AEO Options History — June 2014

In June 2014, AEO traded between $10.54 and $11.78. ATM implied volatility averaged 30.2%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 4.4% (HV 20d: 34.6%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2014-06-19: Highest Volume — 11,295 contracts
  • 2014-06-12: Largest IV spike — 16.2% change
  • 2014-06-16: Highest IV Rank — 24.4%
  • 2014-06-09: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.26$10.54$11.78$10.62$11.22
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV30.2%26.8%32.8%27.5%32.2%
Expected Move10.7%10.4%11.0%11.0%10.8%
HV 20d34.6%25.7%41.0%40.5%28.2%
HV 60d36.0%34.1%37.9%37.9%35.9%
IV Rank19.2%12.4%24.4%13.9%23.1%
IV Percentile24.8%8.3%42.1%11.5%39.3%
Term Structure2.0%0.1%4.1%3.0%2.4%
VWIV38.1%34.6%40.5%35.0%38.2%
Skew 25d2.8%-4.0%8.9%3.5%-4.0%
Skew 10d4.4%-5.8%17.1%6.2%-5.8%
Call IV 25d28.5%25.5%31.8%26.3%31.0%
Put IV 25d31.4%26.7%35.4%29.8%27.1%
Bid-Ask Spread %16.7511.2820.1718.8612.95
Gamma HHI0.220.140.320.280.17
Net GEX434.4K-285.7K1.2M-168.9K953.8K
Net DEX-11.6M-29.9M10.8M9.4M-19.4M
Net VEX-308.0K-342.1K-270.6K-270.6K-317.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.052.550.720.76
Total Volume4,397.76277811,2952,0005,413
Total OI170,729.952148,186184,071170,227159,782

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-06-02$10.62$10.0027.5%11.0%40.5%13.9%35.0%3.5%3.0%-168.9K9.4M-270.6K0.7218.861,163837111,37058,857
2014-06-03$10.71$10.0029.1%10.9%40.3%17.0%37.5%7.5%2.0%-151.8K6.7M-278.8K0.1420.173,132426111,65559,334
2014-06-04$10.77$10.0029.0%10.9%39.5%16.9%39.9%8.9%2.2%-131.9K5.6M-286.3K0.5218.68512266114,22259,557
2014-06-05$10.63$10.0028.9%10.9%39.7%16.7%39.1%4.7%2.4%-147.1K8.4M-278.9K1.7316.89410711114,39959,642
2014-06-06$10.54$10.0028.3%11.0%38.9%15.5%38.3%8.3%2.0%-136.9K10.8M-274.3K2.5519.464111,049114,44359,890
2014-06-09$10.85$10.0028.6%11.0%38.8%16.0%36.2%2.3%1.6%-285.7K4.7M-286.2K0.0819.363,912298114,52060,561
2014-06-10$11.24$10.0028.3%10.4%41.0%15.4%38.6%1.7%1.6%-10.1K-6.8M-302.4K0.8717.021,5521,352115,41360,576
2014-06-11$11.26$10.0026.8%10.4%40.4%12.4%38.1%5.7%0.2%37.9K-8.9M-306.1K0.1818.226,5991,184116,20360,360
2014-06-12$11.06$10.0031.1%10.5%40.7%21.1%38.9%1.6%1.3%-251.2K-2.0M-295.5K0.5518.82642356116,50161,022
2014-06-13$11.31$10.0032.4%10.5%40.5%23.6%37.7%2.6%1.3%97.2K-11.2M-311.2K0.5117.321,084548116,80261,049
2014-06-16$11.64$10.0032.8%10.7%40.7%24.4%39.6%4.5%0.1%945.7K-20.9M-314.0K0.1317.047,7781,038116,62261,142
2014-06-17$11.77$10.0032.6%10.7%40.6%24.1%34.6%0.9%0.7%1.2M-29.8M-342.1K0.6316.412,1861,375122,20861,417
2014-06-18$11.78$10.0031.0%10.8%35.2%20.8%37.1%0.2%2.6%1.2M-29.9M-341.1K0.5818.091,7481,014122,52861,543
2014-06-19$11.50$10.0031.5%10.8%26.3%21.7%38.0%-1.4%1.6%657.4K-22.0M-325.6K0.0515.5810,745550122,06760,011
2014-06-20$11.58$10.0030.3%10.8%26.0%19.5%38.0%3.0%3.2%798.3K-21.0M-317.3K0.6516.591,183770119,52560,054
2014-06-23$11.62$0.0030.6%10.7%25.9%19.9%39.1%2.6%2.8%725.1K-20.7M-313.3K0.4716.911,425663103,55144,635
2014-06-24$11.75$10.0030.2%10.8%26.0%19.3%40.5%5.0%3.9%827.1K-25.2M-316.6K0.1011.289,283949104,28544,943
2014-06-25$11.67$10.0030.4%10.6%25.7%19.6%37.1%3.7%4.1%991.4K-25.0M-328.0K0.5011.756,4293,217111,11545,481
2014-06-26$11.49$10.0032.0%10.9%26.6%22.8%40.0%-1.1%1.8%941.9K-21.3M-327.8K0.1215.115,111606112,85545,410
2014-06-27$11.55$10.0030.8%10.6%26.1%20.4%39.4%-0.5%2.2%1.1M-24.8M-335.0K0.1215.263,965461115,66244,117
2014-06-30$11.22$10.0032.2%10.8%28.2%23.1%38.2%-4.0%2.4%953.8K-19.4M-317.8K0.7612.953,0842,329115,66544,117