AEO Options History — September 2014

In September 2014, AEO traded between $13.47 and $14.81. ATM implied volatility averaged 32.9%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 7.7% (HV 20d: 40.6%). Max pain ranged from $12.00 to $12.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2014-09-26: Highest Volume — 41,832 contracts
  • 2014-09-04: Largest IV spike — 12.5% change
  • 2014-09-30: Highest IV Rank — 28.5%
  • 2014-09-30: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.20$13.47$14.81$14.12$14.52
Max Pain$12.00$12.00$12.00$12.00$12.00
ATM IV32.9%27.5%36.9%27.9%36.9%
Expected Move10.2%9.8%10.8%9.9%10.8%
HV 20d40.6%28.2%48.7%47.2%33.8%
HV 60d36.7%35.5%38.0%36.5%37.9%
IV Rank20.0%8.6%28.5%9.4%28.5%
IV Percentile31.7%2.8%56.0%3.6%56.0%
Term Structure0.4%-2.0%3.9%3.7%-1.2%
VWIV35.9%34.4%38.4%34.7%37.2%
Skew 25d1.3%-4.6%3.4%3.4%2.7%
Skew 10d3.4%-7.5%12.6%9.4%10.3%
Call IV 25d32.8%27.8%37.0%27.8%35.0%
Put IV 25d34.2%23.3%37.7%31.2%37.7%
Bid-Ask Spread %12.4810.1916.3416.3413.30
Gamma HHI0.230.190.330.210.24
Net GEX2.7M2.3M3.8M2.5M2.3M
Net DEX-127.1M-162.0M-82.3M-138.7M-82.3M
Net VEX-380.1K-399.0K-360.6K-375.5K-396.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.009.650.280.73
Total Volume6,062.66763141,8321,4504,874
Total OI215,605.286164,598237,380226,264167,637

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$14.12$12.0027.9%9.9%47.2%9.4%34.7%3.4%3.7%2.5M-138.7M-375.5K0.2816.341,133317160,03166,233
2014-09-03$14.14$12.0027.5%9.9%46.4%8.6%37.7%-4.6%3.9%2.5M-139.8M-367.4K0.3513.522,506876159,76166,156
2014-09-04$14.40$12.0030.9%9.9%46.4%15.9%34.4%0.5%-0.1%2.4M-149.7M-367.9K0.0510.826,354320159,48866,741
2014-09-05$14.14$12.0031.5%9.8%47.6%17.2%36.0%3.2%0.7%2.6M-142.4M-393.7K0.4013.825,7452,293164,22966,734
2014-09-08$13.88$12.0032.0%9.9%48.4%18.1%35.3%1.9%1.0%2.7M-131.5M-394.0K0.6914.381,308908168,94567,952
2014-09-09$13.74$12.0032.3%9.9%48.7%18.7%34.8%2.0%-0.3%2.7M-124.2M-388.8K0.7012.71890623168,50868,069
2014-09-10$13.71$12.0031.9%9.9%48.2%18.0%35.7%0.7%0.4%2.7M-122.9M-385.9K9.6510.455775,566168,70668,059
2014-09-11$13.89$12.0032.8%9.9%46.8%19.9%37.2%2.1%0.3%3.2M-133.6M-382.6K0.2514.25503128169,05165,453
2014-09-12$13.71$12.0032.9%10.0%46.7%20.1%34.5%2.1%-1.3%3.2M-125.4M-377.7K0.3812.862,6431,007169,17065,549
2014-09-15$13.47$12.0034.0%10.2%47.4%22.4%35.2%2.3%-2.0%2.9M-113.5M-364.0K0.1114.181,695187168,40265,219
2014-09-16$14.15$12.0033.8%10.3%48.4%22.0%36.3%-0.2%-0.9%3.5M-148.4M-364.5K0.1813.106,3851,163169,42865,275
2014-09-17$14.02$12.0033.5%10.2%47.8%21.4%35.1%0.8%0.1%3.8M-141.2M-369.4K0.2712.232,452655170,59265,953
2014-09-18$14.43$12.0032.9%10.1%29.3%20.1%35.1%1.3%0.4%3.0M-158.9M-360.6K0.1210.754,157496169,12265,557
2014-09-19$14.45$12.0033.0%10.3%28.2%20.3%34.9%1.6%-1.0%2.4M-162.0M-375.3K0.0910.9910,702940171,71965,661
2014-09-22$14.13$12.0033.3%10.5%29.6%20.8%36.5%0.3%2.0%2.3M-100.2M-384.8K0.6213.641,298809137,74945,826
2014-09-23$14.66$12.0034.4%10.3%31.8%23.2%35.2%1.8%0.7%2.3M-119.0M-370.8K0.4311.641,802775136,98246,015
2014-09-24$14.79$12.0033.6%10.3%31.0%21.5%36.6%2.8%0.6%2.4M-119.5M-385.1K0.1210.385,882690137,59146,398
2014-09-25$14.39$12.0035.1%10.7%32.5%24.7%36.5%1.0%-0.7%2.4M-108.8M-399.0K1.0410.19812848142,81546,568
2014-09-26$14.67$12.0034.4%10.3%32.8%23.2%35.8%2.4%1.8%2.5M-117.6M-392.5K0.0011.9041,645187143,00746,762
2014-09-29$14.81$12.0035.6%10.6%32.9%25.8%38.4%0.4%0.2%2.3M-89.6M-387.3K0.3010.553,9771,188118,23346,365
2014-09-30$14.52$12.0036.9%10.8%33.8%28.5%37.2%2.7%-1.2%2.3M-82.3M-396.2K0.7313.302,8232,051120,47447,163