AEO Options History — December 2013

In December 2013, AEO traded between $14.14 and $16.52. ATM implied volatility averaged 41.0%, placing in the 45.1% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 2.2% (HV 20d: 38.8%). Max pain ranged from $12.00 to $12.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2013-12-06: Highest Volume — 23,184 contracts
  • 2013-12-06: Largest IV drop — 42.1% change
  • 2013-12-04: Highest IV Rank — 70.0%
  • 2013-12-19: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.78$14.14$16.52$16.28$14.40
Max Pain$12.00$12.00$12.00$12.00$12.00
ATM IV41.0%30.0%52.3%48.9%41.1%
Expected Move10.9%10.2%11.2%10.2%11.0%
HV 20d38.8%30.1%45.6%32.3%39.9%
HV 60d34.1%29.0%36.0%29.0%34.8%
IV Rank45.1%20.7%70.0%62.6%45.3%
IV Percentile83.4%35.3%97.6%97.2%86.9%
Term Structure-3.5%-10.5%-0.6%-6.3%-2.9%
VWIV39.2%33.5%43.4%35.0%40.8%
Skew 25d0.8%-2.8%3.7%2.1%-2.8%
Skew 10d-1.4%-18.6%12.6%-2.2%-18.6%
Call IV 25d42.1%35.9%53.5%48.3%44.1%
Put IV 25d42.8%38.6%52.9%50.4%41.3%
Bid-Ask Spread %15.4411.1026.9311.1013.90
Gamma HHI0.160.120.220.160.19
Net GEX633.7K-175.7K1.4M1.1M1.2M
Net DEX-5.6M-37.9M16.7M-32.7M-12.2M
Net VEX-195.6K-233.4K-148.2K-213.3K-202.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.021.740.210.19
Total Volume6,891.90586023,1844,5542,023
Total OI126,598.143108,027147,373108,027132,098

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$16.28$12.0048.9%10.2%32.3%62.6%35.0%2.1%-6.3%1.1M-32.7M-213.3K0.2111.103,75979575,31532,712
2013-12-03$16.52$12.0047.1%10.4%32.4%58.7%36.9%2.0%-3.3%1.2M-37.9M-216.2K0.1512.264,05761476,57432,492
2013-12-04$16.13$12.0052.3%10.6%33.9%70.0%33.5%-0.6%-6.5%1.1M-31.9M-228.7K0.4312.264,0661,75279,63632,660
2013-12-05$16.40$12.0051.7%10.6%30.1%68.7%40.3%1.5%-10.5%1.3M-37.9M-233.4K0.4115.9012,4865,10781,64333,933
2013-12-06$14.85$12.0030.0%10.4%45.6%20.7%37.3%2.7%-2.7%155.6K2.5M-177.4K0.9114.7912,13711,04777,71937,240
2013-12-09$14.84$12.0030.9%10.5%39.2%22.9%38.4%2.4%-0.9%195.6K2.9M-181.6K0.2013.267,2331,43580,72038,323
2013-12-10$14.39$12.0037.0%10.7%40.3%36.3%37.4%2.7%-2.5%78.8K9.5M-153.4K1.6013.331,6732,67680,95938,905
2013-12-11$14.34$12.0035.0%10.7%40.2%31.9%0.0%2.9%-3.0%-119.0K13.8M-153.2K0.8214.7153744279,44840,581
2013-12-12$14.14$12.0039.4%10.8%40.2%41.7%38.8%2.6%-2.3%-175.7K16.7M-148.2K0.1013.236,43964179,51340,706
2013-12-13$14.17$12.0040.0%11.2%40.3%42.9%41.3%0.7%-2.1%-77.4K15.0M-164.3K0.0912.5614,3521,26085,02140,470
2013-12-16$14.22$12.0042.0%11.1%40.4%47.3%0.0%3.7%-3.9%14.2K13.2M-177.5K0.8913.881,3221,17497,11941,153
2013-12-17$14.21$12.0041.9%11.2%40.2%47.2%40.7%-1.1%-3.4%55.5K11.7M-185.2K0.0714.5114,65197797,65241,469
2013-12-18$14.23$12.0039.6%11.1%40.2%42.0%38.6%1.2%-0.8%200.2K9.2M-204.6K0.2526.934,4071,112105,63541,738
2013-12-19$14.16$12.0039.7%11.2%39.9%42.2%43.4%0.6%-1.0%11.8K7.8M-200.3K1.0418.28804838105,64740,642
2013-12-20$14.38$12.0039.6%11.0%40.0%42.0%0.0%-0.3%-0.6%640.4K3.6M-205.7K0.1418.503,477502105,83140,118
2013-12-23$14.48$12.0041.4%11.1%40.2%46.0%40.7%-1.4%-6.0%943.4K-11.5M-208.6K0.0222.3011,75725693,73126,757
2013-12-24$14.57$12.0040.3%10.9%40.1%43.5%41.1%0.5%-3.0%1.3M-15.4M-220.9K0.1317.432,434309103,32126,984
2013-12-26$14.57$12.0041.2%11.1%40.1%45.5%41.7%-1.1%-3.9%1.4M-15.8M-217.8K1.7415.037191,248104,21227,193
2013-12-27$14.43$12.0040.8%11.1%40.0%44.8%41.8%-1.4%-4.3%1.3M-13.7M-208.6K1.5413.62338522104,30526,796
2013-12-30$14.57$12.0041.0%11.1%39.9%45.2%38.8%-1.1%-4.1%1.4M-15.2M-206.7K0.1216.552,984368104,44327,147
2013-12-31$14.40$12.0041.1%11.0%39.9%45.3%40.8%-2.8%-2.9%1.2M-12.2M-202.8K0.1913.901,696327104,82227,276