AEO Options History — June 2013

In June 2013, AEO traded between $17.62 and $19.90. ATM implied volatility averaged 29.1%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 6.9% (HV 20d: 22.2%). Max pain ranged from $19.00 to $21.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.99.

Notable Days

  • 2013-06-24: Highest Volume — 5,833 contracts
  • 2013-06-20: Largest IV spike — 11.2% change
  • 2013-06-12: Highest IV Rank — 32.7%
  • 2013-06-24: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.92$17.62$19.90$19.67$18.26
Max Pain$19.40$19.00$21.00$21.00$19.00
ATM IV29.1%25.8%30.8%30.3%26.1%
Expected Move8.4%7.4%8.8%8.7%7.5%
HV 20d22.2%20.1%27.1%20.1%24.2%
HV 60d24.3%23.1%25.3%25.3%24.5%
IV Rank27.0%15.8%32.7%30.9%16.9%
IV Percentile21.8%0.8%40.9%31.7%2.0%
Term Structure2.0%-0.1%4.0%-0.1%3.4%
VWIV29.1%25.1%30.9%30.4%25.1%
Skew 25d2.8%0.5%5.3%2.1%2.4%
Skew 10d9.8%6.3%16.1%10.2%8.9%
Call IV 25d28.4%23.7%31.8%29.9%23.7%
Put IV 25d31.2%26.1%33.3%32.0%26.1%
Bid-Ask Spread %20.1611.3829.7922.4019.49
Gamma HHI0.150.140.160.160.16
Net GEX413.7K133.5K735.7K537.9K290.0K
Net DEX3.6M-8.3M16.9M-4.3M3.5M
Net VEX-222.9K-272.2K-169.3K-264.3K-184.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.043.900.300.68
Total Volume1,299.82895,8333,109289
Total OI73,036.8562,90277,24374,00063,978

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-06-03$19.67$21.0030.3%8.7%20.1%30.9%30.4%2.1%-0.1%537.9K-4.3M-264.3K0.3022.402,40070946,85827,142
2013-06-04$19.88$21.0029.5%8.5%20.2%28.4%29.3%0.7%0.5%712.6K-8.3M-272.2K0.5521.7387248348,02326,986
2013-06-05$19.56$21.0030.6%8.8%20.9%32.1%30.0%0.5%0.7%619.1K-3.8M-262.8K0.2917.8840411748,24427,243
2013-06-06$19.72$21.0029.1%8.4%21.0%27.1%29.6%1.9%1.1%663.1K-5.2M-264.8K0.3315.9742513948,23327,268
2013-06-07$19.90$19.0027.8%8.4%21.1%22.5%28.6%3.4%1.5%735.7K-8.0M-267.1K0.8113.6952642548,12927,368
2013-06-10$19.58$19.0029.9%8.4%21.7%29.8%30.3%3.7%1.7%645.2K-2.4M-252.0K0.6911.3837025548,29427,448
2013-06-11$19.27$19.0029.1%8.7%22.3%27.0%30.5%2.8%2.2%535.0K2.4M-243.4K1.0717.4927629448,53527,634
2013-06-12$19.00$19.0030.8%8.6%20.9%32.7%30.3%2.9%2.4%438.1K5.8M-231.6K2.1018.8823549348,63527,760
2013-06-13$19.25$19.0030.3%8.7%21.5%30.9%29.7%3.5%1.9%539.2K2.5M-240.7K0.1819.7261510948,71127,825
2013-06-14$19.05$19.0029.9%8.6%21.7%29.5%30.9%3.3%2.0%435.3K5.7M-230.1K1.3219.8513818249,14427,817
2013-06-17$19.05$19.0029.0%8.3%21.0%26.7%28.9%3.5%2.9%375.3K6.3M-225.2K0.8523.9222519249,08027,963
2013-06-18$19.16$19.0028.8%8.3%20.9%26.1%29.0%3.7%2.2%416.6K5.2M-224.8K1.2719.9128836749,08728,061
2013-06-19$18.72$19.0027.6%7.9%21.9%21.9%27.9%2.6%3.4%158.6K11.4M-208.9K2.8124.0532290449,19028,053
2013-06-20$18.27$19.0030.7%8.8%22.5%32.2%30.2%2.7%1.6%204.4K16.0M-191.3K1.8828.888381,57749,01427,833
2013-06-21$18.23$19.0030.0%8.6%22.0%30.1%29.9%3.0%2.1%183.9K16.9M-187.4K3.9017.902591,01148,82428,157
2013-06-24$17.62$19.0030.7%8.8%24.3%32.3%30.5%2.8%1.3%133.5K9.5M-169.3K0.1121.005,27455943,17019,732
2013-06-25$18.11$19.0028.5%8.2%27.1%25.1%28.0%5.3%2.1%215.4K6.2M-178.9K0.1625.001,13818543,56619,619
2013-06-26$18.02$19.0025.8%7.4%25.4%15.8%26.3%2.4%4.0%181.0K7.4M-173.6K0.4529.7987539143,88319,702
2013-06-27$18.15$19.0027.4%7.8%24.0%21.2%26.5%2.8%2.5%253.8K5.4M-184.7K0.0414.301,7726344,56519,963
2013-06-28$18.26$19.0026.1%7.5%24.2%16.9%25.1%2.4%3.4%290.0K3.5M-184.4K0.6819.4917211744,53119,447