AEO Options History — January 2014

In January 2014, AEO traded between $12.77 and $15.50. ATM implied volatility averaged 39.5%, placing in the 41.7% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 6.7% (HV 20d: 32.7%). Max pain ranged from $12.00 to $12.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.44.

Notable Days

  • 2014-01-28: Highest Volume — 29,025 contracts
  • 2014-01-16: Largest IV spike — 49.0% change
  • 2014-01-08: Highest IV Rank — 76.1%
  • 2014-01-23: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.33$12.77$15.50$14.73$13.53
Max Pain$12.00$12.00$12.00$12.00$12.00
ATM IV39.5%23.4%55.0%42.7%42.4%
Expected Move11.2%11.0%11.9%11.0%11.4%
HV 20d32.7%16.1%46.5%40.6%45.6%
HV 60d36.4%33.9%39.8%34.7%39.8%
IV Rank41.7%6.3%76.1%48.8%48.1%
IV Percentile77.8%1.2%98.0%90.1%88.1%
Term Structure2.8%-5.0%6.9%-5.0%5.5%
VWIV39.7%37.5%43.2%37.5%41.4%
Skew 25d-0.9%-6.7%2.0%-1.1%-3.0%
Skew 10d-3.9%-11.1%1.1%-10.9%-7.2%
Call IV 25d39.4%33.6%45.3%45.3%43.9%
Put IV 25d38.5%33.1%45.5%44.1%40.9%
Bid-Ask Spread %20.0714.7928.8216.4020.34
Gamma HHI0.200.130.260.210.22
Net GEX1.5M741.4K3.1M1.5M1.8M
Net DEX-20.7M-39.1M-5.0M-17.8M-34.1M
Net VEX-222.5K-305.2K-177.3K-213.1K-305.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.062.030.150.14
Total Volume7,867.9521,20629,0255,0671,814
Total OI133,209.09589,032159,516133,126159,516

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$14.73$12.0042.7%11.0%40.6%48.8%37.5%-1.1%-5.0%1.5M-17.8M-213.1K0.1516.404,410657105,63127,495
2014-01-03$14.98$12.0042.9%11.0%40.7%49.3%0.0%0.3%-4.9%1.8M-23.4M-219.5K0.3016.282,663789107,71827,788
2014-01-06$15.05$12.0046.9%11.1%40.2%58.2%37.6%-0.2%0.2%1.8M-25.7M-223.0K0.2315.704,7781,117107,25228,304
2014-01-07$14.97$12.0045.0%11.1%18.9%53.9%37.8%-0.1%-0.4%1.8M-20.5M-209.4K1.2414.79653809106,38929,024
2014-01-08$15.03$12.0055.0%11.0%18.9%76.1%0.0%-1.7%-0.9%1.8M-23.3M-213.9K0.1217.647,776939106,66129,331
2014-01-09$15.33$12.0043.5%11.2%16.1%50.6%42.6%1.8%0.9%2.4M-32.3M-228.1K0.1923.7912,4282,378111,98129,228
2014-01-10$15.50$12.0034.0%11.1%16.1%29.7%0.0%-0.2%4.0%3.1M-39.1M-241.6K0.0720.517,145491118,71529,656
2014-01-13$14.74$12.0044.8%11.1%24.5%53.5%38.9%1.0%3.5%1.6M-16.6M-203.4K0.2722.321,970524114,60129,751
2014-01-14$14.76$12.0035.7%11.0%24.5%33.4%0.0%2.0%3.4%1.6M-16.1M-198.8K1.3516.01514692114,37529,817
2014-01-15$14.94$12.0023.4%11.1%24.7%6.3%38.9%-2.8%6.3%1.6M-16.9M-197.0K0.2619.233,038779112,54828,734
2014-01-16$14.41$12.0034.9%11.0%28.3%31.6%38.5%0.3%3.3%909.5K-10.7M-191.4K0.5815.42812470114,04528,922
2014-01-17$14.57$12.0034.7%11.0%28.5%31.2%40.0%-0.3%3.0%1.2M-13.7M-197.8K0.0917.836,149535114,30629,145
2014-01-21$14.62$12.0033.3%11.0%28.4%28.1%37.5%-0.3%3.9%1.3M-21.9M-200.9K0.4317.981,15649571,55217,480
2014-01-22$14.31$12.0034.8%11.0%29.0%31.3%38.3%-2.4%6.9%1.1M-17.5M-190.0K0.1418.7713,0751,78172,34417,761
2014-01-23$13.19$12.0036.3%11.9%40.7%34.6%40.7%0.0%5.8%932.2K-7.9M-177.3K0.7427.4110,0807,50384,39419,301
2014-01-24$12.77$12.0037.5%11.8%41.7%37.4%39.3%-2.1%5.0%741.4K-5.0M-192.6K0.3121.129,0642,77390,65224,485
2014-01-27$13.14$12.0038.3%11.7%43.5%39.1%40.5%-6.7%5.4%1.1M-14.0M-230.5K2.0327.754,2238,55498,34026,111
2014-01-28$13.51$12.0040.5%11.4%45.0%44.0%43.2%-1.4%5.7%1.1M-19.0M-254.2K0.0619.4327,3071,71899,50132,615
2014-01-29$13.26$12.0041.0%11.8%45.0%45.0%41.8%-0.1%3.1%1.5M-25.5M-286.1K0.4828.82881427117,35933,333
2014-01-30$13.66$12.0041.3%11.4%46.5%45.8%40.1%-1.1%5.0%1.7M-33.2M-299.8K0.0823.8711,013847117,60033,630
2014-01-31$13.53$12.0042.4%11.4%45.6%48.1%41.4%-3.0%5.5%1.8M-34.1M-305.2K0.1420.341,589225125,23934,277