.24	19.48	9,022	2,165	162,241	47,352
2012-09-13	$23.65	$22.00	28.3%	8.1%	30.3%	5.2%	28.7%	3.7%	2.1%	8.1M	-276.8M	-492.1K	0.07	22.93	20,042	1,488	163,852	48,722
2012-09-14	$23.61	$22.00	28.0%	8.0%	30.4%	4.4%	29.1%	3.4%	1.9%	10.1M	-289.5M	-498.6K	0.07	22.86	2,178	157	171,649	48,774
2012-09-17	$23.50	$22.00	29.5%	8.5%	30.3%	8.9%	29.0%	2.8%	2.1%	10.7M	-284.0M	-489.5K	0.24	17.91	599	144	172,698	48,856
2012-09-18	$23.32	$22.00	29.1%	8.3%	28.0%	7.6%	30.1%	2.8%	1.7%	12.3M	-275.4M	-489.6K	0.06	16.24	5,475	327	172,700	48,957
2012-09-19	$23.80	$22.00	26.7%	7.6%	28.1%	0.3%	26.8%	1.7%	2.0%	9.4M	-306.5M	-457.1K	0.01	23.32	18,059	237	172,077	49,119
2012-09-20	$23.61	$22.00	26.0%	7.4%	20.1%	0.0%	27.2%	2.4%	2.6%	9.0M	-314.9M	-437.6K	0.03	21.72	20,773	679	180,921	49,177
2012-09-21	$23.18	$22.00	26.0%	7.5%	20.9%	0.0%	26.4%	2.6%	2.1%	17.1M	-284.2M	-473.1K	0.98	15.35	3,032	2,957	179,900	48,871
2012-09-24	$21.43	$20.50	28.4%	8.1%	35.6%	7.1%	28.6%	4.2%	1.2%	5.9M	-211.0M	-447.6K	0.88	38.08	909	799	150,188	36,085
2012-09-25	$21.25	$20.50	30.4%	8.7%	35.7%	13.0%	31.2%	0.6%	1.3%	4.3M	-148.8M	-363.6K	0.67	18.19	8,467	5,693	115,649	35,492
2012-09-26	$20.79	$20.50	30.9%	8.8%	36.4%	14.4%	32.2%	2.7%	3.0%	4.2M	-131.0M	-402.4K	0.58	15.10	1,244	725	120,203	40,170
2012-09-27	$21.09	$20.50	29.5%	8.4%	36.3%	10.3%	29.7%	3.4%	1.7%	4.4M	-141.6M	-393.0K	0.03	11.88	9,128	315	120,723	40,673
2012-09-28	$21.08	$20.50	29.4%	8.4%	36.4%	9.9%	32.0%	4.3%	1.6%	4.2M	-138.4M	-382.5K	0.51	15.45	361	183	118,534	40,785