AEO Options History — September 2013

In September 2013, AEO traded between $13.99 and $15.34. ATM implied volatility averaged 31.5%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 5.4% (HV 20d: 36.9%). Max pain ranged from $15.00 to $17.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.49.

Notable Days

  • 2013-09-17: Highest Volume — 19,072 contracts
  • 2013-09-17: Largest IV spike — 14.1% change
  • 2013-09-03: Highest IV Rank — 47.1%
  • 2013-09-03: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.66$13.99$15.34$14.37$13.99
Max Pain$15.25$15.00$17.00$17.00$15.00
ATM IV31.5%28.8%34.9%34.9%33.3%
Expected Move9.1%8.7%10.0%10.0%9.6%
HV 20d36.9%23.0%60.2%60.2%24.5%
HV 60d40.2%39.9%40.6%39.9%40.2%
IV Rank36.1%27.3%47.1%47.1%42.0%
IV Percentile59.5%26.6%82.9%82.9%75.0%
Term Structure0.9%-1.5%2.3%-1.2%0.0%
VWIV31.7%29.3%35.2%32.9%33.8%
Skew 25d2.0%-2.9%11.3%6.2%-2.9%
Skew 10d3.2%-6.9%17.0%17.0%3.7%
Call IV 25d31.3%23.5%35.2%30.1%34.8%
Put IV 25d33.3%30.6%36.4%36.4%31.8%
Bid-Ask Spread %13.359.2417.689.2411.08
Gamma HHI0.230.140.310.140.20
Net GEX573.8K73.1K1.7M73.1K478.8K
Net DEX6.7M-6.0M13.8M13.8M6.8M
Net VEX-115.6K-143.6K-100.1K-100.1K-106.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.041.560.580.62
Total Volume3,392.3576319,0721,7782,281
Total OI88,135.8578,379105,31778,37989,270

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$14.37$17.0034.9%10.0%60.2%47.1%32.9%6.2%-1.2%73.1K13.8M-100.1K0.589.241,12865055,89122,488
2013-09-04$14.66$17.0030.6%8.8%44.8%32.9%31.5%11.3%1.5%139.7K11.0M-106.7K0.4610.891,55471156,51722,049
2013-09-05$14.86$16.0030.8%8.8%44.0%33.5%31.0%2.9%2.0%207.2K8.9M-113.7K0.0811.873,10825257,35522,189
2013-09-06$14.77$15.0031.3%9.1%43.7%35.2%32.6%3.3%-0.0%288.2K8.2M-116.1K0.4411.481,93185560,07322,348
2013-09-09$14.91$15.0031.0%9.0%44.1%34.4%32.5%4.3%1.4%417.0K6.2M-118.4K0.8211.8742034361,16122,799
2013-09-10$14.73$15.0032.5%8.9%44.1%39.2%29.3%2.9%1.5%329.5K9.1M-108.7K1.5617.592,3203,61261,20822,994
2013-09-11$14.90$15.0028.8%8.8%43.9%27.3%31.4%2.2%0.8%347.0K8.0M-119.3K0.1811.732,39142662,06424,951
2013-09-12$14.56$15.0030.4%8.7%44.3%32.3%30.0%1.8%1.6%355.4K12.5M-105.9K1.0212.8154555462,85925,053
2013-09-13$14.86$15.0030.9%8.9%45.0%34.1%31.5%0.5%1.5%489.1K8.4M-117.4K0.3610.501,68261463,12925,038
2013-09-16$14.86$15.0030.2%8.7%44.9%31.7%30.7%4.1%1.5%530.8K8.8M-113.6K0.9616.7144442862,87525,330
2013-09-17$15.12$15.0034.4%9.9%45.3%45.7%35.2%-0.1%-1.5%562.8K4.9M-122.4K0.0414.9518,37070262,91025,462
2013-09-18$15.34$15.0032.9%9.4%44.7%40.7%32.7%2.2%-0.5%1.4M-6.0M-143.6K0.1617.684,79777977,25425,691
2013-09-19$15.03$15.0032.0%9.2%25.3%37.5%32.0%1.1%0.8%1.7M-393.5K-139.8K0.1013.723,71336978,31725,608
2013-09-20$14.77$15.0031.1%8.9%23.6%34.8%31.2%2.5%0.2%1.2M6.2M-128.2K0.2812.042,54570479,62325,694
2013-09-23$14.39$15.0031.4%9.0%23.2%35.5%32.2%-1.2%1.4%657.7K4.3M-110.9K0.5111.721,43873065,66619,356
2013-09-24$14.28$15.0031.0%8.9%23.3%34.3%31.2%3.0%2.3%540.0K6.1M-107.4K0.6716.731,00467266,21019,725
2013-09-25$14.27$15.0030.9%8.8%23.1%33.9%30.6%-1.4%2.0%540.1K6.1M-109.2K0.2711.411,37136866,48220,308
2013-09-26$14.24$15.0031.6%9.1%23.0%36.2%30.3%-1.7%1.1%547.4K6.2M-107.7K0.1716.282,19336366,89320,610
2013-09-27$14.33$15.0030.9%8.9%23.2%34.1%31.9%-1.0%1.6%645.9K4.2M-116.4K0.5516.6395652468,41620,851
2013-09-30$13.99$15.0033.3%9.6%24.5%42.0%33.8%-2.9%0.0%478.8K6.8M-106.9K0.6211.081,40687568,41920,851