AEO Options History — May 2014

In May 2014, AEO traded between $10.60 and $11.97. ATM implied volatility averaged 36.1%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 3.1% (HV 20d: 33.0%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.77.

Notable Days

  • 2014-05-19: Highest Volume — 30,848 contracts
  • 2014-05-21: Largest IV drop — 26.7% change
  • 2014-05-20: Highest IV Rank — 47.2%
  • 2014-05-06: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.25$10.60$11.97$11.49$10.73
Max Pain$10.10$10.00$12.00$12.00$10.00
ATM IV36.1%26.9%44.2%41.7%27.1%
Expected Move11.2%10.7%11.8%11.4%10.9%
HV 20d33.0%23.3%40.9%38.4%40.5%
HV 60d36.4%34.4%39.5%35.2%37.9%
IV Rank31.0%12.5%47.2%42.1%13.1%
IV Percentile53.8%8.3%86.5%79.4%10.3%
Term Structure-1.1%-4.6%3.6%0.7%3.3%
VWIV40.7%35.7%72.1%44.8%37.9%
Skew 25d3.9%-1.2%11.2%3.4%4.8%
Skew 10d7.1%-8.7%51.0%3.1%51.0%
Call IV 25d35.2%18.7%43.8%35.1%24.6%
Put IV 25d39.1%29.5%48.0%38.5%29.5%
Bid-Ask Spread %16.8112.1728.0914.4918.79
Gamma HHI0.290.180.520.180.27
Net GEX30.1K-727.5K1.2M199.9K-121.2K
Net DEX5.0M-13.5M22.7M6.5M6.6M
Net VEX-270.3K-308.8K-235.1K-249.4K-280.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.770.255.055.050.47
Total Volume8,673.33351230,84817,4041,811
Total OI174,547133,666204,546168,841169,153

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-05-01$11.49$12.0041.7%11.4%38.4%42.1%44.8%3.4%0.7%199.9K6.5M-249.4K5.0514.492,87814,526112,57256,269
2014-05-02$11.50$10.0040.9%11.4%38.2%40.6%72.1%3.5%2.0%-101.3K7.3M-266.0K1.3412.172,3283,117114,91064,362
2014-05-05$11.27$10.0041.5%11.4%38.5%41.7%40.3%1.6%-3.0%-285.7K13.5M-255.0K2.9813.285501,639116,33965,118
2014-05-06$11.00$10.0042.7%11.8%27.1%44.1%41.3%2.9%-2.8%-416.9K20.4M-240.4K1.7514.822,8795,051116,39665,959
2014-05-07$10.93$10.0039.5%11.7%27.0%37.7%40.2%4.0%-3.2%-638.3K22.7M-235.1K1.4015.389471,330117,53167,274
2014-05-08$11.16$10.0034.9%11.3%28.3%28.5%37.6%2.8%-2.6%-727.5K15.9M-247.3K2.2717.001,5083,428117,63766,715
2014-05-09$11.50$10.0037.7%11.3%28.0%34.1%40.4%2.3%-3.2%-253.1K6.1M-258.8K0.3513.622,278808117,81367,151
2014-05-12$11.60$10.0036.3%11.2%25.0%31.4%40.0%3.0%-2.9%-11.7K3.0M-257.2K0.9614.141,4511,396119,02867,640
2014-05-13$11.80$10.0038.3%11.2%25.4%35.3%40.1%1.3%-2.9%261.9K-2.6M-263.6K4.3714.461,0874,746119,48467,975
2014-05-14$11.84$10.0033.3%11.2%23.3%25.4%38.2%0.9%-2.5%845.6K-2.6M-270.2K3.1714.682,6948,553119,55972,086
2014-05-15$11.50$10.0042.2%11.4%25.8%43.1%40.7%0.1%-4.5%-91.5K6.1M-255.1K0.3916.439,9703,847121,39772,226
2014-05-16$11.81$10.0041.5%11.3%25.6%41.8%38.3%4.1%-4.3%1.2M-4.5M-288.3K0.2514.847,8731,947129,95074,596
2014-05-19$11.97$10.0040.8%11.1%25.8%40.4%40.1%2.9%-2.9%436.3K-13.5M-297.8K0.7014.4118,12212,72681,56852,098
2014-05-20$11.33$10.0044.2%11.2%33.1%47.2%39.3%4.2%-4.6%474.5K-8.8M-308.8K2.5318.453,9349,94598,57749,514
2014-05-21$10.60$10.0032.4%11.0%40.9%23.6%37.7%-1.2%-0.4%-37.3K10.5M-253.4K1.4428.096,2268,993100,24853,212
2014-05-22$10.77$10.0029.0%10.7%40.7%16.8%36.3%10.3%1.5%-91.0K7.9M-270.3K1.6322.229,40015,329103,18454,608
2014-05-23$10.87$10.0027.2%10.9%40.8%13.1%40.3%11.2%3.0%22.7K1.8M-301.6K2.3720.231,0982,606109,56958,152
2014-05-27$10.94$10.0030.5%10.8%40.4%19.7%36.4%1.2%0.8%65.0K1.1M-299.8K1.6019.211,2451,991109,64058,500
2014-05-28$10.81$10.0029.5%10.8%40.5%17.9%36.1%8.7%1.3%-12.8K4.1M-289.9K0.5017.85911460110,21658,291
2014-05-29$10.85$10.0026.9%10.8%40.4%12.5%35.7%9.6%3.6%-86.3K3.8M-287.8K1.5918.48198314110,48058,490
2014-05-30$10.73$10.0027.1%10.9%40.5%13.1%37.9%4.8%3.3%-121.2K6.6M-280.0K0.4718.791,230581110,53258,621