AEO Options History — August 2013

In August 2013, AEO traded between $14.47 and $20.05. ATM implied volatility averaged 30.8%, placing in the 33.3% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 18.3% (HV 20d: 49.2%). Max pain ranged from $17.00 to $20.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.94.

Notable Days

  • 2013-08-06: Highest Volume — 20,655 contracts
  • 2013-08-15: Largest IV spike — 66.0% change
  • 2013-08-20: Highest IV Rank — 60.8%
  • 2013-08-20: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.46$14.47$20.05$19.92$14.47
Max Pain$17.95$17.00$20.00$19.00$17.00
ATM IV30.8%20.6%39.1%27.7%33.9%
Expected Move9.4%7.7%11.2%7.9%9.7%
HV 20d49.2%12.8%62.6%15.2%60.3%
HV 60d34.3%20.4%40.3%20.4%40.0%
IV Rank33.3%0.0%60.8%22.1%43.8%
IV Percentile51.4%0.0%89.7%16.3%77.8%
Term Structure-0.5%-3.9%4.4%4.4%0.5%
VWIV32.6%27.0%37.7%29.1%32.2%
Skew 25d3.0%0.4%8.5%3.1%8.5%
Skew 10d6.1%-13.0%17.2%15.9%17.2%
Call IV 25d31.7%26.6%35.5%28.0%26.9%
Put IV 25d34.6%29.5%38.7%31.2%35.5%
Bid-Ask Spread %12.427.5030.7217.549.51
Gamma HHI0.150.110.200.190.14
Net GEX139.5K-294.4K809.3K616.2K94.5K
Net DEX12.8M-15.8M25.9M-11.9M12.8M
Net VEX-136.1K-212.9K-98.6K-209.0K-104.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.183.180.400.36
Total Volume4,321.04573120,6554,0911,420
Total OI75,322.90958,37284,32969,98877,444

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$19.92$19.0027.7%7.9%15.2%22.1%29.1%3.1%4.4%616.2K-11.9M-209.0K0.4017.542,9231,16843,43326,555
2013-08-02$20.05$19.0026.9%7.7%15.0%19.6%27.0%2.9%4.3%809.3K-15.8M-212.9K1.9230.726991,34344,73227,225
2013-08-05$19.97$20.0031.0%9.4%12.8%33.4%33.0%3.9%-2.7%575.1K-12.6M-211.9K0.4914.5697648345,20328,258
2013-08-06$17.57$20.0030.7%9.3%48.0%32.2%32.4%3.5%-2.6%-294.4K25.9M-137.7K1.0715.039,98610,66945,69228,625
2013-08-07$16.90$19.0031.1%9.6%49.5%33.5%32.7%1.3%-1.9%27.0K20.8M-142.5K1.1115.691,2741,41452,01628,944
2013-08-08$17.04$18.0028.0%9.7%49.5%23.3%33.8%2.8%-1.9%90.3K20.0M-149.0K0.8410.061,08390752,34629,437
2013-08-09$16.86$18.0024.5%9.7%49.5%11.5%34.7%3.5%-2.0%88.7K21.6M-141.1K0.4911.601,27562452,69729,884
2013-08-12$16.84$18.0028.6%9.9%49.4%25.2%34.0%3.3%-2.6%73.0K22.2M-139.7K0.499.891,11554152,99030,201
2013-08-13$17.08$18.0031.0%9.7%49.7%33.3%34.0%1.9%-1.8%177.8K18.8M-150.6K1.0010.5992893053,52130,139
2013-08-14$16.89$18.0020.6%9.7%49.7%0.0%33.7%2.7%-1.1%195.7K21.9M-140.8K3.1810.8617555653,72530,604
2013-08-15$16.54$18.0034.2%9.8%50.0%44.7%34.9%3.8%-1.5%27.0K24.3M-132.1K2.299.556431,47253,42530,297
2013-08-16$16.30$18.0035.2%10.1%50.1%48.3%34.9%1.7%-1.6%-168.6K25.5M-129.0K0.768.991,9701,49053,56530,646
2013-08-19$16.00$18.0035.8%10.3%49.6%50.2%34.2%3.7%-2.0%6.1K12.2M-120.8K0.8610.181,7391,49038,00420,368
2013-08-20$16.38$18.0039.1%11.2%50.7%60.8%37.7%3.2%-3.9%98.5K8.7M-137.9K0.368.067,9372,86139,19121,328
2013-08-21$14.76$17.0032.1%9.2%61.0%37.8%32.9%1.7%-0.4%-31.2K19.3M-98.6K1.9112.105,51710,52645,43122,926
2013-08-22$15.21$17.0032.1%9.2%62.6%38.1%31.6%3.6%-0.4%156.3K8.4M-116.1K0.4116.083,9411,62349,32219,715
2013-08-23$14.78$17.0030.9%8.9%62.6%34.1%31.3%2.9%0.3%94.2K11.3M-103.9K1.3612.349661,31350,51720,632
2013-08-26$14.76$17.0030.2%8.7%62.5%31.7%27.9%0.4%1.6%100.3K11.6M-101.1K0.3311.773,00497850,83921,001
2013-08-27$14.61$17.0032.5%9.3%61.9%39.2%32.0%0.8%1.4%116.4K11.9M-104.6K0.4312.562,04687352,82321,204
2013-08-28$14.65$17.0031.6%9.1%61.6%36.4%31.7%3.3%1.0%113.0K12.0M-106.9K0.537.5067235954,21021,684
2013-08-29$14.58$17.0030.9%8.9%60.8%34.1%31.4%2.6%2.0%104.4K12.5M-104.1K0.188.042,67947554,37721,928
2013-08-30$14.47$17.0033.9%9.7%60.3%43.8%32.2%8.5%0.5%94.5K12.8M-104.3K0.369.511,04537555,22422,220