AEO Options History — July 2014

In July 2014, AEO traded between $10.28 and $11.32. ATM implied volatility averaged 35.3%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 11.8% (HV 20d: 23.4%). Max pain ranged from $10.00 to $13.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.00.

Notable Days

  • 2014-07-21: Highest Volume — 8,399 contracts
  • 2014-07-10: Largest IV spike — 13.1% change
  • 2014-07-28: Highest IV Rank — 35.8%
  • 2014-07-22: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.75$10.28$11.32$11.32$10.66
Max Pain$11.09$10.00$13.00$10.00$13.00
ATM IV35.3%30.9%38.5%33.1%35.5%
Expected Move10.9%10.6%11.1%10.8%11.0%
HV 20d23.4%19.9%28.9%28.2%23.7%
HV 60d31.0%30.1%35.9%35.9%31.0%
IV Rank29.3%20.6%35.8%24.9%29.9%
IV Percentile53.0%23.4%69.4%42.5%53.6%
Term Structure3.1%0.6%7.4%1.1%6.8%
VWIV38.1%35.0%41.2%39.8%41.2%
Skew 25d1.5%-5.8%9.7%-0.2%7.2%
Skew 10d-0.9%-14.8%13.9%-2.1%9.3%
Call IV 25d34.1%26.6%39.3%29.8%30.4%
Put IV 25d35.6%27.4%40.3%29.6%37.5%
Bid-Ask Spread %12.048.5816.2511.2811.41
Gamma HHI0.170.160.200.170.18
Net GEX759.3K608.8K1.0M1.0M686.9K
Net DEX-8.1M-21.9M116.0K-21.9M-6.0M
Net VEX-287.4K-331.7K-260.5K-331.7K-291.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.084.070.610.28
Total Volume2,297.1365678,3991,1131,453
Total OI169,412.909163,273180,975163,273180,975

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$11.32$10.0033.1%10.8%28.2%24.9%39.8%-0.2%1.1%1.0M-21.9M-331.7K0.6111.28690423117,67545,598
2014-07-02$11.16$10.0031.8%10.9%28.8%22.4%40.0%-5.8%2.9%932.2K-17.7M-320.2K0.749.65734546118,00045,938
2014-07-03$11.30$10.0031.1%10.8%28.5%21.0%36.4%-2.5%3.7%982.3K-20.3M-324.3K0.0810.6352344118,45946,206
2014-07-07$11.13$10.0033.8%10.9%28.9%26.5%38.9%1.5%2.5%927.6K-16.7M-310.5K0.5812.87466271118,75646,220
2014-07-08$11.20$10.0034.2%10.9%27.2%27.1%0.0%1.5%2.5%951.7K-18.4M-314.1K1.209.90431518118,90546,396
2014-07-09$11.16$10.0030.9%10.9%24.2%20.6%39.0%2.0%3.2%924.8K-17.4M-309.9K0.5614.391,487840118,89146,533
2014-07-10$10.91$10.0034.9%10.8%25.4%28.7%37.8%4.4%3.2%779.5K-10.2M-294.0K0.8915.48677604119,86947,223
2014-07-11$10.75$10.0036.0%10.8%25.2%30.8%37.7%-1.5%1.6%768.0K-7.6M-292.1K0.4614.821,163531120,06247,572
2014-07-14$10.64$10.0036.0%10.6%23.7%30.8%38.4%3.2%1.2%673.0K-3.8M-275.8K0.599.211,316773120,10347,750
2014-07-15$10.51$10.0035.1%10.7%20.7%28.9%38.1%3.3%2.7%628.8K-622.1K-269.9K0.9612.85482463120,58548,044
2014-07-16$10.50$10.0037.0%11.0%19.9%32.8%39.4%-3.4%0.6%637.7K-1.3M-267.7K0.5213.301,396730120,90647,644
2014-07-17$10.51$10.0036.5%10.9%19.9%31.8%0.0%2.8%2.5%647.9K-2.2M-270.6K0.349.962,430837121,77447,449
2014-07-18$10.72$10.0033.4%10.9%20.6%25.6%38.7%3.0%4.9%745.4K-6.0M-278.7K1.8111.186221,128123,70347,528
2014-07-21$10.51$10.0037.5%10.7%21.0%33.7%35.0%-2.8%1.8%664.8K-3.6M-268.2K2.0314.572,7705,629119,55544,709
2014-07-22$10.43$13.0037.7%11.1%20.7%34.1%36.6%0.9%3.0%608.8K-1.0M-263.1K0.5214.032,7101,422121,33146,538
2014-07-23$10.44$13.0038.4%11.0%20.0%35.5%36.8%2.4%3.2%653.5K-1.9M-265.8K0.119.051,012108123,29246,486
2014-07-24$10.59$13.0034.6%10.8%21.2%28.0%38.1%7.2%5.1%704.9K-5.5M-271.7K0.2016.252,497496124,25146,401
2014-07-25$10.39$13.0038.2%10.9%21.5%35.1%36.7%-0.8%3.1%698.1K-2.3M-265.2K1.928.586221,193126,36546,661
2014-07-28$10.28$13.0038.5%11.0%21.2%35.8%39.2%-4.2%2.3%656.7K116.0K-260.5K4.079.381,1174,542126,68947,724
2014-07-29$10.51$13.0038.3%10.8%21.6%35.3%36.1%4.6%3.7%683.4K-3.9M-282.8K1.6615.251,0151,680127,17551,406
2014-07-30$10.80$13.0033.6%10.9%23.8%25.9%37.4%9.7%7.4%745.8K-9.2M-295.2K1.8010.867661,380127,62252,115
2014-07-31$10.66$13.0035.5%11.0%23.7%29.9%41.2%7.2%6.8%686.9K-6.0M-291.1K0.2811.411,138315128,01252,963