AEO Options History — December 2012

In December 2012, AEO traded between $19.65 and $21.45. ATM implied volatility averaged 32.9%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 2.8% (HV 20d: 30.1%). Max pain ranged from $15.50 to $19.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.44.

Notable Days

  • 2012-12-14: Highest Volume — 278,434 contracts
  • 2012-12-28: Largest IV spike — 18.7% change
  • 2012-12-28: Highest IV Rank — 55.4%
  • 2012-12-28: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.77$19.65$21.45$21.30$20.51
Max Pain$17.63$15.50$19.00$19.00$18.00
ATM IV32.9%27.1%42.8%30.0%41.5%
Expected Move9.5%8.6%12.3%8.6%11.9%
HV 20d30.1%19.3%36.7%36.6%22.9%
HV 60d30.9%27.3%33.3%33.3%29.2%
IV Rank22.7%3.5%55.4%13.3%51.1%
IV Percentile36.6%2.8%86.9%14.7%84.5%
Term Structure0.8%-4.2%2.0%1.8%-4.2%
VWIV33.8%29.9%42.7%29.9%42.7%
Skew 25d3.6%1.9%5.3%2.6%5.2%
Skew 10d10.1%5.0%16.0%9.3%9.3%
Call IV 25d31.7%26.7%40.9%28.9%40.9%
Put IV 25d35.4%31.5%46.1%31.5%46.1%
Bid-Ask Spread %15.207.1621.0815.0015.06
Gamma HHI0.170.120.350.120.23
Net GEX2.6M1.5M3.8M2.5M2.0M
Net DEX-75.9M-117.5M-25.1M-114.2M-47.5M
Net VEX-260.7K-304.4K-221.9K-300.5K-237.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.0014.550.651.12
Total Volume16,184.2230278,4341,7901,221
Total OI122,749.45100,736140,374135,759105,599

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$21.30$19.0030.0%8.6%36.6%13.3%29.9%2.6%1.8%2.5M-114.2M-300.5K0.6515.001,08570588,93246,827
2012-12-04$21.45$19.0032.5%9.3%36.5%21.5%32.4%4.7%-0.6%2.6M-117.5M-293.1K0.5915.641,40883489,38747,192
2012-12-05$21.26$19.0031.4%9.0%36.7%17.9%32.0%1.9%1.6%2.6M-111.8M-304.4K0.1417.021,18016089,30947,421
2012-12-06$21.38$19.0030.5%8.8%36.4%15.0%33.1%5.0%2.0%2.7M-116.0M-285.8K0.4321.0826611589,56047,402
2012-12-07$21.40$15.5029.9%9.0%31.9%13.0%32.6%4.3%1.6%2.7M-117.3M-280.4K0.6618.0555536789,56247,416
2012-12-10$21.02$15.5032.6%9.2%32.8%21.7%34.2%2.4%1.2%2.8M-107.9M-274.1K14.5512.731061,54289,59547,202
2012-12-11$21.01$15.5029.3%8.8%31.9%11.0%32.7%3.0%1.4%3.0M-108.0M-265.7K0.9717.5954553189,60846,526
2012-12-12$20.87$15.5027.1%9.1%32.1%3.5%31.2%3.7%1.7%3.1M-102.7M-262.6K0.8718.543,4783,02089,13246,979
2012-12-13$20.71$15.5031.9%9.2%31.6%19.7%34.4%2.5%1.4%3.1M-97.3M-271.6K1.5918.7721233791,09549,248
2012-12-14$20.57$15.5032.4%9.3%30.2%21.1%32.7%2.2%1.3%3.2M-92.7M-266.4K0.0012.04277,83160391,04049,334
2012-12-17$20.74$18.5032.6%9.4%28.7%21.8%33.4%4.7%1.5%2.5M-49.6M-257.4K1.1314.6853360465,02449,471
2012-12-18$21.05$18.5030.5%8.8%28.5%15.0%32.7%4.0%2.0%2.9M-59.3M-253.7K0.2812.3060417265,19149,252
2012-12-19$20.95$18.5032.8%9.4%28.4%22.3%32.0%4.6%0.5%3.2M-56.7M-250.3K0.5211.401,75891365,32349,267
2012-12-20$20.84$18.5032.3%9.2%28.6%20.6%31.5%2.2%0.7%3.8M-52.4M-249.5K0.3312.661,88261865,57948,698
2012-12-21$20.68$18.5032.8%9.4%28.3%22.4%33.9%3.5%1.4%2.6M-43.9M-246.5K2.2017.0928262165,06149,259
2012-12-24$20.49$18.5032.6%9.4%28.3%21.9%32.3%5.3%1.6%1.6M-41.0M-238.5K1.427.169513557,05444,127
2012-12-26$19.65$18.5036.0%10.3%32.3%33.2%33.9%3.9%0.3%1.5M-25.1M-225.2K0.3816.264,4501,68757,13144,185
2012-12-27$19.70$18.0036.1%10.3%20.0%33.2%35.4%3.8%0.2%1.5M-25.9M-221.9K0.6715.3443028656,72844,008
2012-12-28$19.85$18.0042.8%12.3%19.3%55.4%42.1%3.4%-2.1%1.5M-30.1M-228.9K0.2615.679,9082,60557,22244,043
2012-12-31$20.51$18.0041.5%11.9%22.9%51.1%42.7%5.2%-4.2%2.0M-47.5M-237.1K1.1215.0657764461,52444,075