AEO Options History — January 2013

In January 2013, AEO traded between $19.14 and $21.22. ATM implied volatility averaged 33.9%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 1.0% (HV 20d: 34.9%). Max pain ranged from $18.00 to $20.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2013-01-10: Highest Volume — 19,523 contracts
  • 2013-01-10: Largest IV drop — 23.8% change
  • 2013-01-08: Highest IV Rank — 73.8%
  • 2013-01-02: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.38$19.14$21.22$20.08$20.21
Max Pain$20.21$18.00$20.50$18.00$20.50
ATM IV33.9%28.6%48.4%40.9%29.3%
Expected Move9.3%8.2%11.7%11.7%8.4%
HV 20d34.9%23.8%41.5%23.8%36.3%
HV 60d31.6%28.3%33.4%28.3%32.4%
IV Rank26.1%8.6%73.8%49.3%11.1%
IV Percentile39.4%7.1%97.2%83.3%11.5%
Term Structure1.4%-4.2%5.0%-4.2%5.0%
VWIV32.9%28.8%42.9%42.9%33.1%
Skew 25d4.1%2.7%6.5%6.5%5.5%
Skew 10d10.5%4.6%16.9%15.2%11.9%
Call IV 25d31.1%27.0%40.8%40.8%28.8%
Put IV 25d35.1%30.1%47.3%47.3%34.3%
Bid-Ask Spread %18.2714.6822.7415.6020.45
Gamma HHI0.260.130.550.240.13
Net GEX1.8M517.4K4.7M2.0M566.7K
Net DEX-36.4M-91.0M-12.0M-37.3M-12.4M
Net VEX-219.5K-240.5K-201.4K-226.5K-234.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.021.811.201.37
Total Volume4,781.52440919,5234,097724
Total OI92,008.57146,966127,066105,88954,463

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-01-02$20.08$18.0040.9%11.7%23.8%49.3%42.9%6.5%-4.2%2.0M-37.3M-226.5K1.2015.601,8652,23261,71844,171
2013-01-03$20.40$18.0037.9%10.9%24.5%39.4%37.8%3.9%-2.7%2.1M-45.2M-226.7K1.2719.027901,00161,97445,203
2013-01-04$20.65$20.5038.1%10.0%24.9%39.9%33.9%3.9%-0.1%2.1M-50.8M-224.3K0.5014.681,33366362,11645,698
2013-01-07$19.89$20.5044.1%10.6%27.8%59.7%36.4%4.4%-0.6%2.0M-32.4M-205.8K1.1415.921,4041,59462,21545,858
2013-01-08$20.37$20.5048.4%10.6%29.5%73.8%36.8%5.2%-0.8%2.1M-44.9M-218.4K0.1621.849,9821,56463,23045,951
2013-01-09$20.63$20.5044.0%10.1%29.3%59.3%35.7%5.6%-0.2%2.9M-58.1M-225.9K0.4515.614,9302,23371,07347,012
2013-01-10$19.94$20.5033.5%9.6%31.6%24.9%32.8%4.5%0.7%2.8M-36.7M-208.2K0.2118.7416,1303,39371,01248,611
2013-01-11$19.14$20.5033.6%9.6%34.4%25.0%33.8%3.5%1.5%2.1M-16.2M-210.1K0.2917.312,08261275,02650,031
2013-01-14$19.64$20.5034.0%9.7%36.0%26.3%33.5%4.8%-0.2%2.3M-27.2M-206.4K0.5916.073,2211,88973,71849,926
2013-01-15$20.58$19.5032.4%9.3%40.0%21.0%32.9%3.9%1.1%3.4M-60.0M-219.2K0.1119.036,57975673,43350,154
2013-01-16$20.77$20.5031.4%9.0%40.0%17.8%31.5%3.6%1.6%4.7M-69.1M-212.7K0.0618.8612,76975573,77850,508
2013-01-17$21.09$20.5029.5%8.5%40.0%11.6%31.5%3.6%2.8%2.9M-91.0M-201.4K0.0518.276,64732876,43550,631
2013-01-18$21.22$20.5029.2%8.4%40.0%10.7%28.8%3.5%2.1%2.2M-82.4M-211.5K0.0218.354,1288271,69150,748
2013-01-22$20.97$20.5030.0%8.6%40.2%13.2%30.0%4.3%2.9%614.9K-17.3M-212.9K0.4622.7459327029,96716,999
2013-01-23$20.36$20.5029.8%8.5%41.5%12.6%30.3%3.3%3.0%517.4K-12.4M-203.9K0.1017.811,91619830,39817,004
2013-01-24$20.51$20.5028.6%8.2%41.5%8.6%29.1%3.1%2.9%611.2K-14.5M-214.1K1.0017.042,3642,36431,59817,080
2013-01-25$20.55$20.5029.1%8.4%38.4%10.4%29.0%3.2%2.5%629.2K-15.2M-240.5K0.2417.233298033,64219,174
2013-01-28$20.44$20.5029.5%8.4%38.5%11.5%29.8%2.9%4.4%611.6K-14.0M-237.1K0.4318.1038416633,70219,243
2013-01-29$20.21$20.5029.1%8.3%38.7%10.3%30.8%2.7%4.6%569.7K-12.0M-232.9K0.1019.781,0269933,92419,169
2013-01-30$20.39$20.5029.7%8.5%37.0%12.3%30.3%3.1%4.1%670.9K-14.6M-237.3K1.8121.1633360434,67719,219
2013-01-31$20.21$20.5029.3%8.4%36.3%11.1%33.1%5.5%5.0%566.7K-12.4M-234.5K1.3720.4530541934,79119,672