AEO Options History — October 2012

In October 2012, AEO traded between $20.86 and $22.89. ATM implied volatility averaged 30.4%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 3.6% (HV 20d: 34.0%). Max pain ranged from $18.50 to $20.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.34.

Notable Days

2012-10-03: Highest Volume — 20,903 contracts
2012-10-04: Largest IV drop — 10.8% change
2012-10-31: Highest IV Rank — 27.8%
2012-10-31: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.75	$20.86	$22.89	$21.28	$20.87
Max Pain	$19.36	$18.50	$20.50	$20.50	$19.50
ATM IV	30.4%	26.5%	34.6%	29.8%	34.6%
Expected Move	8.9%	7.6%	9.9%	8.5%	9.9%
HV 20d	34.0%	24.6%	39.3%	36.6%	26.7%
HV 60d	31.4%	30.6%	32.4%	30.6%	31.0%
IV Rank	14.1%	1.6%	27.8%	11.3%	27.8%
IV Percentile	17.3%	0.8%	50.0%	10.3%	50.0%
Term Structure	2.5%	0.9%	5.0%	1.4%	1.8%
VWIV	31.4%	26.4%	34.3%	29.6%	33.7%
Skew 25d	3.9%	2.5%	6.0%	3.5%	3.1%
Skew 10d	9.0%	2.3%	16.8%	10.3%	2.3%
Call IV 25d	29.6%	21.3%	33.3%	29.8%	33.3%
Put IV 25d	33.4%	27.3%	36.6%	33.3%	36.5%
Bid-Ask Spread %	18.36	9.92	57.15	11.63	57.15
Gamma HHI	0.19	0.14	0.28	0.17	0.19
Net GEX	4.3M	2.5M	6.0M	4.4M	3.2M
Net DEX	-166.1M	-215.7M	-119.5M	-145.9M	-124.1M
Net VEX	-420.9K	-489.7K	-350.4K	-369.2K	-388.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.34	0.06	27.61	0.16	0.13
Total Volume	3,559.286	334	20,903	2,679	1,689
Total OI	174,653.381	159,380	185,521	159,380	165,789

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
2012-10-01	$21.28	$20.50	29.8%	8.5%	36.6%	11.3%	29.6%	3.5%	1.4%	4.4M	-145.9M	-369.2K	0.16	11.63	2,314	365	118,568	40,812
2012-10-02	$21.01	$20.50	28.6%	8.2%	36.4%	7.6%	28.6%	3.5%	2.2%	4.6M	-137.2M	-370.2K	0.08	23.96	6,143	503	120,141	41,012
2012-10-03	$21.85	$20.50	29.9%	8.6%	39.3%	12.5%	29.8%	5.1%	1.7%	4.9M	-171.8M	-350.4K	0.67	9.92	12,506	8,397	122,177	41,383
2012-10-04	$22.00	$20.50	26.7%	7.6%	37.8%	2.2%	26.4%	6.0%	5.0%	5.3M	-183.4M	-489.7K	3.34	11.21	297	993	133,771	49,156
2012-10-05	$22.04	$18.50	26.5%	8.8%	37.8%	1.6%	31.7%	3.4%	2.6%	5.2M	-185.3M	-487.5K	0.51	11.56	956	488	133,785	49,304
2012-10-08	$22.18	$18.50	28.3%	8.7%	37.9%	7.6%	32.0%	4.9%	3.6%	5.2M	-190.4M	-480.3K	0.06	13.49	5,259	293	133,684	49,467
2012-10-09	$22.06	$18.50	28.5%	9.0%	37.9%	8.0%	33.7%	4.2%	2.6%	5.1M	-182.5M	-462.5K	27.61	16.58	75	2,071	130,743	49,586
2012-10-10	$21.90	$18.50	30.4%	9.2%	35.7%	14.2%	34.2%	3.3%	2.1%	5.1M	-173.6M	-460.0K	2.71	14.18	777	2,108	130,749	51,106
2012-10-11	$21.79	$18.50	31.5%	9.0%	35.4%	17.7%	31.9%	4.5%	2.6%	5.4M	-171.1M	-451.6K	0.76	14.65	190	144	130,729	50,606
2012-10-12	$21.54	$18.50	31.5%	9.0%	35.5%	17.8%	32.2%	4.0%	2.4%	5.8M	-159.5M	-456.8K	0.90	12.76	302	272	130,791	50,674
2012-10-15	$21.89	$18.50	30.6%	8.8%	36.3%	15.0%	30.7%	4.1%	2.1%	6.0M	-177.6M	-422.9K	1.56	15.17	1,838	2,868	130,856	50,792
2012-10-16	$22.28	$19.50	29.0%	8.3%	37.0%	9.9%	29.9%	2.5%	2.5%	5.2M	-197.1M	-409.8K	1.60	21.20	379	606	131,959	52,907
2012-10-17	$22.45	$19.50	28.7%	8.2%	36.2%	8.6%	28.9%	3.2%	2.8%	4.5M	-205.7M	-404.7K	0.76	16.05	1,820	1,391	132,141	53,380
2012-10-18	$22.89	$19.50	29.8%	8.5%	37.0%	12.2%	29.4%	2.8%	2.2%	3.0M	-215.7M	-382.8K	0.18	13.25	2,008	370	128,714	53,934
2012-10-19	$22.54	$19.50	31.1%	8.9%	36.9%	16.4%	32.6%	3.3%	0.9%	2.5M	-203.0M	-399.9K	0.59	13.49	1,377	812	129,267	54,076
2012-10-22	$22.05	$19.50	31.8%	9.1%	24.6%	18.6%	32.9%	3.0%	3.1%	3.3M	-160.1M	-398.6K	2.74	21.76	1,007	2,755	114,131	47,189
2012-10-23	$21.22	$19.50	32.7%	9.4%	28.2%	21.5%	34.3%	4.1%	4.2%	3.0M	-132.3M	-405.1K	0.45	22.12	5,422	2,439	114,669	49,660
2012-10-24	$21.07	$19.50	31.7%	9.1%	27.2%	18.3%	31.8%	4.5%	4.0%	3.0M	-128.1M	-419.3K	2.47	20.11	679	1,676	115,959	50,891
2012-10-25	$20.86	$19.50	33.7%	9.7%	26.9%	24.7%	32.7%	4.5%	1.3%	3.0M	-119.5M	-416.9K	0.44	22.74	571	251	115,855	51,427
2012-10-26	$20.94	$19.50	32.8%	9.4%	27.0%	21.8%	32.6%	3.5%	2.4%	3.1M	-124.2M	-412.1K	1.46	22.51	136	198	115,960	49,921
2012-10-31	$20.87	$19.50	34.6%	9.9%	26.7%	27.8%	33.7%	3.1%	1.8%	3.2M	-124.1M	-388.7K	0.13	57.15	1,491	198	116,055	49,734