AEO Options History — November 2013

In November 2013, AEO traded between $14.65 and $16.27. ATM implied volatility averaged 44.1%, placing in the 51.9% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 9.3% (HV 20d: 34.8%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.96.

Notable Days

  • 2013-11-01: Highest Volume — 31,442 contracts
  • 2013-11-14: Largest IV spike — 49.4% change
  • 2013-11-04: Highest IV Rank — 99.1%
  • 2013-11-04: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.81$14.65$16.27$15.13$16.27
Max Pain$11.80$10.00$12.00$10.00$12.00
ATM IV44.1%29.1%65.5%61.4%47.1%
Expected Move10.1%9.6%10.6%10.3%10.2%
HV 20d34.8%26.7%38.3%30.7%33.7%
HV 60d32.3%29.0%37.7%33.9%29.0%
IV Rank51.9%18.9%99.1%90.1%58.5%
IV Percentile85.9%23.4%99.6%99.6%96.8%
Term Structure-3.8%-6.8%-1.7%-2.0%-6.1%
VWIV36.1%32.8%42.2%37.0%35.3%
Skew 25d2.8%0.2%4.3%4.3%0.2%
Skew 10d5.8%-3.7%20.0%0.3%1.5%
Call IV 25d45.4%39.6%60.1%60.1%46.5%
Put IV 25d48.2%43.2%64.4%64.4%46.7%
Bid-Ask Spread %13.499.5318.5418.5412.58
Gamma HHI0.400.180.800.370.18
Net GEX2.2M923.0K6.0M1.4M978.7K
Net DEX-32.8M-68.6M-10.2M-24.5M-30.0M
Net VEX-209.1K-253.4K-191.1K-240.9K-201.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.124.030.320.19
Total Volume8,307.865031,44231,4427,622
Total OI129,716.493,548163,262148,877102,242

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$15.13$10.0061.4%10.3%30.7%90.1%0.0%4.3%-2.0%1.4M-24.5M-240.9K0.3218.5423,8257,617102,62846,249
2013-11-04$15.27$10.0065.5%10.6%28.7%99.1%37.0%4.3%-6.8%1.5M-29.4M-253.4K1.9915.392,3204,621109,31450,690
2013-11-05$15.25$12.0052.6%10.5%26.7%70.8%0.0%3.9%-5.2%1.7M-28.5M-243.5K3.1415.893,98012,490110,29851,194
2013-11-06$14.65$12.0055.8%10.3%31.6%77.8%34.9%3.1%-6.1%1.2M-10.2M-215.9K0.4315.4816,6377,092110,23146,505
2013-11-07$15.25$12.0037.9%10.1%33.6%38.3%39.2%2.4%-4.7%2.4M-27.0M-224.6K1.0214.347,7637,919113,82948,858
2013-11-08$16.21$12.0035.8%9.7%37.2%33.6%35.0%2.2%-2.7%4.4M-68.6M-229.4K0.1415.8614,0331,974114,11449,148
2013-11-11$16.01$12.0033.3%9.7%37.9%28.1%32.8%3.8%-2.7%4.5M-54.9M-206.9K0.1213.8613,9361,698107,77549,689
2013-11-12$16.03$12.0029.7%9.6%37.9%20.1%35.2%3.3%-3.3%3.9M-49.5M-196.6K0.7113.691,259890100,21850,515
2013-11-13$16.07$12.0029.1%9.9%37.7%18.9%34.3%2.2%-3.3%4.3M-51.7M-194.5K0.1713.024,691810100,43851,231
2013-11-14$15.91$12.0043.5%10.3%38.3%50.7%33.1%3.3%-2.4%6.0M-41.9M-200.8K1.2513.839641,20599,09950,426
2013-11-15$15.78$12.0043.4%10.2%37.8%50.4%37.9%2.7%-2.5%4.7M-31.2M-194.3K0.6712.472,6891,79799,39651,191
2013-11-18$15.90$12.0042.8%10.1%36.6%49.1%38.6%2.8%-2.9%923.0K-23.0M-191.1K0.1213.815,62065965,27728,271
2013-11-19$15.90$12.0042.8%10.2%36.6%49.1%36.7%2.2%-3.2%944.6K-23.1M-195.5K0.1911.761,83135666,88028,699
2013-11-20$16.00$12.0043.5%10.3%36.2%50.5%38.3%3.1%-4.6%990.7K-26.2M-199.3K0.1917.431,36425568,19128,893
2013-11-21$16.23$12.0042.4%9.9%36.1%48.2%35.6%2.6%-1.7%1.1M-30.0M-205.2K4.0311.753351,34968,46828,964
2013-11-22$16.00$12.0042.1%10.3%36.6%47.6%33.1%3.6%-3.7%996.3K-25.5M-199.6K0.6910.2438526568,52129,732
2013-11-25$16.13$12.0043.7%9.8%34.1%51.1%42.2%2.3%-3.6%1.0M-27.1M-196.5K0.2210.1998921468,70229,824
2013-11-26$16.02$12.0043.9%10.0%33.9%51.5%0.0%1.3%-3.9%1.0M-26.4M-194.6K0.4410.191,14549968,78329,876
2013-11-27$16.10$12.0044.8%9.9%33.6%53.4%34.6%2.7%-5.5%1.1M-27.8M-198.0K3.279.537172,34169,75930,210
2013-11-29$16.27$12.0047.1%10.2%33.7%58.5%35.3%0.2%-6.1%978.7K-30.0M-201.4K0.1912.586,4161,20669,81632,426