AEO Options History — August 2014

In August 2014, AEO traded between $10.36 and $14.19. ATM implied volatility averaged 39.7%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 2.4% (HV 20d: 37.4%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.00.

Notable Days

  • 2014-08-19: Highest Volume — 81,114 contracts
  • 2014-08-20: Largest IV drop — 37.6% change
  • 2014-08-18: Highest IV Rank — 63.6%
  • 2014-08-18: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.02$10.36$14.19$10.36$14.08
Max Pain$12.14$12.00$13.00$13.00$12.00
ATM IV39.7%27.1%53.5%42.2%27.1%
Expected Move10.9%9.7%11.8%11.5%9.8%
HV 20d37.4%24.7%51.8%24.8%47.1%
HV 60d32.8%26.1%36.8%31.5%36.6%
IV Rank35.9%7.8%63.6%43.1%7.8%
IV Percentile55.6%1.2%95.2%81.0%1.2%
Term Structure-2.1%-7.2%3.4%1.5%3.4%
VWIV38.1%33.1%42.4%38.9%33.1%
Skew 25d2.2%-4.8%9.1%-4.8%1.5%
Skew 10d3.8%-7.8%12.1%-2.8%5.6%
Call IV 25d39.2%26.9%53.5%42.0%27.6%
Put IV 25d41.4%28.3%53.7%37.2%29.2%
Bid-Ask Spread %15.739.5327.1318.3017.93
Gamma HHI0.210.160.420.180.22
Net GEX1.2M-48.1K2.8M611.3K2.8M
Net DEX-56.8M-146.7M4.4M688.3K-139.9M
Net VEX-334.4K-387.8K-277.6K-277.6K-387.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.054.463.720.20
Total Volume18,108.4291,54081,11416,21523,354
Total OI205,420.667142,967223,825181,492223,825

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$10.36$13.0042.2%11.5%24.8%43.1%38.9%-4.8%1.5%611.3K688.3K-277.6K3.7218.303,43712,778128,44653,046
2014-08-04$10.42$13.0043.9%11.3%24.7%46.5%38.4%2.8%-5.0%160.2K4.4M-287.6K1.8213.39547993130,75064,489
2014-08-05$10.86$13.0042.1%11.3%29.2%43.0%39.8%2.5%-3.6%286.6K-8.3M-309.3K0.6114.742,3971,473131,02065,196
2014-08-06$11.01$12.0049.8%11.6%29.7%58.3%39.3%4.5%-6.1%464.2K-13.9M-321.1K4.4617.163,96917,704132,17965,345
2014-08-07$11.04$12.0043.2%11.5%28.6%45.2%40.3%3.0%-5.9%-7.4K-11.3M-324.9K0.4313.982,8571,236132,98179,553
2014-08-08$11.37$12.0046.3%11.5%29.7%51.4%39.4%1.6%-4.6%388.8K-23.9M-330.5K1.9212.332,9225,603132,91379,258
2014-08-11$11.32$12.0048.7%11.4%29.4%56.1%39.4%3.8%-5.0%476.2K-22.4M-321.2K0.419.531,130459134,75578,954
2014-08-12$11.18$12.0046.3%11.6%29.4%51.3%40.5%3.6%-7.2%355.6K-17.3M-311.9K0.7512.271,4961,129134,96679,024
2014-08-13$10.96$12.0050.0%11.5%30.5%58.6%0.0%-0.1%-6.4%-48.1K-9.1M-302.7K1.0917.311,2121,322135,58579,180
2014-08-14$10.79$12.0047.6%11.5%31.2%53.8%42.4%3.2%-6.4%-14.8K-3.0M-291.9K0.5818.302,0661,208135,02378,506
2014-08-15$10.72$12.0045.1%11.4%30.5%45.9%41.0%3.2%-3.6%236.0K420.8K-283.9K3.5513.792,3678,395136,14178,949
2014-08-18$11.14$12.0053.5%11.8%32.4%63.6%40.7%-0.0%-6.0%776.0K-22.0M-299.9K0.1027.1355,7755,31297,98344,984
2014-08-19$11.59$12.0049.0%11.3%34.6%54.2%40.8%9.1%-6.6%2.1M-50.4M-376.9K0.2223.3166,22514,889143,58249,724
2014-08-20$12.98$12.0030.6%10.1%51.6%15.2%35.1%3.9%0.6%2.7M-105.3M-385.5K0.3414.3936,82412,375150,56357,787
2014-08-21$13.32$12.0028.4%10.1%51.8%10.6%36.5%3.1%2.8%2.3M-113.9M-369.9K0.2114.2314,3683,024148,14159,512
2014-08-22$13.46$12.0029.4%10.2%50.6%12.7%35.4%1.1%2.8%2.2M-112.9M-362.7K0.0812.0112,2491,014143,62860,992
2014-08-25$13.66$12.0028.3%9.7%49.8%10.3%35.9%0.6%2.0%2.3M-125.3M-366.3K0.2611.546,2881,640151,57961,186
2014-08-26$13.98$12.0027.3%9.9%49.8%8.3%34.9%1.3%2.6%2.1M-135.8M-355.5K0.1015.1020,0912,068150,83161,441
2014-08-27$14.19$12.0028.1%9.8%49.6%10.0%35.1%1.9%3.0%2.7M-146.7M-376.5K0.1117.387,925898160,27961,869
2014-08-28$14.03$12.0027.6%9.9%49.5%8.8%34.4%0.1%3.4%2.7M-135.8M-379.5K0.0516.1418,263995157,50962,160
2014-08-29$14.08$12.0027.1%9.8%47.1%7.8%33.1%1.5%3.4%2.8M-139.9M-387.8K0.2017.9319,5353,819161,25562,570