AEO Options History — April 2014

In April 2014, AEO traded between $10.95 and $12.81. ATM implied volatility averaged 35.8%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 3.2% (HV 20d: 39.0%). Max pain ranged from $12.00 to $12.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.24.

Notable Days

  • 2014-04-09: Highest Volume — 27,394 contracts
  • 2014-04-04: Largest IV spike — 12.9% change
  • 2014-04-15: Highest IV Rank — 36.4%
  • 2014-04-14: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.56$10.95$12.81$12.33$11.56
Max Pain$12.00$12.00$12.00$12.00$12.00
ATM IV35.8%30.2%38.8%31.3%34.8%
Expected Move11.5%11.2%12.0%11.3%11.3%
HV 20d39.0%34.0%45.3%34.0%40.5%
HV 60d38.3%35.2%41.0%37.3%35.2%
IV Rank30.3%19.2%36.4%21.4%28.4%
IV Percentile60.4%25.0%72.2%40.5%54.8%
Term Structure3.1%0.8%5.7%3.3%4.3%
VWIV40.0%36.6%43.3%43.3%39.2%
Skew 25d1.9%-5.0%7.9%-5.0%4.5%
Skew 10d3.9%-3.2%13.1%-3.2%5.0%
Call IV 25d34.2%23.5%38.1%32.7%31.9%
Put IV 25d36.1%27.7%40.5%27.7%36.4%
Bid-Ask Spread %14.8510.8919.0511.9116.55
Gamma HHI0.360.160.660.520.18
Net GEX-376.2K-2.1M755.0K-1.4M211.0K
Net DEX20.2M-7.3M50.0M11.6M5.8M
Net VEX-237.6K-279.9K-190.4K-264.0K-249.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.240.1314.270.180.83
Total Volume7,807.1960627,39412,065606
Total OI195,075.81154,371233,191201,329168,640

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-04-01$12.33$12.0031.3%11.3%34.0%21.4%43.3%-5.0%3.3%-1.4M11.6M-264.0K0.1811.9110,1921,873134,16267,167
2014-04-02$12.72$12.0030.2%11.4%36.5%19.2%39.1%6.1%2.8%-525.0K-4.3M-279.9K0.1311.4610,9971,407135,36268,414
2014-04-03$12.81$12.0030.2%11.4%36.7%19.2%39.6%7.9%4.5%-193.4K-7.3M-276.0K14.2710.946138,748137,95869,354
2014-04-04$12.68$12.0034.1%11.4%36.4%27.0%41.2%3.5%1.9%-550.0K-1.9M-278.1K10.4612.791,46515,328137,72073,375
2014-04-07$11.68$12.0037.3%11.3%45.3%33.4%40.9%1.3%2.1%-2.1M39.2M-228.2K1.2710.894,4325,637138,37475,754
2014-04-08$11.73$12.0035.1%11.4%36.8%29.0%39.5%2.5%0.8%-1.4M27.1M-224.7K0.6513.262,1741,411141,49163,875
2014-04-09$11.77$12.0034.7%11.4%36.0%28.1%40.3%1.2%3.0%-1.5M25.3M-229.5K0.9016.8314,38813,006142,51064,778
2014-04-10$11.38$12.0037.1%11.4%36.9%32.9%41.1%2.5%2.1%-1.2M41.3M-226.9K0.1414.7612,2641,696144,82673,800
2014-04-11$11.00$12.0038.1%11.8%38.2%35.0%41.2%3.1%1.5%-444.7K48.5M-200.1K1.0712.342,7502,948156,31673,930
2014-04-14$10.95$12.0037.9%12.0%38.1%34.6%40.2%3.2%1.7%8.5K50.0M-190.4K0.3314.641,866613146,32073,890
2014-04-15$11.29$12.0038.8%11.5%40.4%36.4%39.3%2.3%1.7%-502.1K43.5M-213.8K0.6015.498,0204,836147,75073,318
2014-04-16$11.25$12.0037.9%11.5%40.0%34.5%40.3%4.5%3.1%-625.5K36.0M-236.0K0.2914.946,5701,918153,50272,481
2014-04-17$10.99$12.0036.8%11.8%40.4%32.3%41.3%2.3%3.2%755.0K41.7M-229.6K0.9812.502,1472,098158,57774,614
2014-04-21$10.98$12.0037.4%11.9%39.8%33.5%38.6%1.9%3.3%230.2K12.7M-220.7K0.6018.852,3561,410107,40246,969
2014-04-22$11.10$12.0036.6%11.4%40.4%32.1%40.5%1.2%3.9%268.1K11.0M-226.0K0.6919.052,0761,426108,78447,969
2014-04-23$11.10$12.0036.2%11.3%40.4%31.1%40.0%1.5%5.7%284.0K10.7M-229.7K2.9218.619152,675109,91749,036
2014-04-24$11.32$12.0036.4%11.3%40.8%31.5%36.6%-4.9%5.1%281.3K8.5M-244.9K1.4817.062,0843,079110,20251,075
2014-04-25$11.25$12.0035.5%11.2%40.4%29.8%39.0%-4.2%5.2%278.2K9.7M-240.3K7.0618.735033,550111,08252,006
2014-04-28$11.43$12.0037.5%11.3%40.4%33.7%39.3%0.9%3.5%186.1K7.4M-250.7K1.6315.586651,083111,13255,486
2014-04-29$11.49$12.0037.4%11.4%40.5%33.5%39.0%3.3%3.3%194.0K6.8M-250.5K0.5114.651,410716111,33755,937
2014-04-30$11.56$12.0034.8%11.3%40.5%28.4%39.2%4.5%4.3%211.0K5.8M-249.6K0.8316.55331275112,39256,248