AEO Options History — May 2013

In May 2013, AEO traded between $18.73 and $20.48. ATM implied volatility averaged 33.7%, placing in the 42.3% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 9.8% (HV 20d: 23.8%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.90.

Notable Days

  • 2013-05-22: Highest Volume — 10,207 contracts
  • 2013-05-09: Largest IV drop — 26.4% change
  • 2013-05-08: Highest IV Rank — 77.1%
  • 2013-05-21: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.70$18.73$20.48$18.73$19.79
Max Pain$21.05$20.00$22.00$20.00$21.00
ATM IV33.7%28.5%44.1%33.9%29.9%
Expected Move10.0%8.4%11.5%9.7%8.6%
HV 20d23.8%19.9%29.5%29.5%19.9%
HV 60d34.8%25.4%36.2%36.2%25.4%
IV Rank42.3%25.0%77.1%43.1%29.5%
IV Percentile49.9%11.5%93.3%57.1%27.4%
Term Structure-1.8%-5.4%4.2%2.6%-0.5%
VWIV35.1%29.2%40.2%33.9%30.0%
Skew 25d3.4%0.7%5.4%3.7%0.7%
Skew 10d8.9%-8.3%18.4%13.0%-0.7%
Call IV 25d33.5%27.6%37.6%32.8%29.3%
Put IV 25d36.8%30.0%42.0%36.5%30.0%
Bid-Ask Spread %21.559.3931.4129.7524.55
Gamma HHI0.250.150.740.250.16
Net GEX512.2K-534.5K7.6M-405.7K566.3K
Net DEX-1.7M-14.5M15.9M15.9M-6.8M
Net VEX-266.2K-276.3K-253.1K-253.1K-272.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.900.077.774.390.76
Total Volume3,224.95540610,2075,037818
Total OI82,12963,30595,55383,74873,636

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$18.73$20.0033.9%9.7%29.5%43.1%33.9%3.7%2.6%-405.7K15.9M-253.1K4.3929.759344,10347,39636,352
2013-05-02$18.87$20.0032.9%9.4%28.7%39.8%33.6%2.6%4.2%-329.6K13.3M-256.9K0.8524.661,9611,66947,87136,229
2013-05-03$19.01$20.0034.1%9.8%28.7%43.8%34.5%2.2%3.5%-272.2K11.0M-264.6K7.3327.325173,78847,92936,891
2013-05-06$19.17$22.0036.8%10.8%28.5%52.6%37.5%4.2%-3.9%-517.8K11.2M-266.0K0.2531.4178720048,05040,197
2013-05-07$19.37$22.0036.8%10.8%28.2%52.8%38.0%4.3%-4.1%-420.7K6.6M-270.6K1.0925.3073480148,38740,297
2013-05-08$19.45$22.0044.1%11.4%27.4%77.1%40.2%4.7%-5.3%-349.5K5.4M-271.4K5.4221.971,3947,55248,35740,976
2013-05-09$19.57$22.0032.5%10.8%26.2%38.2%37.1%4.6%-4.4%-534.5K2.6M-271.9K1.9618.691,3362,61449,36245,069
2013-05-10$19.75$21.0028.5%10.7%24.6%25.0%39.4%5.4%-3.3%-95.2K-2.5M-275.2K7.7717.806114,74649,35843,876
2013-05-13$19.62$21.0034.3%10.9%24.3%44.3%38.6%5.4%-3.7%-315.7K879.7K-266.3K1.3716.0017123549,48645,602
2013-05-14$20.08$21.0032.5%10.9%25.2%38.3%38.1%4.6%-4.1%758.6K-11.5M-267.6K1.3115.6840753349,58945,505
2013-05-15$19.90$21.0030.6%11.1%22.8%32.1%38.2%3.2%-4.4%766.2K-8.2M-262.6K2.209.3940088149,74245,358
2013-05-16$19.81$21.0038.3%11.0%20.8%57.6%38.0%4.7%-4.5%1.2M-5.7M-257.0K2.1216.4220643749,62145,688
2013-05-17$20.05$21.0038.2%11.0%20.8%57.5%38.1%3.9%-4.9%7.6M-14.5M-256.3K0.0725.116,34942949,71245,841
2013-05-20$20.21$21.0039.7%11.4%20.9%62.3%39.4%3.7%-4.5%297.6K-6.7M-260.0K0.9814.3068967737,40825,897
2013-05-21$20.31$21.0040.0%11.5%20.3%63.4%39.6%2.7%-5.4%324.5K-8.1M-260.9K0.5416.844,1202,21337,87626,391
2013-05-22$20.48$21.0029.6%8.5%20.3%28.8%29.7%2.4%0.6%476.0K-11.9M-270.2K0.8922.555,4084,79940,47427,321
2013-05-23$20.10$21.0029.8%8.5%21.2%29.4%30.2%2.8%0.2%512.7K-8.3M-274.6K0.1422.181,83125442,54826,072
2013-05-24$20.01$21.0029.9%8.6%21.3%29.5%29.2%2.9%-0.4%522.6K-7.5M-276.3K0.1723.441,92933343,63126,061
2013-05-28$19.95$21.0029.2%8.4%21.3%27.3%29.7%1.0%0.9%540.9K-6.9M-272.9K1.2125.0538847145,17126,190
2013-05-29$19.35$21.0029.8%8.5%23.4%29.2%29.7%1.8%0.9%382.7K838.8K-257.0K0.2523.001,77044145,29226,577
2013-05-30$19.76$21.0029.4%8.4%20.0%28.2%30.6%2.6%0.0%549.0K-5.6M-271.8K0.7222.5858842546,67326,879
2013-05-31$19.79$21.0029.9%8.6%19.9%29.5%30.0%0.7%-0.5%566.3K-6.8M-272.5K0.7624.5546435446,68826,948