AEO Options History — March 2013

In March 2013, AEO traded between $18.38 and $22.55. ATM implied volatility averaged 30.3%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 16.4% (HV 20d: 46.7%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.12.

Notable Days

  • 2013-03-05: Highest Volume — 20,596 contracts
  • 2013-03-06: Largest IV drop — 41.4% change
  • 2013-03-05: Highest IV Rank — 82.2%
  • 2013-03-01: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.05$18.38$22.55$20.78$18.70
Max Pain$20.95$20.00$21.00$20.00$21.00
ATM IV30.3%21.0%50.9%41.1%27.0%
Expected Move8.4%7.6%11.8%11.8%7.8%
HV 20d46.7%23.5%50.9%23.5%49.9%
HV 60d37.1%28.2%39.4%28.2%38.0%
IV Rank25.3%0.0%82.2%49.7%20.1%
IV Percentile21.6%0.0%99.2%86.5%4.8%
Term Structure0.7%-9.1%2.5%-9.1%2.5%
VWIV29.0%24.1%42.5%42.5%27.8%
Skew 25d3.4%2.1%6.9%6.9%2.5%
Skew 10d7.7%-5.0%15.1%11.7%9.7%
Call IV 25d27.9%25.5%38.3%38.3%27.8%
Put IV 25d31.4%28.6%45.3%45.3%30.4%
Bid-Ask Spread %17.449.0824.6419.6222.08
Gamma HHI0.160.130.220.220.13
Net GEX314.0K54.2K870.9K759.8K188.7K
Net DEX-6.5M-36.9M9.8M-18.0M7.2M
Net VEX-229.1K-257.6K-193.9K-248.1K-226.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.093.293.290.65
Total Volume4,013.745020,5961,034542
Total OI62,036.8551,05470,82354,78765,540

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-03-01$20.78$20.0041.1%11.8%23.5%49.7%42.5%6.9%-9.1%759.8K-18.0M-248.1K3.2919.6224179336,76918,018
2013-03-04$21.67$21.0046.8%9.7%27.6%68.4%34.8%5.2%-1.8%870.9K-27.8M-252.7K1.4419.821,6322,34636,84918,612
2013-03-05$22.55$21.0050.9%9.4%30.1%82.2%32.9%4.7%-2.6%856.6K-36.9M-257.6K0.7818.3911,5719,02537,69720,466
2013-03-06$20.27$21.0029.8%8.2%49.2%12.7%28.0%3.2%1.8%54.2K-710.0K-240.1K2.0311.825,97012,09944,61826,010
2013-03-07$20.41$21.0027.3%8.4%49.1%4.3%28.7%3.0%1.3%252.3K-7.9M-252.3K0.209.087,2181,42545,41725,406
2013-03-08$21.07$21.0024.0%7.8%49.5%0.0%27.3%3.0%2.4%701.4K-18.6M-257.3K0.8311.6573560944,42925,914
2013-03-11$20.65$21.0027.1%7.9%50.2%11.3%27.7%2.6%1.5%270.6K-10.5M-246.1K0.5716.4444125044,40925,632
2013-03-12$20.50$21.0026.9%8.1%50.0%10.6%27.8%2.4%1.8%111.2K-7.9M-239.4K0.6815.092,0161,36644,50425,629
2013-03-13$20.84$21.0021.0%7.7%50.2%0.0%26.1%2.8%1.4%392.7K-13.8M-239.4K0.7016.0926418644,46925,755
2013-03-14$20.79$21.0026.6%7.6%50.2%18.5%27.0%3.4%1.4%255.6K-13.1M-236.8K0.2414.3387720743,26424,983
2013-03-15$20.38$21.0026.8%7.7%50.6%19.4%26.7%2.3%2.3%141.5K-6.9M-225.9K2.3215.4730169743,69925,106
2013-03-18$20.15$21.0027.4%7.8%50.1%21.2%27.1%4.0%1.1%316.0K-6.5M-220.3K0.4122.3555722832,91318,141
2013-03-19$19.48$21.0028.3%8.1%50.5%24.5%28.5%2.8%2.3%205.1K-783.6K-207.2K1.2415.7471288433,27818,301
2013-03-20$19.48$21.0028.9%8.3%50.4%26.4%26.8%4.0%0.8%185.0K-628.2K-208.4K0.3919.0246418133,51118,849
2013-03-21$19.06$21.0028.7%8.2%50.8%25.5%28.5%2.1%1.6%129.0K2.8M-198.6K0.0916.753,03726133,67618,919
2013-03-22$18.75$21.0027.8%8.0%50.9%22.8%29.2%3.4%2.1%153.5K4.6M-195.7K0.7917.2746236435,94419,050
2013-03-25$18.59$21.0030.1%8.6%50.8%30.3%24.1%3.7%0.8%129.5K5.4M-193.9K1.0520.814,5934,82736,08719,287
2013-03-26$18.38$21.0029.8%8.5%50.1%29.2%29.2%2.3%1.9%159.4K9.8M-214.9K1.8322.427451,36140,30723,722
2013-03-27$18.47$21.0029.8%8.5%49.7%29.1%28.8%3.8%1.4%147.2K9.3M-221.4K2.8424.6420558240,76824,789
2013-03-28$18.70$21.0027.0%7.8%49.9%20.1%27.8%2.5%2.5%188.7K7.2M-226.0K0.6522.0832821440,71824,822