AEO Options History — November 2012

In November 2012, AEO traded between $18.49 and $21.29. ATM implied volatility averaged 36.7%, placing in the 34.6% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 8.7% (HV 20d: 28.1%). Max pain ranged from $18.00 to $22.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.73.

Notable Days

2012-11-28: Highest Volume — 18,007 contracts
2012-11-28: Largest IV drop — 32.7% change
2012-11-27: Highest IV Rank — 67.3%
2012-11-27: Largest Expected Move — 13.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.95	$18.49	$21.29	$21.29	$21.20
Max Pain	$20.14	$18.00	$22.00	$19.50	$19.00
ATM IV	36.7%	29.6%	46.9%	31.7%	30.1%
Expected Move	11.0%	8.5%	13.4%	9.1%	8.6%
HV 20d	28.1%	23.4%	37.5%	27.3%	36.9%
HV 60d	31.3%	29.5%	33.4%	31.2%	33.3%
IV Rank	34.6%	11.6%	67.3%	18.3%	13.3%
IV Percentile	55.3%	12.3%	94.0%	24.2%	14.7%
Term Structure	-1.5%	-8.4%	5.4%	4.7%	0.7%
VWIV	38.5%	30.1%	46.5%	32.7%	31.4%
Skew 25d	4.8%	2.5%	6.4%	3.6%	3.7%
Skew 10d	11.9%	5.0%	23.7%	12.4%	5.4%
Call IV 25d	35.8%	27.0%	44.4%	29.5%	27.0%
Put IV 25d	40.6%	30.7%	48.4%	33.1%	30.7%
Bid-Ask Spread %	16.42	11.52	23.64	23.64	16.00
Gamma HHI	0.21	0.12	0.49	0.20	0.12
Net GEX	2.8M	1.7M	5.3M	3.2M	2.6M
Net DEX	-87.2M	-137.8M	-40.0M	-137.8M	-110.3M
Net VEX	-336.7K	-379.6K	-309.2K	-379.6K	-310.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.09	4.70	0.44	0.80
Total Volume	4,903.952	425	18,007	3,099	2,509
Total OI	152,616.81	124,901	178,888	165,472	135,753

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
2012-11-01	$21.29	$19.50	31.7%	9.1%	27.3%	18.3%	32.7%	3.6%	4.7%	3.2M	-137.8M	-379.6K	0.44	23.64	2,153	946	115,827	49,645
2012-11-02	$21.05	$19.50	30.1%	8.6%	23.5%	13.4%	30.1%	2.5%	5.4%	3.3M	-130.4M	-370.8K	0.73	16.59	485	355	115,982	49,828
2012-11-05	$20.83	$22.00	33.9%	10.5%	23.5%	25.4%	36.5%	5.4%	-1.5%	3.3M	-122.2M	-368.4K	1.62	17.38	162	263	116,052	49,871
2012-11-06	$20.84	$22.00	32.7%	10.3%	23.4%	21.7%	37.8%	4.8%	-0.3%	3.3M	-122.5M	-359.0K	4.70	13.82	113	531	116,138	50,041
2012-11-07	$20.59	$22.00	33.0%	10.8%	23.4%	22.6%	37.3%	4.8%	-2.0%	3.3M	-113.7M	-356.1K	2.29	16.66	569	1,305	116,146	50,430
2012-11-08	$19.69	$22.00	33.1%	11.2%	27.5%	22.7%	38.9%	4.9%	-1.5%	3.2M	-79.7M	-356.0K	0.46	17.28	3,258	1,483	116,477	51,016
2012-11-09	$19.89	$22.00	33.7%	11.2%	28.1%	24.9%	38.3%	4.9%	-1.2%	3.6M	-87.0M	-354.1K	0.24	16.08	1,127	273	118,762	51,934
2012-11-12	$19.54	$22.00	35.5%	11.1%	28.5%	30.6%	36.6%	5.8%	-1.2%	3.2M	-71.6M	-336.0K	0.10	13.91	4,725	479	118,484	52,088
2012-11-13	$19.64	$22.00	35.9%	11.2%	28.6%	31.8%	39.8%	4.4%	-1.1%	3.2M	-75.1M	-335.7K	0.57	15.21	1,155	664	119,098	52,308
2012-11-14	$19.34	$21.00	38.1%	12.4%	27.8%	38.9%	41.6%	5.4%	-2.5%	2.8M	-65.3M	-331.2K	0.72	20.12	7,146	5,117	119,592	52,699
2012-11-15	$18.87	$21.00	42.9%	12.3%	27.0%	54.5%	45.5%	6.4%	-1.8%	2.4M	-50.4M	-331.6K	0.38	15.81	3,812	1,464	119,112	56,413
2012-11-16	$18.49	$19.00	43.5%	12.5%	26.6%	56.5%	41.8%	5.7%	-3.2%	5.3M	-40.0M	-332.2K	0.31	13.65	3,953	1,235	121,701	57,187
2012-11-19	$18.84	$18.00	41.5%	11.9%	26.5%	50.0%	41.2%	6.3%	-2.5%	1.7M	-56.4M	-320.7K	0.37	11.52	2,754	1,030	82,709	42,192
2012-11-20	$19.16	$18.00	41.5%	11.9%	28.0%	49.8%	42.0%	4.2%	-3.7%	1.7M	-64.5M	-323.1K	0.46	20.56	1,929	891	82,866	42,424
2012-11-21	$19.32	$19.00	41.2%	11.8%	28.1%	48.9%	42.2%	5.8%	-4.1%	1.7M	-66.9M	-322.7K	0.17	12.51	910	155	82,876	42,936
2012-11-23	$19.68	$19.00	40.2%	11.5%	26.8%	45.6%	40.1%	4.5%	-2.7%	1.8M	-73.7M	-320.6K	0.09	12.55	471	44	82,722	42,986
2012-11-26	$19.48	$19.00	44.8%	12.9%	26.9%	60.6%	44.4%	4.6%	-6.4%	1.7M	-70.3M	-314.6K	0.09	16.86	7,010	609	83,002	43,018
2012-11-27	$19.39	$19.00	46.9%	13.4%	26.8%	67.3%	46.5%	4.0%	-8.4%	2.0M	-71.2M	-321.3K	0.47	16.10	11,329	5,297	87,142	42,870
2012-11-28	$20.77	$19.00	31.6%	9.0%	37.1%	17.9%	33.9%	3.7%	2.2%	2.5M	-110.1M	-318.1K	0.27	19.17	14,132	3,875	92,290	45,897
2012-11-29	$21.09	$19.00	29.6%	8.5%	37.5%	11.6%	30.5%	4.8%	0.6%	2.2M	-111.8M	-309.2K	0.12	19.38	6,484	781	89,700	46,739
2012-11-30	$21.20	$19.00	30.1%	8.6%	36.9%	13.3%	31.4%	3.7%	0.7%	2.6M	-110.3M	-310.1K	0.80	16.00	1,397	1,112	88,858	46,895