AEO Options History — October 2013

In October 2013, AEO traded between $13.24 and $15.52. ATM implied volatility averaged 36.6%, placing in the 49.7% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 11.1% (HV 20d: 25.5%). Max pain ranged from $10.00 to $16.00. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.27.

Notable Days

  • 2013-10-30: Highest Volume — 31,325 contracts
  • 2013-10-30: Largest IV spike — 38.3% change
  • 2013-10-30: Highest IV Rank — 100.0%
  • 2013-10-09: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.04$13.24$15.52$14.07$15.49
Max Pain$12.45$10.00$16.00$15.00$10.00
ATM IV36.6%28.6%65.9%32.1%65.9%
Expected Move9.9%9.0%10.9%9.2%10.4%
HV 20d25.5%22.8%29.7%24.5%29.0%
HV 60d40.3%33.7%42.9%39.8%33.7%
IV Rank49.7%26.3%100.0%37.9%100.0%
IV Percentile76.0%19.4%100.0%65.1%100.0%
Term Structure0.9%-10.6%5.1%0.2%-10.6%
VWIV34.7%30.8%39.8%32.4%33.5%
Skew 25d2.2%-4.0%7.9%-1.5%-0.7%
Skew 10d4.7%-9.2%24.7%5.8%-3.5%
Call IV 25d36.1%27.1%67.1%34.3%67.1%
Put IV 25d38.3%29.9%66.4%32.8%66.4%
Bid-Ask Spread %13.168.0629.3010.1014.25
Gamma HHI0.170.120.330.190.33
Net GEX119.3K-309.6K1.3M475.1K1.3M
Net DEX5.4M-30.7M14.7M6.7M-30.7M
Net VEX-121.8K-234.6K-94.8K-107.1K-234.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.089.040.240.14
Total Volume5,722.47885931,3251,02612,498
Total OI100,591.17485,416141,73490,225141,734

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$14.07$15.0032.1%9.2%24.5%37.9%32.4%-1.5%0.2%475.1K6.7M-107.1K0.2410.1082520168,97721,248
2013-10-02$13.96$15.0032.1%9.2%23.3%38.1%32.2%0.4%0.4%365.0K8.1M-104.1K0.658.263,6532,35869,45121,356
2013-10-03$13.78$14.0031.5%9.0%22.8%36.0%30.8%-4.0%0.9%206.4K9.4M-105.1K0.448.061,00944070,81923,271
2013-10-04$13.90$16.0028.6%9.4%23.2%26.3%32.5%2.5%5.1%195.6K8.9M-105.0K0.6311.1479149870,70323,438
2013-10-07$13.55$16.0034.6%9.8%24.0%46.1%34.7%0.7%3.8%102.9K11.4M-97.8K0.9712.942,9292,82770,91923,689
2013-10-08$13.24$15.0036.7%10.8%24.8%53.2%37.2%2.1%0.9%21.6K14.3M-99.5K1.3516.1160281172,99025,950
2013-10-09$13.28$15.0034.8%10.9%24.2%46.8%39.0%0.5%0.8%-10.6K14.7M-98.7K0.3111.673,24299573,32826,368
2013-10-10$13.55$15.0035.7%10.2%24.9%49.8%34.7%2.2%1.1%24.6K11.5M-104.4K0.4815.421,01548574,42526,313
2013-10-11$13.26$15.0034.3%9.8%24.0%45.3%33.9%4.4%1.7%-42.9K14.5M-94.8K0.5010.603,0451,52874,60626,489
2013-10-14$13.48$0.0034.0%10.5%25.2%44.2%36.0%2.0%2.7%34.5K11.2M-101.2K0.4029.3061524476,04626,058
2013-10-15$13.46$12.0033.8%10.5%23.9%43.6%36.6%3.1%3.7%58.3K10.8M-100.7K0.1312.771,39917576,51725,994
2013-10-16$13.71$12.0032.6%9.9%24.3%39.7%34.3%2.6%4.2%92.4K8.8M-102.3K2.4211.296641,60776,83725,908
2013-10-17$13.80$12.0031.9%9.9%24.0%37.1%32.4%1.7%4.3%83.4K8.3M-102.9K0.0911.091,31911576,26226,672
2013-10-18$14.19$12.0031.9%9.8%26.0%37.5%39.8%0.4%4.9%179.3K1.8M-110.9K0.6312.243,7472,36076,60826,703
2013-10-21$13.90$10.0035.2%9.9%25.5%48.2%36.2%2.4%0.6%123.6K6.0M-108.8K3.4710.601,6965,89260,39725,019
2013-10-22$14.03$10.0035.0%9.7%25.6%47.5%34.4%3.1%0.6%-110.3K7.9M-117.9K3.0610.781,4234,35261,28130,273
2013-10-23$13.92$10.0034.9%9.7%25.8%47.2%33.9%4.2%2.0%-264.7K11.0M-130.0K9.0413.542672,41462,15234,478
2013-10-24$14.17$10.0035.1%9.8%26.6%47.9%35.8%3.9%1.6%-309.6K8.8M-136.5K1.2711.238271,04762,33136,342
2013-10-25$14.42$10.0034.8%9.9%27.3%46.9%0.0%7.9%1.8%-269.4K5.8M-137.7K0.6611.011,7121,13462,57337,025
2013-10-28$15.03$10.0036.5%9.9%29.3%52.6%34.3%6.1%0.5%72.6K-3.2M-147.3K1.2414.084,0835,07063,08937,478
2013-10-29$15.27$10.0042.1%9.7%29.7%71.0%33.5%5.1%-2.0%115.9K-6.6M-158.4K0.9322.559,5448,83464,65739,826
2013-10-30$15.52$10.0058.3%10.1%29.6%100.0%0.0%1.4%-9.4%297.3K-14.5M-194.6K0.0813.7429,0182,30772,01244,985
2013-10-31$15.49$10.0065.9%10.4%29.0%100.0%0.0%-0.7%-10.6%1.3M-30.7M-234.6K0.1414.2510,9531,54596,16745,567