AEO Options History — March 2014

In March 2014, AEO traded between $12.12 and $14.50. ATM implied volatility averaged 40.2%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 4.3% (HV 20d: 35.9%). Max pain ranged from $12.00 to $12.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2014-03-11: Highest Volume — 83,406 contracts
  • 2014-03-11: Largest IV drop — 49.6% change
  • 2014-03-10: Highest IV Rank — 100.0%
  • 2014-03-11: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.16$12.12$14.50$14.19$12.24
Max Pain$12.00$12.00$12.00$12.00$12.00
ATM IV40.2%30.5%70.7%53.8%31.7%
Expected Move11.5%11.3%11.7%11.5%11.4%
HV 20d35.9%27.2%41.0%30.5%34.8%
HV 60d37.0%32.9%39.1%39.1%37.4%
IV Rank41.0%19.9%100.0%73.3%22.2%
IV Percentile62.7%31.3%100.0%97.6%43.3%
Term Structure-0.4%-12.8%3.9%-7.7%2.8%
VWIV40.3%39.1%41.4%41.4%39.2%
Skew 25d-0.2%-8.1%4.3%-1.3%-8.1%
Skew 10d0.6%-13.9%15.3%-0.2%-6.9%
Call IV 25d39.3%31.7%60.3%54.5%34.2%
Put IV 25d39.1%26.1%59.8%53.2%26.1%
Bid-Ask Spread %15.3310.4732.8017.9912.17
Gamma HHI0.340.250.550.250.54
Net GEX307.4K-1.7M3.4M3.2M-1.5M
Net DEX-9.8M-70.5M21.4M-60.2M14.9M
Net VEX-298.6K-358.2K-220.3K-346.6K-262.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.033.100.640.32
Total Volume11,724.8571,77783,4062,7071,777
Total OI206,402.714174,214243,562175,719200,576

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$14.19$12.0053.8%11.5%30.5%73.3%41.4%-1.3%-7.7%3.2M-60.2M-346.6K0.6417.991,6531,054150,53325,186
2014-03-04$14.45$12.0055.3%11.3%29.1%76.7%40.7%0.8%-8.8%3.3M-68.3M-356.7K0.1216.353,012362151,33825,398
2014-03-05$14.50$12.0058.8%11.4%28.4%84.5%41.3%1.9%-12.2%3.4M-70.5M-358.2K0.0917.334,122380152,41525,491
2014-03-06$14.28$12.0058.4%11.5%29.0%83.5%0.0%-0.5%-12.8%3.3M-63.2M-340.7K0.1119.214,016431151,58125,760
2014-03-07$14.38$12.0056.2%11.4%27.2%78.6%39.1%0.5%-2.0%3.4M-65.0M-340.7K0.0316.9010,102323152,00126,072
2014-03-10$14.21$12.0070.7%11.5%27.3%100.0%40.6%4.3%-3.2%3.1M-56.4M-315.4K0.4418.8936,03715,759147,98326,231
2014-03-11$13.10$12.0035.6%11.7%39.9%30.1%40.8%2.5%0.6%1.5M-780.6K-220.3K2.6932.8022,59860,808148,32838,577
2014-03-12$12.75$12.0030.5%11.5%40.9%19.9%39.8%1.3%3.7%-847.3K18.9M-275.2K1.5521.686,3119,813155,30775,090
2014-03-13$12.90$12.0034.6%11.6%41.0%28.0%40.5%0.0%2.0%-381.4K10.4M-297.8K0.6512.684,3912,853158,60575,506
2014-03-14$12.78$12.0033.9%11.5%40.9%26.5%39.8%-1.1%2.4%-642.8K14.5M-300.3K0.5813.764,5792,647161,20175,719
2014-03-17$12.78$12.0035.4%11.6%40.5%29.5%39.6%0.9%1.8%-744.3K14.3M-304.5K0.2313.513,104703164,30476,690
2014-03-18$12.82$12.0033.5%11.5%40.6%25.8%39.3%0.8%3.1%-930.2K13.7M-303.0K0.5712.431,346774165,78976,944
2014-03-19$12.94$12.0033.7%11.5%40.2%26.2%40.4%-1.1%2.0%-977.8K6.6M-306.7K3.1012.508012,484166,19177,371
2014-03-20$12.79$12.0034.6%11.5%40.2%28.0%40.6%-3.0%0.8%-1.2M16.7M-299.7K2.9911.591,0473,129163,28578,425
2014-03-21$12.94$12.0030.5%11.6%40.4%19.9%40.2%1.7%3.7%-1.7M10.1M-298.1K1.0812.012,4852,684163,71776,909
2014-03-24$12.80$12.0031.6%11.5%40.4%22.0%40.4%1.7%2.2%-742.5K1.7M-282.9K0.3712.161,749640127,01463,379
2014-03-25$12.67$12.0030.8%11.4%39.0%20.3%40.8%-2.2%3.9%-1.1M6.2M-275.8K0.1113.0016,5401,858128,03363,802
2014-03-26$12.36$12.0031.9%11.5%34.5%22.6%41.1%1.7%3.2%-1.2M13.9M-265.5K0.2911.964,8771,423129,31565,217
2014-03-27$12.12$12.0031.1%11.5%34.4%21.1%40.4%-0.2%3.7%-1.5M21.4M-253.4K0.9910.472,0702,055133,06665,532
2014-03-28$12.32$12.0031.7%11.5%35.3%22.2%39.2%-5.4%2.4%-1.4M14.9M-266.9K0.5012.522,2851,140133,38067,196
2014-03-31$12.24$12.0031.7%11.4%34.8%22.2%0.0%-8.1%2.8%-1.5M14.9M-262.1K0.3212.171,342435133,38067,196