AEO Options History — November 2014

In November 2014, AEO traded between $12.44 and $14.10. ATM implied volatility averaged 63.2%, placing in the 51.8% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 12.2% (HV 20d: 51.0%). Max pain ranged from $13.00 to $13.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.94.

Notable Days

  • 2014-11-10: Highest Volume — 36,903 contracts
  • 2014-11-07: Largest IV drop — 50.2% change
  • 2014-11-03: Highest IV Rank — 100.0%
  • 2014-11-10: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.41$12.44$14.10$12.92$14.10
Max Pain$13.00$13.00$13.00$13.00$13.00
ATM IV63.2%45.7%104.7%75.9%54.3%
Expected Move13.0%12.3%13.9%12.7%12.3%
HV 20d51.0%35.5%59.8%36.8%54.2%
HV 60d42.8%40.8%48.3%40.8%42.8%
IV Rank51.8%27.4%100.0%100.0%38.0%
IV Percentile94.8%83.7%100.0%100.0%91.7%
Term Structure-1.8%-6.8%7.3%1.4%-3.8%
VWIV44.4%41.5%48.2%43.3%41.5%
Skew 25d4.0%0.8%7.8%3.6%5.4%
Skew 10d9.8%-5.5%27.8%3.8%9.4%
Call IV 25d52.9%44.5%58.2%48.7%50.6%
Put IV 25d56.9%47.1%61.8%52.2%56.0%
Bid-Ask Spread %14.689.2619.1311.0710.67
Gamma HHI0.220.170.320.180.26
Net GEX2.4M1.3M4.0M1.4M2.3M
Net DEX-60.1M-88.1M-19.9M-31.2M-77.7M
Net VEX-399.4K-429.4K-358.7K-386.1K-372.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.102.470.900.19
Total Volume15,864.8421,15536,90315,9922,630
Total OI248,968.211209,187280,788239,894214,857

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-11-03$12.92$13.0075.9%12.7%36.8%100.0%43.3%3.6%1.4%1.4M-31.2M-386.1K0.9011.078,4297,563156,84383,051
2014-11-04$12.85$13.0089.9%13.0%36.8%100.0%44.0%4.5%4.4%1.3M-30.1M-391.1K0.2513.8415,5563,903157,96483,928
2014-11-05$13.21$13.00104.7%13.1%35.5%100.0%42.8%5.0%1.8%1.9M-50.2M-409.4K1.0018.6912,18812,229166,37784,341
2014-11-06$13.84$13.00104.7%12.6%39.0%100.0%44.4%2.6%7.3%3.0M-83.3M-423.5K0.6112.3818,27611,141166,71287,332
2014-11-07$12.92$13.0052.1%13.3%45.8%35.3%45.5%4.6%-4.4%1.8M-26.3M-388.5K1.3619.1313,36518,217172,00790,531
2014-11-10$12.44$13.0059.1%13.9%47.1%43.9%46.1%4.6%-6.8%1.3M-19.9M-365.1K2.4717.6110,62126,282152,30476,492
2014-11-11$12.49$13.0055.9%13.6%45.4%40.0%45.5%2.7%-4.6%1.3M-21.4M-358.7K0.919.266,4515,884151,45376,150
2014-11-12$13.85$13.0045.7%12.9%59.7%27.4%48.2%6.7%-5.6%2.3M-75.9M-429.4K1.9510.467,14713,951156,73093,895
2014-11-13$13.62$13.0059.3%12.9%59.8%44.1%44.1%3.3%-2.7%2.3M-69.5M-417.0K1.3718.434,6066,298157,98393,686
2014-11-14$13.50$13.0057.4%13.0%58.4%41.7%46.2%2.5%-1.2%2.4M-65.5M-407.7K1.4418.214,9177,090158,02894,445
2014-11-17$13.33$13.0056.9%13.4%58.4%41.2%45.4%0.8%-2.6%2.8M-68.6M-427.0K1.0817.247,2297,791179,78098,954
2014-11-18$13.26$13.0057.1%13.2%58.3%41.5%43.2%5.4%-4.9%2.8M-61.6M-417.6K0.9417.225,0654,751179,982100,019
2014-11-19$13.25$13.0057.0%13.5%58.0%41.3%44.6%3.4%-3.6%2.8M-61.3M-411.0K0.6218.28711444180,258100,530
2014-11-20$13.76$13.0055.8%13.0%59.1%39.9%45.1%4.2%-1.9%4.0M-88.1M-408.5K1.3718.324,4216,072179,05999,669
2014-11-21$13.68$13.0054.5%12.7%53.9%38.3%45.3%4.3%1.4%3.5M-84.2M-399.0K0.9213.104,9614,547178,909101,545
2014-11-24$13.96$13.0054.5%12.7%54.3%38.3%44.1%3.1%-5.9%2.7M-81.7M-398.8K0.1613.963,814629152,80569,274
2014-11-25$13.83$13.0054.0%12.6%54.4%37.6%41.7%2.0%-2.0%2.8M-79.9M-404.8K0.1810.5523,8374,268155,66569,651
2014-11-26$13.92$13.0052.1%12.5%54.2%35.2%43.4%7.8%-0.6%2.0M-65.2M-373.7K0.1010.475,603545137,85971,328
2014-11-28$14.10$13.0054.3%12.3%54.2%38.0%41.5%5.4%-3.8%2.3M-77.7M-372.7K0.1910.672,201429143,17071,687